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Highest High or Lowest Low past 3 days
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Created: by olobay Attachments:0

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Highest High or Lowest Low past 3 days

 
Elite Member
Montreal
 
Futures Experience: Intermediate
Platform: MultiCharts
Broker/Data: IB Canada/IQFeed
Favorite Futures: TF, CL
 
Posts: 282 since Jul 2011
Thanks: 307 given, 355 received

Highest High or Lowest Low past 3 days

Hi,

Using 24 hour GLOBEX intraday data, how can I get the highest high of the past 5 sessions and the lowest low of the past 5 sessions? Sessions start at 6:00pom ET the day before the close at 5:00pm ET the next day.

Thanks.

 
 
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 Vendor: www.abctradinggroup.com 
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,807 since Apr 2013
Thanks: 293 given, 1,102 received


Hi olobay,

you will have to track the extremes for every session using two variables (one for the high, one for the low). At the beginning of a new session you store the tracking variables in an array (so you need two arrays for that) and reset the tracking variables.
The array has the size of 5 in your example. You'll also need a counter that increments at every new session, starting from 0 and once it's > 4 it has to reset to 0. This will be used to store the tracking variables.

Once you have stored 5 values within your array and starting to overwrite values you can start calculating the highest high and lowest low. For that I'd suggest using a third array. You copy the values of the array containing the highest highs of the last 5 sessions to the new array and sort it in descending order. This gives you the highest high of the last 5 session at position 0 of the new array.
For the lowest low you'd copy the values into the new array and sort it in ascending order. Again giving you the lowest low at position 0.

This is your blueprint and should get you what you want.

Regards,
ABCTG



olobay View Post
Hi,

Using 24 hour GLOBEX intraday data, how can I get the highest high of the past 5 sessions and the lowest low of the past 5 sessions? Sessions start at 6:00pom ET the day before the close at 5:00pm ET the next day.

Thanks.


The following 2 users say Thank You to ABCTG for this post:

 



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