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Using 1-minute data I'm calculating the High and Low of the Opening
Range. However, due to the fact that different stocks open at
different times (NYSE etc) one can never be certain exactly how many
bars of 1-minute data one has between 09.30 and 10.00 am EST. If I
try setting NumBars to 30 for instance, the bars from the day before
is included. Here's what I'm doing:
DayChange = DateNum() != Ref(DateNum(),-1);
OpeningRange = (TimeNum() >= 153000 AND TimeNum() <= 160000);
BarsSinceEndOpeningRange = BarsSince (OpeningRange>0);
FirstBarInOpeningRange = ValueWhen (DayChange=1,BarIndex());
LastBarInOpeningRange = ValueWhen (TimeNum()=160000,BarIndex());
NumBars = FirstBarInOpeningRange - LastBarInOpeningRange;
OpeningHigh = Ref (HHV (H, NumBars), - BarsSinceEndOpeningRange);
OpeningLow = Ref (LLV (L, NumBars), - BarsSinceEndOpeningRange);
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