Specific Volume Bars of last X days

[desmond108]

Hi, I wish to reference the 2:25pm-2:35pm 5-minute volume bars of each of the last 10 days to get the average of each 5 minute bar. Could you please advise how I would do that?

For example:
Day 1
2:25-2:30pm = 300
2:30-2:35pm = 500
Day 2
2:25-2:30pm = 500
2:30-2:35pm = 400
Day 3
2:25-2:30pm = 700
2:30-2:35pm = 800
...
Day 10
2:25-2:30pm = 100
2:30-2:35pm = 200

And then sum of the 10 days:
Total 2:25-2:30pm = 3700
Total 2:30-2:35pm = 5400

Thanks.

[NinjaTrader_AlanP]

Hello desmond108,

Thank you for your note.

This could be done by writing an if statement checking if the time of the current bar is 2:30, and if so, save the bars volume to a dataseries. I wrote a sample for you which checks if the time is 225, and if so, saves that 5 minute bars volume to a data series and sets it to a plot. I do the same if the time is 2:30.

You would then just have to sum the last 10 bars in those series to achieve what you’re looking for.

Please let us know if you need further assistance.

[desmond108]

Thanks for your response and the script Alan.
I am sorry I mis-communicated my intent for the calculation.
It was late in my timezone when I wrote it.
I had meant to say that I do not know the exact time of the day I need the volume calculation as it is triggered by an arbitrary event so the time could be 2:25-2:35 or 3:15-3:20 or 4:35-4:45 or any arbitrary time.
When an event occurs I then wish to caclulate the volume of the last 10 days of that same time and hence I need to look back in time.
Your code is great but if I adopt that method I would have to create a time series for all the 5-min time slots of the day for the last 10 days to get a specific timezone calculation.
Is there a better way for me to reference the volumes of arbitrary times looking back?
Apologies for my lack of clarity in the first post.

Much appreciated.

[NinjaTrader_AlanP]

Hello desmond108,

You might also accomplish what you're looking to do with a loop.

Please let us know if you need further assistance.