Dayton, OH USA
Experience: Intermediate
Platform: TradeStation
Broker: TradeStation
Trading: MES
Posts: 38 since Sep 2017
Thanks Given: 10
Thanks Received: 11
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It might not be called that. Especially since I just made up the term. 😊
I am looking for an indicator that will report out the price at which the greatest number of contracts (I am looking at the GC.) have traded within an interval.
For any given interval, 1 minute, 5 minutes, 1 day, 1 month, etc., many trades will occur. For the GC, in 1 minute, there can be up to 10,000 or more trades. Typical reporting is open, high, low and close. I am looking for an indicator that will report out the price at which the highest volume occurred, regardless if it was on an up tick, down tick or if the trade occurred at the same price as the last trade. It would be necessary to report all trades at that price for the given interval.
The Matrix displays the volume that has occurred at a particular price but it reports the aggregate for the session.
If it is a problem to collect/report that data beyond a session, data from within the current session would be sufficient. I could continue to use the indicator that I am using now that uses the close as the reference for the longer intervals.
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