new york, ny
Posts: 1 since Apr 2013
Thanks Given: 0
Thanks Received: 0
|
Hello, this is my first post here so would like to thank you in advance for sharing your knowledge.
Im trying to write a code that will plot the average daily price, starting at 9:30 am ET on the /ES 5 min chart for example.
The logic is as follows:
After the second bar is closed (at 9:40 am), the average will be AVG_1=(close+close[1])/2.
As the 3rd bar closes (at 9:45), the average will be AVG_2=(close+close[1]+close[1])/3 or AVG2=(AVG_1+close)/2...and so on
until the market closes. Restart the calculation on the next day at 9:30.
It's the same logic as VWAP, but no volume only price.
Thanks again for your assistance.
|