One
Registered: Aug 2002
Posts: 281 |
04-28-11 06:11 PM
The volume bars would be constructed similarly to how they are with tick bars, using the High, Low and Close from each minute bar, instead of the tick price. As an example, starting at say 10 am, and constructing 100,000 share bars:
10:00 H: 25.00 L :24.90 C: 24.95 Vol 55,000
10:01 H: 25.10 L: 24.95 C: 25.05 Vol 25,000
10:02 H: 25.20 L: 25.00 C: 25.15 Vol 30,000
The first volume bar would be:
H: 25.20 L: 24.90 C: 25.15
and 10,000 shares from 10:02 would be swept into the next volume bar.
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