Here is what I am trying to accomplish:
Chart: 405 Minute ES (Daily Chart for the ES)
Session: CME US Index Futures RTH
For each bar on this Chart I need to do a BarsRequest for
BarsPeriodType = BarsPeriodType.Tick, Value = 1
Then with a for loop using bars.Bars.GetClose(i) build a SortedList of Key = Price and Value = Volume.
Yes, I am trying to build a Volume Profile for each trading day. Depending on my code changes either nothing is returned or every bar is lumped together ( not individual day),
if the fromDate and toDate is hard coded (DateTime fromDate = new DateTime(2017,7,5)) it works but using the bars time (DateTime fromeDate = Time.GetValueAt(CurrentBar)) does not. I am getting all kinds of results except what is needed.
I have a simple indicator script if you are interested. Thanks.
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