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The ASX has a market auction similar to pre-open to determine the
official close price. The closing is then timed against ticker
alphabet to stagger them, like market opens. Then ther are the after
market trades beyond this time. It gets more complex as on the last
trade day of each month the auction time is longer.
So normal close would be between 4:05 and 4:08pm, then at month end
4:10 to 4:13pm. These times for example of what happens.
I want to include the actual last trades of official market, and
exclude any further after amrket trades/transfers. There are no trades
between 4:00pm and the auction close. Of course there are also cases
of no trades after 4pm.
Can anyone help with how to write this in AFL.
something like
LateTrade = timenum()== valuewhen( cross( timenum(), 160001 ), timenum() );
UseVol = V * LateTrade;
just not sure how to make certain all the above requirements are met.
TIA
--
Cheers
Graham
http://e-wire.net.au/~eb_kavan/
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