Индикаторы Thinkorswim Премаркет

Congrats on putting the time/effort into learning this stuff. You've stumbled into a tricky case.

Using the DAY period, TOS has no way to differentiate between regular hours and extended hours. It'll always give you the combination of both. You'll have to rely solely on intraday timeframes to achieve your goal.

The next logical approach is to look back X number of periods, depending on the current timeframe, to find the relevant time of day on the previous trading day. 1H and above candles are partly in premarket and partly after the open, so you can't use those. You have to go smaller.

Bring up SPY on a 30m chart with extended hours enabled. Use the trend line drawing tool and look at its data box when you select the first extended hours candle of any day and then hover above the final extended hours candle of the same day. Remember what it says for how many hours and how many bars that is. Now do the same thing on a couple other days of the same chart. They aren't the same counts when I do this on the most recent couple of days for SPY. The reason is TOS doesn't provide data for periods that had no volume. Even on SPY, which is a very high volume symbol with lots of extended hours trading, this creates an inconsistency we have to deal with. Load a different symbol like XLK and you'll see there's much fewer extended hours candles. This can be different on every symbol and can be different on every day for a single symbol.

Without extended hours enabled this approach of looking back at previous days by using an appropriate multiple of the periods works fine. It's only when extended hours is enabled that this causes problems. And in your case you need extended hours enabled.

The easiest way I can think of to workaround this is to create additional variables to hold yesterday's data. Outside of your tracking time range, instead of eunic-brussels.eu, use CumulativeVolume[1] so the value remains fixed through the end of the day. You can have a different variable hold that and still have the plot show eunic-brussels.eu if you want. When the date changes, copy the persisted value to the new variable. The copy will happen as soon as that day has any volume, whether that's midnight or 4am or or any time between.


Then you can do your math for % change, etc. And handle the first hour volume similarly.