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How can I find the first bar for each trading day?



  • Hi,

    My idea is to create an indicator the will calculate the on-going averaging PivotPoint. I need to identify the first bar in each trading day and each additional bar will be rolling average from the first bar.

    Is this possible? For example ES S&P 500 mini futures, 5PM to next day 4PM with 5 mins compression

    For example. 20200920 5PM to 20200921 4PM. I can do it easily in Dataframe by making 5PM to next day 4PM as of 20200920. Then using groupby function to do rolling average.

    David


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