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Date/Time: Fri, 18 Oct 2024 08:42:21 +0000

Post From: volume at price calculated values acrross multiple bars

[2015-06-22 12:24:04] Link To Thread - Link To Post [Go To First Post]
User231363 - Posts: 31
I'm working on a study to locate buy imbalances (ask vol > 2X bid volume) for each VAP bar, then look across multiple bars to find prices where multiple bars have that imbalance. I have code to scan the current bar's VAP data and find the prices for that bar where buy imbalances occur, but I can't figure out how to persist those buy imbalances for comparison to other bars. I've looked at the subgraph extra arrays, but I can't figure out how to store the multiple price/imbalance combinations for each VAP bar. How should I approach this? thanks for your help!