I want to program my own implementation of volume footprints similar to what OFA and Rancho Dinero are doing.
So I need to be able to store arrays of "bid x ask volumes" at different prices corresponding to the bars on the chart. A single bar might look like this:
2101.25, 1256, 0
2101.00, 753, 987
2100.75, 277, 881
2100.50, 0, 233
How do I do that? As I understand DataSeries only stores double values...
Any help would be greatly appreciated!
Chris
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