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"Successful trading is one long journey, not a destination" Peter Borish Former Head of Research for Paul Tudor Jones speaking on conversations with John F. Carter
I do not know what is an intraday swing size. But let as assume that you are referring to the largest intraday swing. This would be the swing from the high to the low (case daily high occurred first) or from the low to the high (case daily low ocurred first). This is not called intraday swing size, but daily range.
If you look for an indicator that calculates the average daily range and plots an expectation based on that average for today's price action, then you can find it here:
Exported using NT Version 7.0.1000.7
This indicator is an old version and there will be no more maintenance. All the features have now been integrated with the SessionPivots indicator that can be downloaded here:
https://nexusfi.com/ …
A floor pivot shows yesterday's range as the difference R2 - PP and PP - S2. The distance from R2 down to S2 therefore is the double of yesterday's range (or yesterday's intraday swing size, as you called it).
6E traders - what do you guys find works best (for those that use it at all) as an initial balance time period for the US RTH 6E trading session? I'm aware that classic IB is 1 hour. Do any of you use something different than this? And why? thanks in advance.
surly
Seek freedom and become captive of your desires. Seek discipline and find your liberty. - Frank Herbert
You might want to check what Fat Tails suggests for the opening range using the ACD method. It's interesting but i don't really understand why the length of the opening range is different for each instrument maybe some ACD expert can shed some light on this:
ACD is based on an opening range. The opening range is shown as the area between high and low of the price action during the first N minutes after the session start. For example these are opening range used:
Different markets have different trading hours and different "activity periods" (i.e., what hours on Globex they are most active). For instance I trade mainly soybeans (ZS) and I use an IB of 15 minutes. This seems to work best although it may be changing because the CBOT changed the pit hours of of the grain complex a couple months ago. I'm going to start trading the euro so wanted to get some opinions.
For me it comes down to what period of time works best to give one an understanding of what's going on as the market opens up and settles the initial orders that have come into the market.
Seek freedom and become captive of your desires. Seek discipline and find your liberty. - Frank Herbert
