I'm developing a multi-instrument stocks 5m intraday strategy on US session.
I want to find out for each instrument the High/Low points since the session start.
For example for stocks XYZ 2 hours from the start of the trading day(9:30EST) I want to know what was the High point and the low point.
I thought about using the Max/Min function and to give them the number of bars since the session started something like that:
max = MAX(Highs[5], BarsSinceSession)[0];
What do you think is the best approach to solve this?
TX,
Roy
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