We want to access range bars with various periods. The period is not fixed - it is dynamically changing based on calculation of daily volatility.
Example
- In lower volatility range bars with lower period (like 10 ticks) are OK
- In higher volatility we need range bars with higher period (like 20 ticks)
The logic is dynamic, so there is nothing to hardcode. So we cannot add just some static data-series at startup of the strategy.
Question
Is it possible to access bar-data (OHLC or indicators on them) of data-series with various (dynamically changing) period?
Comment