I'd like to ask a question related to custom bars.
OnDataPoint parameters include ask price and bid price.
What is doesn't include is ask volume and bid volume in other words;
GetCurrentAskVolume() and GetCurrentBidVolume() or
if (marketDataUpdate.MarketDataType == MarketDataType.Ask)askVol = marketDataUpdate.Volume;
if (marketDataUpdate.MarketDataType == MarketDataType.Bid)bidVol = marketDataUpdate.Volume;
How can we utilise Ask Volume and Bid Volume within custom bar logic?
Appreciate any feedback as to how this can be achieved.
Thanks in advance,
suprsnipes.
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