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