I was wondering whether anyone could point me to some code that would give a reasonable assessment of the bid/ask volume on a bar/candle when the only values we have are the bar's Open, High, Low, Close and its overall Volume?
I understand that there are approaches to do this in real-time but, I am trying to assess this information over historic bars where "tick-counting" wouldn't be an option. I'm working on the basis that the data feed doesn't provide the bid/ask volume.
If anyone can help with this, I'd be very grateful indeed.
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