Anyone come up with a good way to integrate pre-market data into NS? aka, identifying gappers etc. I am a pretty new to all this, I am not using a real time data stream yet, just relying on end of day data with daily bars, I am assuming when I move a real time stream depending on the stream provder, this will become easier?
One suggestion requires the DayTrader Power User and an intraday data feed. You could create percent change or momentum indicators for both SPY (stock) and the S&P E-mini futures contract and subtract the difference, for example. You need to percent change to normalize the price difference. To capture the overnight bars, you would want to use a smaller time frame for the futures contract compared to the stock.
