Hi there,
I can be wrong here, but I think you make it too complicated. As Tomasz said, all you need to do is to use the PriceVolDistribution function and store the Matrix into a static variable. If you are concerned that it will slow it down, I am using a 2 Million ticks database and I apply the PriceVolDistribution function to the tick Volume and display it in 5, 15 and 60 minutes charts. That takes only 100- 200 ms and I get the exact Volume for each price level.
Please keep in mind that the total Volume per price level has nothing to do with time frames.
Regards,
Jorgen
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Posted by: jorgen.wallgren@gmail.com
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