I got a PM asking about the indicators I had on another thread. I said I'd post them here rather than putting them in a PM.
These Indicators are not commercial quality, they were written for me by me and they suit the way I am set up. In particular, I pay no attention to time zones in my 'averaging' process. So - when I look for average value at 9am, 10am, 11am etc - I look just for that specific time in past days. I am in Bangkok but my PC is always set to time zone EST. Therefore I do not need to make time zone adjustments.
This is very simple - it's a histogram which shows the cumulative volume relative to the average cumulative over prior days. At each time period (based on your timeframe), it stores an average of the total volume traded by that time of day (cumulative volume, not the volume for that bar). As we can see on 2/2 above we started off with volume for the daye being above average and then interest waned and we ended up the day with about 60k contracts less than average for the day.
The Theory: If there is a lot of volume, then it could be that we have a lot of participation from non-day traders who are positioning for longer term moves. This could be a trend day.