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I understand the problems with calculating the highs and lows of the spread in any bar. But now the markets are closed maybe I can expand on the way I was thinking it might be done. Lets say I was interested in trading 60 min bars. Each bar is then made up of 60 1-minute bars and you could use the closes of the last 60 1-minute bars to calculate an open-high-low-close for a synthetic 60 minute bar. Not perfect, but close enough to trade. Having this synthetic OHLC will then allow you to apply indicators such as stochastics and RSI which make use of other values such as the close.
This approach of breaking down bars into its components is something I actually think might be also useful in other situations e.g. if you like to trade weekly bars it would be nice to have a 'synthetic' weekly bar which would be made up of the last 5 daily bars. In effect you would then have a 'weekly' study which would be updated every day.
Any suggestions?
Bob
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