Hello,
I just wondered if anyone could help. I'm wanting to pull through the price that has the highest amount of traded volume into Excel throughtout the pre-off period so that I can perform analysis above and below this point to highlight a perceived "value range".
As the ranges grow and the volume increase this price point is expected to move so the process needs to be constantly running. I'm really struggling to figure out the best way to do this and just wondered if anyone had any suggestions?
The best I could come up with (which is embarrasing, incredibley clunky and inefficient) is to pass a large range of tick values (this could vary from 20 to 60 ticks depending on price of runner) to context specifc servants using a loop from excel and get the servants to pass back the traded volume of each tick within this range for various runners every few seconds. These values could then be stored in a table within excel and then queried. As I say this seems a very primative way of achieving this and would require a lot of processing.
Any help/ideas would be greatly appreciated.
Many Thanks
Servant HELP - Return price with highest traded volume
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