Hello, could you add "Gapped Range Bars"?

fw631788925

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Feb 19, 2024
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Hello,
Could your platform supports "Gapped Range Bars" (specifically, True Range Bars based on tick data without gap filling)?
The specific construction rules I require are as follows:
  1. Range Definition: The High-Low difference of a bar must represent the maximum actual traded amplitude that is less than or equal to the "Fixed Range Value".
  2. Close Logic: The Close price of a bar must be the actual price of the very last trade recorded in that bar (it should NOT be synthetically filled/extended to reach the fixed limit).
  3. New Bar Logic: A new bar is triggered when a trade occurs outside the virtual fixed boundary of the previous bar. The Open price of the new bar must be the actual price of that triggering trade (allowing for gaps).
Here is a detailed description of the logic:
Starting from the first trade, the first bar's High-Low range is the maximum real traded amplitude ≤ the "Fixed Value".
When a specific trade occurs such that its price difference from the current bar's High or Low exceeds the "Fixed Value":
  1. A second bar is formed immediately.
  2. The Open of this second bar is the actual traded price of that specific triggering trade.
  3. The Close of the first bar is the traded price of the trade immediately preceding that triggering trade.
  4. The ending condition for the second bar (and all subsequent bars) follows the same logic: a trade must occur outside the bar's virtual fixed range limits to trigger a close, following the Open/Close rules mentioned above.
Could you add it?
Thank you.
 
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