I want to plot the average relative volume for an instrument inside the Market Analyzer.
At present I have the Daily Vol as one of the standard columns, this is great but I want to also to be able to plot the "average relative volume" alongside that, to see whether the volume at that particular time of day is below or above an average.
Will this relative volume indicator do that? I have added it to the columns, but at present it is simply displaying the instrument price, obviously I have something set wrong.
I would like to be able to plot what the average volume was, at that particular time of day, based on an average of the last 30 trading days, for instance.
I was looking at this over the weekend and I am still struggling to get this to work 100%. The indicator inside this thread simply returns the instrument price, not the "relative volume" I can't work out what that is. Can anyone help?
If anyone has other suggestions on how to get the exact "relative volume" I want, into the market analyser, iŽd be grateful to hear from you.
I have updated the Relative Volume indicator. The update is a completely new indicator with a different design. The new design is by far more efficient and reduces CPU load. This is in particular true, if the calculations are performed over a longer lookback period.
Another issue that is now solved is the behaviour with different data feeds. Some datafeeds insert an artificial minute bar, if there is no transaction. Other simply do not plot a minute bar, so there may be only some 23 or 37 minute bars per hour during the early morning. In this case it is difficult to calculate an average from non existing bars. The old indicator could not cope with this situation and did not work correctly with all data feeds.
If there is no minute bar available for a specific period of the referenced day, there are two possible solutions that can be adopted. Either the volume can be set to zero for that period, or the period can be ignored and the average then be calculated from fewer or earlier bars. I have opted for the second solution, and this for two reasons. In the first place it avoids that the relative volume indicator shows huge peaks off-session which cannot be used for trade analysis. Secondly, if there is a period with zero volume, the indicator is not capable to determine whether the exchange was closed, or whether the exchange was open and no trade took place. Therefore it is best to eliminate these cases and not use them for the calculations.
With the new indicator I have introduced an option to calculate relative volume by
- comparison of today's volume with the average volume of the prior N business days (new option)
- comparison of today's volume with the average volume of the same day of the week over the prior N weeks (option already available with old version)
The cumulated relative volume of the day shows the degree of traders' participation and be used as a filter for discretionary and automated trading.
- new indicator is CPU efficient and calculates considerably faster than the old version
- indicator copes with different data feeds
- new option introduced to calculate relative volume
- indicator can be used as filter with automated strategies
Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.
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Kinda doing it right about now.As you can see in the attached,i don`t counter per se,but just buy/sell on the CumRatio dip below 100,but in the current VWAP direction.Main thing is in the execution, though.Still needs some improvement ,but feels promising.
may i ask you,what the referenceVolume within the code means?What`s referring to?Is that the same logic used,that it is with IntradaySeasonality study(meaning the current High volume referres to the last peaking volume some arbitrary N period ago)?