But it can be extremely CPU intensive (try to ask one month of ES with this solution...)
Could it be possible to have a function like:
List <Ticks> getHistoricalBarTicks()
which gives the list of ticks of the current historical bar.
Ticks structure should be something like:
DateTime time;
double last; // price
double ask; // it would be perfectly nice to have it (in ntm file for example)
double bid; // it would be perfectly nice to have it (in ntm file for example)
double volume;
This could be very useful for VolumeProfile for example.
Thanks
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