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Date/Time: Mon, 16 Sep 2024 19:27:00 +0000

Post From: Volume at Price study export (daily or intraday)

[2024-07-01 10:51:10] Link To Thread - Link To Post [Go To First Post]
User840539 - Posts: 25
Hi everyone! I am still struggling after many attempts to write a study to export Volume At Price for daily timeframe, or any intraday timeframe. Maybe someone knows or already written one, in that the output would look something like: [date, time, price,volume,askvolume,bidvolume] [2024-6-28, 9:30:00, 5500, 1000, 500, 500], [2024-6-29, 5600, 2000, 1500, 500], etc. I managed to write a python script to do exactly that, while using Write Bar to File study, and it works just fine. Only thing, it's inaccurate and does not match Sierra's calculations of the Delta for the day, for example. Even when I set Number of Trades per Bar to 1 (1 tick), I still get different Delta at all prices compared to Sierra.