[2]Re: ATR for spread [with correction]

[Lee Goldberg <best-revenge@xxxxxxx>]

Hi Doug,

I understand better from your reply comments.
My new comments between...

At 05:17 PM 6/30/2004 -0700, Doug Johnson wrote:

First let me take a step back. I use intraday (5min) data to collect all 
my high and low for the spread during the day data. I collect the high and 
low for the spread by always using the closing price of each stock and 
trapping the highest spread high and lowest spread low. Then at the end of 
the day I wish to register four things, but the first two are especially 
important.
1. The high of the spread for the day.(intraday traps)
2. The low of the spread for the day.
3. The close of the spread for the day. (closeD data1-closeD data2)
4. The open of the spread for the day, when both stocks are open, not the 
opening price of both stocks (perhaps off volume...).