Disliked...could I run an ATR of say 36 on a 15 or 20 minute chart and come up with an average range of the timed bar. Then set up a tick chart with an ATR of 36 that puts me close in size to my time chart. That tick chart would put me about as close as I could get to correlating the sizes. Does that seem reasonable? Have you thought of that or tried it?Ignored
In addition, I know of no constant tick chart that is defined by a specific range. I trade constant tick and constant volume charts all the time on Futures and they have been directly responsible for allowing me to "see" the order flow. However I think you mean range bars, which can be defined by a specific range. I have no experience using them, but would note just by viewing them that these bars would mask how I see the order flow as a new bar would only form when price moves outside a specific range. If you are using FX...I'm not sure how this would be helpful. You might be able to correlate your idea with volume data and note when a range extends on unusually low or high volume...but again, I have not specifically studied this.
I am not a big proponent of intraday trading using FX market but understand why people here do it. My feeling is to try and find a way to extrapolate volume delta on your range bars. However in a decentralized market, I am completely at a loss to think of a way to do that.
My personal preference is to use the entire day's volume data and then extrapolate the delta from a fully formed daily candle using available tick data...assuming you are confident in your data feed. Because many brokers only show tick data within their own platform, and because that tick data waxes and wanes during the three major trading sessions, I believe intraday trading is left vulnerable to these "lapses" and they create signals that just don't make sense. This is due to the untrustworthy, or just plan inadequate data service. I have noticed this mostly with the metatrader platform.
So if I understand you correctly you are trying to size the range bar based on the current average true range of a constant time bar. (15 or 20 min)...so would that range bar then be dynamic to the ATR setting when order flow changes at a turning point? As you know, at swing points, sometimes volume drops off as does the volatility - leading to a smaller average. As well, sometimes the volume increases as the order flow reverses and trading volume is absorbed by larger institutions. Thus ATR number would rise. Does that mean you change your range bar settings on the fly? Or develop some software that controls that setting constantly, which then constantly refreshes your chart with new bars?
My head is starting to swim. I must return to the simplicity of simply learning and reading the basal structure of the market...doing this will render all other "alternatives" obsolete.
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