Time-of-Day Contribution to Intraday High–Low Formation
Price gaps are critical discontinuities in Indian equity markets, reflecting overnight information assimilation and session-to-session market microstructure effects. This article presents a Python-centric framework for rigorously classifying partial and full gaps, covering formal definitions, mathematical measures, reproducible algorithms, data pipelines, volatility normalization, and event-aware analysis across trading horizons.
Time-of-Day Contribution to Intraday High–Low Formation Read More »
Price-Based Market Data