Question on Custom Bars

[rbeckmann05]

Hello, I am trying to make a bar that acts like a rolling window of data, something like the dom. Basically one bar that represents data from the most recent 10,000 trades, cycling out the 10,000th trade data from the bar after a new trade hits the market and is added to the existing bar. First in first out style. I believe this is possible, but am wondering where to start here. I only have experience in strategy and indicator development. Thank you