Any way to store real-time bars based on ask/bid, and not just last?
I'm working with some contracts which basically don't trade over-night... so when I look at the chart, it's almost blank. But the ask/bid is actually reasonably tight. For backtesting purposes, I'd like to start building up bars based on ask/bid (or midpoint).
Is this something I have to write my own code to track? Or is there some built-in capability that makes this easier?
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