Recognising a liquidity vacuum on EURGBP M1

[FXS Prop Desk]

Defining the vacuum candle in numbers is a big improvement over describing it by eye. One detail to check before coding it: on M1, the 14-bar ATR at the start of the London session comes from the quiet late-Asia candles, so in the opening minutes nearly every London candle can clear the three-times threshold. Comparing the candle with the ATR measured on the same minute of earlier sessions instead of the rolling 14-bar window would make the filter fire only on truly unusual candles instead of on every normal open.