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how to calculate open high low close chart of a spread?

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Hyun Hwang
367
Hyun Hwang  

I am currently trying to develop an indicator that plots a candlestick chart of a spread (distance between two currency pairs of choice).


To work out open and close for spread is fairly simple as open and close will always happen at the same time so you just subtract open and close (iclose()-iclose()). But for high and low, you can't subtract high-high as this is saying both pairs reached the high at the same time.


Can anyone please share what they think would be the best way to calculate high and low for spreads?


Thank you

Alain Verleyen
Moderator
29869
Alain Verleyen  
Hyun Hwang:

I am currently trying to develop an indicator that plots a candlestick chart of a spread (distance between two currency pairs of choice).


To work out open and close for spread is fairly simple as open and close will always happen at the same time so you just subtract open and close (iclose()-iclose()). But for high and low, you can't subtract high-high as this is saying both pairs reached the high at the same time.

Not exact, open/close on different pairs doesn't happen at the same time.


Can anyone please share what they think would be the best way to calculate high and low for spreads?


Thank you

Show your attempt if you need coding help.
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