When the strategy loads I need to calculate the average size of last X bars and save it. So then I can reference this value in OnBarUpdate() method and compare the size of current bar with the average size of the last bars. Any tips would be appreciated.
I tried something like this but it doesn't seem to work:
private double GetAverageCandleSize(int period = 50)
{
double[] lastXCandleSizes = new double[period];
double currentCandleSize = Closes[0][0] - Opens[0][0];
for (int i = 0; i < lastXCandleSizes.Length - 1; i++)
{
lastXCandleSizes[i] = lastXCandleSizes[i + 1];
}
lastXCandleSizes[lastXCandleSizes.Length - 1] = currentCandleSize;
var average = lastXCandleSizes.Average();
return average;
}