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Date/Time: Tue, 21 May 2024 22:39:05 +0000

Post From: Calculate volume of certain bars and display end of day cum delta

[2017-01-15 18:46:03] Link To Thread - Link To Post [Go To First Post]
User463105 - Posts: 2
Hi, Thank you for your answer, I do understand I can filter out certain volume, however I am not looking to do this. Let's assume on a certain bar volume spikes to 1000 contracts, when average is 200. I want to capture the event and add to a calculation. If all the trades are broken to 1 contract, and I set up 10 contracts as a filter, I will miss a whole picture. As you are aware in modern markets most big orders are broken down into smaller ones, as a result the filter is kind of irrelevant. Do you have any other ideas, how to at least on the 5 minutes chart capture bars with a certain volumes and then calculate cum delta of just these bars. So the logic would look like: if vol of x bar is 1000 > add this to a bucket. This is for example is a1. Another similar event a2. at the end of the day a total bucket will equal to the sum of all a's as: total cum delta = a1+a2+a3.... Thank you for the help. Date Time Of Last Edit: 2017-01-15 18:46:46