I am trying to create a trade scalping system that looks at the high and low of the fifteen minutes prior.
For instance, if from 6:30 to 6:45 am the High was X, and then from 6:45 - 7:00 our price crossed X we would put a limit order in at X. Same thing for low. So the system would essentially compare current price to the high and low of the fifteen minutes prior and then enter long or short if we closed above or below the high or low. Any idea how I would get started on this?
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