I'm trying to come up with an opening range indicator. I know there are already countless ones out there (and here), but none of which I've tried so far work with an indicator as an input.
I've already coded an opening range indicator which works for price given a start and end time but it just won't work when using an indicator (e.g. SMA) as an input. The problem I'm facing is that Times[x] doesn't work with indicator values. As such I'm thinking I might need to add the indicator as a DataSeries, but am struggling to make it work.
If anyone can share some insight I would be grateful, and would also be happy to share the finished product here on futures.io (formerly BMT) in case anyone has some use for it like I do.
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The following user says Thank You to Big Mike for this post:
Well I have an indicator which estimates the fair value of a security based on the movements of two to three other securities and plots the premium/discount to this estimate of fair value.
I am playing around with a strategy which is based on a breakout of the range of the premium/discount from the first hour's range. Right now it does this by checking the value of the indicator c.f. the previous high/low attained on every OnBarUpdate and updating the high/low values as necessary. At the end of the defined Opening Range, the high/low values are ready for use.
However, I'm thinking that if I could turn this into an indicator, it would be much more flexible.
The following user says Thank You to wuileng for this post: