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I am developing a strategy that relies on Volume Bars. One addition that would help is an indicator that would plot the duration of each volume bar. Before I launch into developing it, I thought I better check to see if one is readily available. The idea is to filter out trades when the duration goes over a threshold, that is, when the market is relatively slow. Any help appreciated.
Thanks.
Can you help answer these questions from other members on NexusFi?
The timestamp for each bar is the end of the bar. So, to find the duration of a bar, you can approximate by taking Time[0] - Time[1], which will return a TimeSpan, which you can then query to get sec, min, hr, etc. I say approximate, because you do not know when the bar actually started.
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