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Dael

Price Range in Defined Time Window

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Hello, guys.

 

I'm trying to analyze price movement within its' contract lifetime window on some commodities futures. I'm interested in how much the price can go up or down from the defined start point (i.e. new contract starts) till end point (contract expires).

 

It's some kind of OHLC data, where O is price on open date (for example, CLQ3 starts on Jun 17th), C is price on close date (Jul 17th), H/L are high and low for this 30 days.

 

So, the first part will be to retrieve such OHLC data, ths second - to analyze maximum movement ranges by doing H-O and L-O math.

 

Any ideas? I've got thinkorswim live money account, but TOS has no export of daily data.

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An example, to be more specific.

 

I want to analyze CL movement during 10th April till 15th May.

Open (04/10) is 95

Close (05/15) is 94.50

High (05/03) is 97.50

Low (04/15) is 86.50

 

Up move was 97.50-95.00=2.50

Down move was (in mod) 86.00-95.00=9.00

 

All I need is this 2 bold digits.

clq3.png.b85995b94388bf8a7e0c041cd3f64ff5.png

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From Johnr@ts , might be what your looking for . Set beginning and ending dates and run a High and low pivot indicator? Or code your self a rectangle based on the begin and ending dates . Maybe a zig zag with rectangles . A picture of the amazing stratman jammin Zigzag with rectangles. If it makes you see your business that's what you need. Ok there 2013!

plotting vertical lines at specific dates and times into the future.txt

ESm18 - ZigZag+WHWSOOTLV2.5.1.jpg

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