Relative Volume Indicator - futures io
futures io futures trading



Relative Volume Indicator


Discussion in NinjaTrader

Updated
      Top Posters
    1. looks_one Fat Tails with 47 posts (252 thanks)
    2. looks_two soulartist with 13 posts (6 thanks)
    3. looks_3 Cachevary with 8 posts (0 thanks)
    4. looks_4 Big Mike with 5 posts (5 thanks)
      Best Posters
    1. looks_one Fat Tails with 5.4 thanks per post
    2. looks_two Silvester17 with 4 thanks per post
    3. looks_3 Big Mike with 1 thanks per post
    4. looks_4 soulartist with 0.5 thanks per post
    1. trending_up 64,552 views
    2. thumb_up 277 thanks given
    3. group 51 followers
    1. forum 106 posts
    2. attach_file 15 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

Relative Volume Indicator

(login for full post details)
  #1 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received

I'm still trying to effectively use volume in my trading. My thinking logically leads me to the concept of relative volume; i.e not just volume by itself but in comparison to an established average or median; that can indicate/confirm volatility (or the lack of it).

I am looking for a volume indicator that compares the current price bar’s volume to historical volume in the same bar on previous days (plot volume bars by timeframe relative to average/median over n days). The relativity can be expressed as a percentage and/or std deviations, moving averages etc.

I did some googling... surprisingly I found nothing on Ninja forums or here but I did find the indicator outlined in Dr. Brett Steenbarger's blog (he uses Excel to plot) and code for other platforms. I provide the references below:

- TarderFeed post(s) on Relative Vol indicator by Dr. Brett Steenbarger
TraderFeed: Relative Volume and Movement in the Stock Market
TraderFeed: Relative Volume for ES Futures

- EasyLanguage Relative Volume Indicator (inspired by Traderfeed post)
EasyLanguage Relative Volume Indicator | Benzinga.com
Commentary :: EasyLanguage Relative Volume Indicator - TraderPlanet

- Relative Volume Percentage (similar code for TOS)
Relative Volume Percentage | ThinkScripter

- Amibroker code for relative volume by time (inspired by Traderfeed post)
Making sense of Volume eToke’s Blog
[amibroker] Re: Relative Volume by time

If anyone can point me to a NinjaTrader 6.5 indicator that does this, if it exists. If not, can anybody kindly port this code to Ninja 6.5. I'm no programmer but from the code I've seen, it doesn't look to complicated.

Thanks in advance
- soulartist

Started this thread Reply With Quote
The following user says Thank You to soulartist for this post:

Journal Challenge February 2021 results (so far):
Competing for $1500 in prizes from Topstep
looks_oneSBtrader82 's Trading Journalby SBtrader82
(153 thanks from 29 posts)
looks_twoJust BEING a Trader: Letting Go!!by iqgod
(111 thanks from 32 posts)
looks_3Wisdom is Emptinessby Mtype
(68 thanks from 25 posts)
looks_4Deetee’s DAX Trading Journal (time based)by Deetee
(31 thanks from 16 posts)
looks_5Journal for peanuts1956by peanuts1956
(23 thanks from 13 posts)
 
 
(login for full post details)
  #3 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


I suggest that you start reading some threads here one the forum to get an overview on the various ways how to use volume. One of the best threads is here:



If you search for indicators, I suggest to use both volume and volatility for your trading setups, a concept which is also known as volume-spread-analysis(VSA).

Here are some excellent NinjaTrader indicators that you can try:


Better Volume

(1) The better volume indicator can be found here:

Links and Downloads Manager - NinjaTrader Support Forum

This is a link that explains how to use this indicator.

https://emini-watch.com/uploads/Media/Better_Volume_Indicator.pdf


Volume Pattern

The volume pattern indicator can be found here:

Downloads - NinjaTrader 6.5 Indicators - Volume Patterns - Big Mike's Day Trading Forum


Volume Stop

The volume stop indicator can be found here:

View Download Details - Big Mike's Day Trading Forum


Force Index

The force index created by Dr. Alexander Elder can be found here:

Links and Downloads Manager - NinjaTrader Support Forum


Advanced Concept : Gom Volume Ladder

I also suggest to have a look at the GOM Volume Ladder, which analyzes bid versus ask traded volume. Information can be found here:

Gom Volume Ladder - Big Mike's Day Trading Forum





Relative volume is a comparatively weak concept, a relative volume indicator can be coded in a few minutes. I personally use the Better Volume Indicator and an anchored volume weighted moving average.

Reply With Quote
 
(login for full post details)
  #4 (permalink)
Bellingham, WA
 
Experience: Intermediate
Platform: Ninja
Broker: Zen-Fire
Trading: 6E, CL
 
Dragon's Avatar
 
Posts: 494 since Aug 2009
Thanks: 747 given, 258 received

Fat Tails,

How many informative posts have you provided for new members on futures.io (formerly BMT)? You are way too kind

Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to Dragon for this post:
 
(login for full post details)
  #5 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received

The kindness also helps me to organize my own mind and get a better understanding of the question. Sometimes a question looks simple or redundant, but when you try to answer it, you need to explore half the universe. Actually it is rewarding. I am also kind to myself.



Dragon View Post
Fat Tails,

How many informative posts have you provided for new members on futures.io (formerly BMT)? You are way too kind


Reply With Quote
 
(login for full post details)
  #6 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received

Fat Tails,
thanks much for your comprehensive post grouping all relevant volume resources; this can serve as a ready reckoner for anybody wishing to explore this topic.

I have visited the excellent thread, am aware of Barry Taylor's volume and other indicators and Tom Williams VSA book (downloaded from this forum). I would need to digest these one by one before I can incorporate them into my trading.

I already use VWAP and Delta in my trading - Gomi's cumulative and per bar delta . I have tried the ladder from fin alg and have Gomi's ladder installed but find it too busy. I look for delta divergence setups and find it is easy to spot that graphically in GomCD. Again I would be looking at using the ladder in the future, the thread is an excellent resource for that.

As goes the Relative Volume indicator, I intend to use it more like I use market internals (Adjusted Cumulative tick, Advance Decline, VIX) - to keep me aware of and aligned with the intraday sentiment. When you hear volume is x% above or below the avg etc, it would be nice to have the same displaying on your charts. It would also be valuable input in my Trend vs Range day analysis that I do within the first half hour to an hour; that decides my approach for the day (directional vs fade). It is not for specific trade setups/confirmation, for which I use Cumulative and/or per bar Delta.

I understand this is not complicated code, if someone shares my perspective (and can program which I cannot) would appreciate if this could be made available. Please refer to my initial post for sample easy language and other platform codes.

Thanks
- soulartist

Started this thread Reply With Quote
 
(login for full post details)
  #7 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received

Hi soulartist,

then you would need to be more specific: If I look at the different links that you posted, there are quite different concepts.

Traderfeed

First link shows cumulated volume versus Median volume. Second link shows median volume per 30 minutes and standard deviation.

By the way I have recently coded an indicator that shows the average volume of the last n trading days, so it would be easy to modify it to show the relative volume of the current day in relation to an average day. This indicator can be found here:




Benzinga TradeStation Code

The code determines the relative volume for each 3 min bar of the current session by comparing it to the average volume of the last 20 days. Then a simple average, which is smoothed with a Hull average is calculated. The use of a Hull average here is strange. Works with a 3 min chart.

Problem with this code. You cannot really compare different week days, so I would rather modify the code to compare Mondays with Mondays, Tuesdays with Tuesdays etc. The reason is that some days show volume picking up earlier due to news releases, and you cannot compare the 8:30 AM news release days Thursday and Friday with the other days. You will see this if analyzing volume and range per weekday as shown on this thread




ThinkScripter Code

Plots Green Bars, if the relative volume is greater than 100% of the average volume of the preceding n days, red bars if smaller, and white bars if similar (equal +- tolerance). There is a moving average as well, but no Hull Moving Average for smoothing. Again the analysis is not done for a specific day of the week.


eToke's Blog

Completely different. Plots average volume, standard deviation band, current bar volume and a cunulative difference between actual and average (blue and red lines on the chart). Only works with 15 min charts.


Confusion

All these concepts are quite different. Some show moving averages, other bars, other cumulated volume or standard deviations, some work only on 3 min charts, other on 15 min charts, not easy to select any approach. None of the indicator uses the median, which was used by Dr.Brett Steenbarger.


Starting from Scratch

When coding an indicator, we would first need to make some decisions:

1) Do we want to make an analysis per day of week, or shall we mix Fridays and Mondays? Do we need a filter for Fed Days and Holidays (dates can be entered manually) ?
2) If we compare today's volume, do we want to compare it to the median (Brett Steenbarger) or to the arithmetic average as all the indicators did?
3) Do we really need a standard deviation? How do you use this standard deviation in your trading. Or would you be happy with a different colour if 1 standard deviation is exceeded.
4) Do you want bars that show the relative volume of the current period in relation to the median or average volume of that same period of prior trading days?
5) Do you want a moving average for that relative volume per bar?
6) Do you need an information on cumulated volume?

There is one difficulty. NinjaTrader 6.5. does not have the session manager. This is a typical application, where you need sessions. So it can easily be done in NinjaTrader 7 with its predefined sessions, but not in NinjaTrader 6.5

I can possibly code this quickly, as I can just use the IntradaySeasonality volume indicator, which I mentioned above.


Suggestion

NinjaTrader 7.0, separate analysis per week-day, arithmetic average (not median), no standard deviations (bars can be coloured if 10% below or 10% above average volume), with cumulated volume per session, no moving average of the relative volume (either cumulated volume or moving average), no limitation to a specific timeframe as Benzinga or eToke.

Would you agree? Can you switch to NT 7.0? Indicator would not work with NT 6.5. and I am not ready to code this for NT 6.5., because it would be at least (!) twice the effort due to lack of session manager.

Reply With Quote
The following 5 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #8 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received

Below is a chart of ES of last Friday. The volume was compared to the average volume of the preceeding 20 Fridays (20 weeks, default setting of indicator). Green bars show above average volume (> 115%), red bars show below average volume (< 85%). The line shows the ratio of the cumulated volume divided by the average cumulated volume over the same period. Blue means that the cumulated volume was higher than usual, orange means that it was lower than usual.

On last Friday, the Asian and European sessions had low volume. The volume prior to the open was higher than usual. After the open ES settled down in a trading range on lower volume.

First raw version of Relative Volume Indicator attached below. If you use that indicator, make sure you have a chart lookback period of at least 142 days for the default settings. Never use this indicator in CalculateOnBarClose = false mode, as it is not speed-optimized. The relative volume does not need to be calculated for every incoming tick. The second version should have an option to exclude specific dates such as holidays, FOMC and Flash Crash days.





Edit : Indicator updated on September 6 ( adjustment for different daylight savings rules, fields added for dates to exclude from analysis, such as crashes or holidays, speed improved).

Attached Files
Register to download File Type: zip RelativeVolume.zip (4.2 KB, 418 views)
Reply With Quote
The following 17 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #9 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received

The main problem here are the different time zones. If you are a European user and you want to trade a US instrument, you have to cope with the different dates of the daylight savings schedules. So you need to shift the prior values of the same weekday and time of day by 1 hour to match the opening hours of the futures or stock exchange. The same of course applies, if a US user wants to trade European instruments such as FESX or FDAX.

For NT 7.0 the information on the time zone of the exchange is available from the master data of an instrument, where appropriate sessions and the time zone are defined. For NT 6.5. this information is not available, so you would need to build your own database for the instruments that you want to trade.

The problem does not occur, if you only trade instruments of your own time zone.

But we do not want an indicator that sometimes works correctly and sometimes produces false results? By the way I am not sure yet that the first version of the indicator handles all this correctly. The second version will.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #10 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


I have replaced the original indicator with a new version. The following changes were made:

(1) The bar times are converted to comply with different daylight savings schedules in exchange time and local time of your NinjaTrader installation.

(2) It is now possible to exclude specific dates (outliers) from analysis. The chart below shows an example. Last Thursday's cumulated volume was 64.6% of the average volume of the prior 20 Thursdays. However, if you exclude May 6, the day of the flash crash, the cumulated volume becomes 69.4% of an average Thursday.

(3) The indicator works on fixed period intraday charts (minute charts) and daily charts only. For daily charts no cumulated volume of the session is shown.

(4) The volume bars are now coloured as follows: Green (volume 20% higher than usual), red (volume 20% lower than usual), white in between green and red.

(5) Default settings: The indicator will use the last 20 weeks of data as a reference. The relative volume is displayed for a lookback period of two weeks only. You can increase both reference period and display period, but this will make the indicator slow.

(6) With the default settings of a 20 week reference period, your chart should have a lookback period of 142 days or higher.


The indicator can now be found in the download section of this forum:


Attached Thumbnails
Click image for larger version

Name:	Adapted Relative Volume.jpg
Views:	1008
Size:	150.9 KB
ID:	19795  
Reply With Quote
The following 8 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #11 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received

Fat Tails,
Wow! Not only are you exhaustive and quick to respond but you have indicator versions up already! That is amazing!
Please find my responses below:



Fat Tails View Post

Confusion

All these concepts are quite different. Some show moving averages, other bars, other cumulated volume or standard deviations, some work only on 3 min charts, other on 15 min charts, not easy to select any approach. None of the indicator uses the median, which was used by Dr.Brett Steenbarger.

I agree that I needed to be more clear. But I feel this indicator would need some tweaking/experimentation as we figure out the various ways it can add value. Dr Brett uses it straight up to volatility-adjust his targets; find interesting article here; TraderFeed: Defining Profit Targets and Formulating Targeted Trading Plans
I will start off using it the same way and am sure will find ancillary uses. Bottom line: I think it is ok to start off with any measure of relativity (MA/median and SD; mixed days or distinct days-of-week, 3 mins or 30m bars) but we will find along the way what works better.


Fat Tails View Post
Starting from Scratch

When coding an indicator, we would first need to make some decisions:

1) Do we want to make an analysis per day of week, or shall we mix Fridays and Mondays? Do we need a filter for Fed Days and Holidays (dates can be entered manually) ?

Comparing against day-of-week makes it a more accurate and sophisticated indicator, and I think you have already done it, thanks! If it not too much of a tweak, could we have both options; compare against last 'n' days, n can be last n day-of-week or last n trading days(mixing days). I think the last 'n' trading days will work in 6.5 too?


Fat Tails View Post
2) If we compare today's volume, do we want to compare it to the median (Brett Steenbarger) or to the arithmetic average as all the indicators did?
3) Do we really need a standard deviation? How do you use this standard deviation in your trading. Or would you be happy with a different colour if 1 standard deviation is exceeded.

As I said, any baseline measure should be ok for the purpose of a sentiment indicator. Dr Bret has a preference for median, maybe because he uses Standard dev, I do not know if that is superior to an arithmetic avg.
Std Dec plotted as lines could be another visual indicator. I found indicator warehouse has a similar indicator, where they plot std dev, you can take a look here: Volume Time Analysis


Fat Tails View Post
4) Do you want bars that show the relative volume of the current period in relation to the median or average volume of that same period of prior trading days?

Yes


Fat Tails View Post
5) Do you want a moving average for that relative volume per bar?

Not terribly important but a good to have


Fat Tails View Post
6) Do you need an information on cumulated volume?

Yes


Fat Tails View Post
Suggestion

NinjaTrader 7.0, separate analysis per week-day, arithmetic average (not median), no standard deviations (bars can be coloured if 10% below or 10% above average volume), with cumulated volume per session, no moving average of the relative volume (either cumulated volume or moving average), no limitation to a specific timeframe as Benzinga or eToke.

Would you agree? Can you switch to NT 7.0? Indicator would not work with NT 6.5. and I am not ready to code this for NT 6.5., because it would be at least (!) twice the effort due to lack of session manager.

What you have already put out looks good to me. Just one suggestion top of the mind:
The relativity color code settings (green/white/red bar) - would want to have more control over that. The coloring is good but would want to also see the trend. e.g. if it is red it might be 79% of avg volume and falling or 69% of avg volume and rising. Would you say the slope of the cumulative ratio line would indicate trend, or is there a better way possibly? Also maybe you could allow the user to set the threshold (15%-20%) at which the color change occurs so user can have more insight on where the volume exactly is and follow a move up or down.

As I said we would need to experiment with this as we go along if you are amenable to that. If you can make a non day-of-week version cater to 6.5 ok (I am quite settled on 6.5 at present), if not that is ok too. I run two computers and I am migrating 6.5 to 7 on one of them, have run into some issues. Let me get that up, run the indicator and get back to you.

BTW, your thread is another kickass thread, invaluable information.
Muchas gracias
- soulartist

Started this thread Reply With Quote
The following 3 users say Thank You to soulartist for this post:
 
(login for full post details)
  #12 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received

The main problem with NT 6.5. is that it is based on .NET 2.0 and therefore it cannot convert timezones properly. Actually there is no method in .NET 2.0 that allows me to convert a time from local time to exchange time and then back to local time.

As I am located in Europe this means that I always run into issues with the different start and end dates for daylight savings times. If I do not take that into account, the indicator will produce an analysis for ES based on my local time zone, and by doing so adding 10:00 AM bars to 11:00 AM bars.

This problem can only be solved by either ignoring it (produces false results for any instrument which is not traded in your local zone) or by including information regarding timezone of exchange for each instrument you want to analyze and coding DST conversion algorithms.

So with NT 6.5 either you will get improper results (which I refuse) or I will sit and code for weeks to add the missing TimeZoneInfo members (which I also refuse).

NT 7.0 relies on .NET 3.5., which allows for time conversion, so the problem is solved. The timezone of the instrument can be accessed, because it is part of the master data of the instrument, which is not the case for NT 6.5.

No way, that l will do something quick and dirty for NT 6.5. ! You need to ask somebody else.

The solution for NT 7.0 is proper. No false results. I can easily make some of the thresholds or colors user selectable. That is a couple of minutes of work.

Reply With Quote
 
(login for full post details)
  #13 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received


Fat Tails View Post
No way, that l will do something quick and dirty for NT 6.5. ! You need to ask somebody else.

The solution for NT 7.0 is proper. No false results. I can easily make some of the thresholds or colors user selectable. That is a couple of minutes of work.

Hi Fat Tails,
never mind about v 6.5, I understand. And agree that there is no point moving backwards.

I have set up Nt7 on one machine and will run this indicator from tomorrow and see how it behaves.

Meanwhile could you kindly look at following enhancements:
(1) the thresholds and colors user as selectable, as you have mentioned above
(2) Is it possible to have a running percentage or ratio displaying against the candle or right pane. e.g. if the current bar has .95 relative volume at this point this displays till it changes (within this bar or in the next bar). This supplements the color coding and tells us exactly where volume is relatively; allowing us to adjust threshold settings as/if required

Thanks
- soulartist

Started this thread Reply With Quote
 
(login for full post details)
  #14 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


soulartist View Post
Hi Fat Tails,
never mind about v 6.5, I understand. And agree that there is no point moving backwards.

I have set up Nt7 on one machine and will run this indicator from tomorrow and see how it behaves.

Meanwhile could you kindly look at following enhancements:
(1) the thresholds and colors user as selectable, as you have mentioned above
(2) Is it possible to have a running percentage or ratio displaying against the candle or right pane. e.g. if the current bar has .95 relative volume at this point this displays till it changes (within this bar or in the next bar). This supplements the color coding and tells us exactly where volume is relatively; allowing us to adjust threshold settings as/if required

Thanks
- soulartist

(1) Added.

(2) I have put a speed-optimized version of the indicator in the download section, which can be used in CalcOnBarClose = false mode without any problems. You can now watch "Relative Volume TV". The current value of the relative volume is displayed next to the last developping bar.

Download here:


Attached Thumbnails
Click image for larger version

Name:	ES 09-10 (15 Min)  07_09_2010.jpg
Views:	452
Size:	104.1 KB
ID:	19831  
Reply With Quote
The following 6 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #15 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received

Super Fat Tails.

All eager to use it.... still struggling with setting up NT7 (rebuilding all charts), but will revert in a couple of days

Thanks
- soulartist

Started this thread Reply With Quote
The following user says Thank You to soulartist for this post:
 
(login for full post details)
  #16 (permalink)
Market Wizard
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,978 since Oct 2009
Thanks: 3,655 given, 5,117 received

What differences are there between this version of better volume which is not free;
Volume Indicator – Better Volume Indicator for NinjaTrader

and this version which is free ?
Links and Downloads Manager - NinjaTrader Support Forum

Reply With Quote
 
(login for full post details)
  #17 (permalink)
New Orleans, La (Mardi Gras City)
 
Experience: Advanced
Platform: NinjaTrader
Broker: Ninjatrader / Optimus Futures / AmpFutures
Trading: ES / 6E / 6B / CL
 
DavidHP's Avatar
 
Posts: 1,347 since Aug 2009
Thanks: 9,411 given, 2,359 received

$67.00





trendisyourfriend View Post
What differences are there between this version of better volume which is not free;
Volume Indicator – Better Volume Indicator for NinjaTrader

and this version which is free ?
Links and Downloads Manager - NinjaTrader Support Forum


Rejoice in the Thunderstorms of Life . . .
Knowing it's not about Clouds or Wind. . .
But Learning to Dance in the Rain ! ! !
Follow me on Twitter Reply With Quote
The following 2 users say Thank You to DavidHP for this post:
 
(login for full post details)
  #18 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


trendisyourfriend View Post
What differences are there between this version of better volume which is not free;
Volume Indicator – Better Volume Indicator for NinjaTrader

and this version which is free ?
Links and Downloads Manager - NinjaTrader Support Forum


You do not need to pay. The free version is as good as the other one. I have my own customized version. If you like I can post it in the download section.

E-mini Watch has also developped a volume pattern indicator. I do not know whether the free version here is identical. Any comments?

Reply With Quote
 
(login for full post details)
  #19 (permalink)
Market Wizard
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,978 since Oct 2009
Thanks: 3,655 given, 5,117 received


Fat Tails View Post
You do not need to pay. The free version is as good as the other one. I have my own customized version. If you like I can post it in the download section.

E-mini Watch has also developped a volume pattern indicator. I do not know whether the free version here is identical. Any comments?

Customized in what way ?

Regarding their volume pattern, it's named "The Better Pro Am". What other indicator is similar to this here ?

Reply With Quote
 
(login for full post details)
  #20 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


trendisyourfriend View Post
Customized in what way ?

Regarding their volume pattern, it's named "The Better Pro Am". What other indicator is similar to this here ?

Do not remember the differences between the Better Volume Indicators, maybe settings and soundfiles.

Have not tested the Better Pro Am approach. You can have a look here:

Downloads - NinjaTrader 6.5 Indicators - Volume Patterns - Big Mike's Day Trading Forum

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #21 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received

Have just reworked the indicator:

(1) Now compatible with multi-session templates.

(2) The indicator now plots the numeric value of the cumulated volume in the indicator panel.

(3) Below is an example of an application. I have looked at the cumulated relative volume (this is the cumulated volume divide by the average cumulated volume for n days (same weekday) of the same period. If the cumulated volume of the night session (RTH close to RTH open) is higher than 110%, the odds for a reversal or an expansion do increase.

Indicator only runs on NT 7.0.0.21 or later. I will wait a bit to put it into the downloads section.

Attached Thumbnails
Click image for larger version

Name:	Relative Volume.jpg
Views:	736
Size:	119.9 KB
ID:	20095  
Attached Files
Register to download File Type: zip RelativeVolumeV12.zip (4.7 KB, 143 views)
Reply With Quote
The following 7 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #22 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received

Fat Tails,
The older version of the indicator does not work after installing Nt beta v 21. I was about to ask you about code upgrade for v21 but I suppose you have already taken care of it in this updated version?

In any case I am appending the relevant info:

NinjaScript updates:
– GetSessionDate() is no longer publicly exposed. Please use GetTradingDayFromLocal() instead.
– GetSessionBar() is now deprecated. Please use GetDayBar() instead.

More info about what has changed:
NinjaTrader Version 7
NinjaTrader Version 7

The application you have provided is an interesting one.
But the new version of the indicator would still plot in a separate pane, I suppose?


I am still having issues after installing Nt7 and so unable to run the indicator still. Historical data is not loading onto my charts though I have more than 1 yr data migrated successfully from nt6.5 into nt7. The charts hang after saying loading data and ultimately say IB historical data request overload... why it does not load historical data available on the disk I do not know. Any insights into getting Nt7 up and running with historical data migrated from nt6.5?

Thanks
- soulartist

Started this thread Reply With Quote
 
(login for full post details)
  #23 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


soulartist View Post
Fat Tails,
The older version of the indicator does not work after installing Nt beta v 21. I was about to ask you about code upgrade for v21 but I suppose you have already taken care of it in this updated version?

In any case I am appending the relevant info:

NinjaScript updates:
– GetSessionDate() is no longer publicly exposed. Please use GetTradingDayFromLocal() instead.
– GetSessionBar() is now deprecated. Please use GetDayBar() instead.

More info about what has changed:
NinjaTrader Version 7
NinjaTrader Version 7

The application you have provided is an interesting one.
But the new version of the indicator would still plot in a separate pane, I suppose?


I am still having issues after installing Nt7 and so unable to run the indicator still. Historical data is not loading onto my charts though I have more than 1 yr data migrated successfully from nt6.5 into nt7. The charts hang after saying loading data and ultimately say IB historical data request overload... why it does not load historical data available on the disk I do not know. Any insights into getting Nt7 up and running with historical data migrated from nt6.5?

Thanks
- soulartist

Hi soulartist,

Compatibility of the indicator

The old versions of the indicators do not use any of the depreciated methods. I have tested them on NT 7.0.0.21 and they are all working.

It is just the new version from post #21, which will not run on the older NT versions.

Loading Historical Data

You should first load daily data from Kinetick. In mode MergeBackadjusted you will get over 2 years of data for all major futures contracts. The Kinetick data is better than IB data.

I did not import my data from NT 6.5. but reloaded intraday data from Interactive Brokers. They have data throttling, but you can

Open a chart of your instrument, set it to about 100 days ( make sure that you load the front month and the entire last front month, so today for September 14, I would use 110 days to go back to the beginning of June and include the entire September contract. Then increase the lookback period of the chart from 100 to 190 days to include the June contract. Continue increasing by 90 days. The process will get interrupted by data throttling, but in the end you will have your data. With IB you can easily go back to the beginning of 2009 for intraday data.

For updating contracts, I use the historical data manager. You can just select the default group, select the appropriate update period, and all instruments will update one by one, while you have a cup of coffee. Updating for daily data via Kinetick, for intraday data via IB.

Reply With Quote
The following 3 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #24 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received

Fat Tails,
Thanks a ton for the inputs

Let me try to work this out and I will get back to you

- soulartist

Started this thread Reply With Quote
 
(login for full post details)
  #25 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received

Have worked today to make this beast faster by using recursive formulae. Not so easy, as

- some days (holidays) do not contain data
- the divisor for the average volume needs to be adapted to the number of results found
- if the first data point is empty, the recursive formula cannot be used
- etc.

In the end I have now a modified indicator, which is significantly faster, if you select longer reference and display periods. I have not changed the default settings, which have 2 weeks displayed and 20 weeks referenced (-> your chart must have hat least 20 + 2 +1 = 23 calendar weeks of intraday data). For the default settings, there is virtually no speed gain.

However, if you use the indicator on 50 reference weeks and 50 display weeks (-> your chart must have at least 50 + 50 + 1 = 101 weeks or roughly 2 years of intraday data), then the speed gain can be significant. For a 15 min chart it came down from 2 minutes to 20 seconds.

I won't put the indicator in the download section right now, as I am still running some experiments.

Attached latest indicator for NT 7.0

Attached Files
Register to download File Type: zip RelativeVolumeV14.zip (5.1 KB, 160 views)
Reply With Quote
The following 12 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #26 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received

Hi Fattails,
Thanks a ton for the indicator, I am able to use it as I had envisaged.

I like the fact that I was able to bring an idea or trading input to the table and now we have an indicator to work the idea courtesy your efforts.

Let me bring another idea to the table - that of comparing relative performance of indices/sectors/equities/commodities... any market(s) that one may want to compare, across different periodicities and time periods. Two usage scenarios come to mind straightaway
1. Compare intraday performance for the S&P sectors, futures and select stocks. Plot graphs of each as % change from opening price
2. Compare sector and/or select equities performance for a set period - say quarter or year.

To my knowledge nothing like this exists on NT, at least I did not find anything. But this indicator/feature exists in a fully developed form on Investor RT platform, please refer to the video at - TechSmith | Screencast.com, online video sharing, Charting Relative Performance
Another example can be found at : PerfChart - Charting Tools - StockCharts.com[COMM]

I have created a separate thread for this ( ), would really appreciate you taking a look at this if it interests you. The video showcases the features much better than I would be able to explain.

Thanks
soulartist

Started this thread Reply With Quote
 
(login for full post details)
  #27 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


soulartist View Post
Hi Fattails,
Thanks a ton for the indicator, I am able to use it as I had envisaged.

1. Compare intraday performance for the S&P sectors, futures and select stocks. Plot graphs of each as % change from opening price
2. Compare sector and/or select equities performance for a set period - say quarter or year.

To my knowledge nothing like this exists on NT, at least I did not find anything.

NT 6.5 did not allow for multiple data series on a single chart. With NT 7.0 this should be possible. Will think about it.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #28 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received


Fat Tails View Post
NT 6.5 did not allow for multiple data series on a single chart. With NT 7.0 this should be possible. Will think about it.

Great Fat Tails.

Here's my concrete concrete idea for intraday usage.
Overlay this indicator (% increase from open) on a TICK chart. At a glance this will give TICK confirmation/divergence for all instruments/markets one is tracking.

Started this thread Reply With Quote
 
(login for full post details)
  #29 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


soulartist View Post
Great Fat Tails.

Here's my concrete concrete idea for intraday usage.
Overlay this indicator (% increase from open) on a TICK chart. At a glance this will give TICK confirmation/divergence for all instruments/markets one is tracking.

Interesting idea, I am currently using Tick with Audio Alerts, so your suggestion fits well into my agenda. But needs some time to breed....

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #30 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received

Fat Tails,
Take all the time you need to produce a quality breed.

Glad that my idea found resonance with you.

I currently track NYSE Tick on a separate chart too along with Cumulative tick, but what I outlined will provide a "at a glance" intraday sentiment snapshot, I feel. This towards my goal of zoning in on a few fundamental concepts and applying them consistently.

- soulartist

Started this thread Reply With Quote
 
(login for full post details)
  #31 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received

Have put the RelativeVolume V14 in the download section. No further changes.

Reply With Quote
The following 8 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #32 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,744 since Jun 2009
Thanks: 32,292 given, 97,486 received


Fat Tails View Post
Have put the RelativeVolume V14 in the download section. No further changes.

View Download Details - Big Mike's Trading Forum

Notifications sent to previous downloaders.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
(login for full post details)
  #33 (permalink)
Singapore
 
Experience: Intermediate
Platform: NinjaTrader, Sierra Charts
Broker: Thinkorswim, IQFeed
Trading: Options of SPY, IWM, QQQ
 
wccktrader's Avatar
 
Posts: 47 since Nov 2010
Thanks: 54 given, 148 received


Fat Tails View Post
Have put the RelativeVolume V14 in the download section. No further changes.

Thank you very much for this indicator. If one could place this indicator in Ninjatrader's Market Analyser, one could be alerted of volume surges in any of the stocks in the watchlist. I have tried to do this but was not successful. Could you advise how it could be made to work. Thanks.

Reply With Quote
 
(login for full post details)
  #34 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


wccktrader View Post
Thank you very much for this indicator. If one could place this indicator in Ninjatrader's Market Analyser, one could be alerted of volume surges in any of the stocks in the watchlist. I have tried to do this but was not successful. Could you advise how it could be made to work. Thanks.

The relative volume indicator needs quite a long lookback period, as it uses all data of the n preceding weeks, also it will possibly slow down NinjaTrader if used simutaneously on several instruments. So I am not sure, whether it can be used via the market analyzer. For your purposes it might be eaier to determine a general intraday volume profile and then check against that profile by using daily volume and a factor derived from the volume profile.

Will think about a solution.

Reply With Quote
The following 7 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #35 (permalink)
Singapore
 
Experience: Intermediate
Platform: NinjaTrader, Sierra Charts
Broker: Thinkorswim, IQFeed
Trading: Options of SPY, IWM, QQQ
 
wccktrader's Avatar
 
Posts: 47 since Nov 2010
Thanks: 54 given, 148 received

Thanks again. I have a simple code in Sierra Charts which I call "Virtual Volume Buzz" which takes on the idea you mentioned. It compares the current day volume profile (based on 10 min charts ) against the average volume profile for the last 4 days. The code is appended below. As I am new to coding in Ninjatrader, I have not been able to code it in Ninjatrader. If it could be improved and coded for use in Ninjatrader's Market Analyser, it would be great!


SCSFExport scsf_VirVolBuzz(SCStudyGraphRef sg)
{
// Section 1 - Set the configuration variables

SCFloatArrayRef Day = sg.Subgraph[1].Arrays[0];
SCFloatArrayRef DayCumVol = sg.Subgraph[2].Arrays[0];
SCFloatArrayRef AvgCumVol = sg.Subgraph[3].Arrays[0];
SCFloatArrayRef VolChng = sg.Subgraph[4].Arrays[0];

SCFloatArrayRef Avg = sg.Subgraph[5].Arrays[0];

if (sg.SetDefaults)
{
// Set the configuration and defaults

sg.GraphName = "VirVolBuzz";
sg.StudyDescription = "VirVolBuzz";
sg.FreeDLL = 0;
sg.AutoLoop = 1; // true
sg.GraphRegion = 1;
sg.Subgraph[0].Name = "VirVolBuzz";
sg.Subgraph[0].DrawStyle = DRAWSTYLE_LINE;
sg.Subgraph[0].PrimaryColor = RGB(255,127,0);//magenta

sg.Input[0].Name = "Length";
sg.Input[0].SetInt(39); //Based on 10 mins charts i.e. 39 bars in a trading day. For hourly charts, this can be changed to 7.

sg.Input[0].SetIntLimits(1,1000);

}

// Section 2 - Do data processing here

int i = sg.Index;

// Get the input into a local variable.

int InLength = sg.Input[0].GetInt();


for (int w=0; w <= sg.ArraySize-1; ++w)

{

Day[w]=DATE_PART(sg.BaseDateTimeIn[w]);

}

for (int s=0; s <= sg.ArraySize-1; ++s)

{

if (Day[s] == Day[s-1])

{

DayCumVol[s]=sg.BaseDataIn[SC_VOLUME][s]+DayCumVol[s-1];

}

else

{

DayCumVol[s]=sg.BaseDataIn[SC_VOLUME][s];

}
}


Avg[i] = (DayCumVol[i-InLength] + DayCumVol[i-InLength*2] + DayCumVol[i-InLength*3] + DayCumVol[i-InLength*4])/4;

sg.Subgraph[0][i]=DayCumVol[i] / Avg[i];

}

Reply With Quote
 
(login for full post details)
  #36 (permalink)
Hong Kong
 
Experience: Intermediate
Platform: NinjaTrader
Trading: Currency / Index Futures
 
NTrader's Avatar
 
Posts: 35 since Mar 2011
Thanks: 97 given, 9 received

Thanks again Fat Tails. It works perfectly after trying out the various settings. Now the color of the bar change when it reaches a certain percentage level, below 80 RED, 81-119 WHITE, above 120 GREEN, according to the default setting. I wonder if there could be such an option that the color can change live against the proportional completion of time, e.g. in 1 min out of a 5 min chart, if the figure goes up above 24 (which virtually represents 120 in 5 min), and the color changes to green in that case. Similarily below 16 = RED, 16-24 = WHITE etc.

I believe 5 min is more reliable than 1 min, so I try not to use 1 min chart to accomplish what I suggested above. But sometime the great movement happens right in the middle of 5 min. Right now, I use your bartime to monitor the progress of the bar in the 5 min.

BTW, I still recall from time to time the great moments I spent in the Capital of BEAR back to my young age.

Best regards,
NTrader

Reply With Quote
 
(login for full post details)
  #37 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


NTrader View Post
Thanks again Fat Tails. It works perfectly after trying out the various settings. Now the color of the bar change when it reaches a certain percentage level, below 80 RED, 81-119 WHITE, above 120 GREEN, according to the default setting. I wonder if there could be such an option that the color can change live against the proportional completion of time, e.g. in 1 min out of a 5 min chart, if the figure goes up above 24 (which virtually represents 120 in 5 min), and the color changes to green in that case. Similarily below 16 = RED, 16-24 = WHITE etc.

I believe 5 min is more reliable than 1 min, so I try not to use 1 min chart to accomplish what I suggested above. But sometime the great movement happens right in the middle of 5 min. Right now, I use your bartime to monitor the progress of the bar in the 5 min.

BTW, I still recall from time to time the great moments I spent in the Capital of BEAR back to my young age.

Best regards,
NTrader

Agree that this should not be used on 1 minute bars. This applies to all volume indicators. There is too much random volume.

As I understand it, your wish just refers to the large bar. This would require to include a full bar timer within the indicator or to access the other bar timer. It certainly makes sense but is a lot of effort for such a little feature.

In the end it will give you the information of the relative volume for fractional bars, that is 1 minute bars within the 5 minute bars, which is not reliable anyhow, because that is reason that you use 5 minute bars.

I think I won't include it with the standard indicator, but maybe if I find some time, I will play around with it.

Reply With Quote
 
(login for full post details)
  #38 (permalink)
Hong Kong
 
Experience: Intermediate
Platform: NinjaTrader
Trading: Currency / Index Futures
 
NTrader's Avatar
 
Posts: 35 since Mar 2011
Thanks: 97 given, 9 received

Thanks so much FT. Yes, I agree the existing one is already doing a great job. I particularly like the idea "relative" to previous the same time slot, instead of the previous n period. Do you know there are "relative range indicator" and "relative tick velocity indicator" etc. avaliable or that can be developed? I believe there could be predicative value like the "relative volume indicator" when we see the price movements(range/velocity) behave differently from what we usually expect in the past.

Reply With Quote
 
(login for full post details)
  #39 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


NTrader View Post
Thanks so much FT. Yes, I agree the existing one is already doing a great job. I particularly like the idea "relative" to previous the same time slot, instead of the previous n period. Do you know there are "relative range indicator" and "relative tick velocity indicator" etc. avaliable or that can be developed? I believe there could be predicative value like the "relative volume indicator" when we see the price movements(range/velocity) behave differently from what we usually expect in the past.

I have done an intraday range indicator as well, but it does not compare the ranges of the current bars to the ranges typically found. It just displays the average range for a certain period of a weekday to indicate whether that time is suitable for trading. I have used it to determine my optimum trading times.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #40 (permalink)
toronto, ontario
 
Experience: Intermediate
Platform: ninja trader
Broker: sterling, iqfeed
Trading: es, nq, 6e
 
bizman70's Avatar
 
Posts: 363 since May 2010
Thanks: 41 given, 140 received

wondering if we can create a push like a wykoff type of volume bar with the relative volume - meaning when there is bar that is greather then past X bars the volume bar changes colours

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #41 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


bizman70 View Post
wondering if we can create a push like a wykoff type of volume bar with the relative volume - meaning when there is bar that is greather then past X bars the volume bar changes colours

This is certainly feasible, but I do not think that it helps with trading. The most important information of the relative volume is not the volume for a specific bar (unless you look at the opening bar or news events), but the cumulated relative volume which is a measure of participation. If participation is much higher than usual, this means that something is in the offing.

Reply With Quote
The following 2 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #42 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received


Fat Tails View Post
Interesting idea, I am currently using Tick with Audio Alerts, so your suggestion fits well into my agenda. But needs some time to breed....

Hi Fat Tails, just checking in, did you get a chance to develop this idea (relative performance indicator).

Started this thread Reply With Quote
 
(login for full post details)
  #43 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


soulartist View Post
Hi Fat Tails, just checking in, did you get a chance to develop this idea (relative performance indicator).

There is no concept yet, what to do with this and how to use it, so I have not invested any time.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #44 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received


Fat Tails View Post
There is no concept yet, what to do with this and how to use it, so I have not invested any time.

Hi Fat Tails, please refer to the thread : - I had laid out some ideas here.

Once definite way I want to use this is as a trend vs Range day indicator. If the key sectors (which are to be compared in the indicator) move in unison, chance of a trend day. If they are mixed (some up some down) - it will be a range day. This is important input to have a quick prediction of possible day type and adjust trading plan accordingly. This is Bret Brett Steenbarger's concept, refer to the articles:
TraderFeed: Six Ways to Identify a Trend Day in the Stock Market
6 Signs of a Range-Bound Market - Seeking Alpha

Do let me know if you find this perspective useful .
Thanks

Started this thread Reply With Quote
The following user says Thank You to soulartist for this post:
 
(login for full post details)
  #45 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


soulartist View Post
Hi Fat Tails, please refer to the thread : - I had laid out some ideas here.

Once definite way I want to use this is as a trend vs Range day indicator. If the key sectors (which are to be compared in the indicator) move in unison, chance of a trend day. If they are mixed (some up some down) - it will be a range day. This is important input to have a quick prediction of possible day type and adjust trading plan accordingly. This is Bret Brett Steenbarger's concept, refer to the articles:
TraderFeed: Six Ways to Identify a Trend Day in the Stock Market
6 Signs of a Range-Bound Market - Seeking Alpha

Do let me know if you find this perspective useful .
Thanks

Relative performance can be coded, but I am afraid that NinjaTrader is not the best platform to code that. The problem is speed when adding secondary DataSeries. If you just have a few symbols, let us say 3 or 4, NinjaTrader can cope with this, but if you want to calculate a composite index for evaluating performance, it will certainly freeze.

Reply With Quote
The following 3 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #46 (permalink)
California
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: ES
 
Posts: 20 since Aug 2010
Thanks: 8 given, 10 received

Hi Fat Tails,
yes I am looking to compare the indices and key S&P sectors (using the sector ETFs), so at least 10 instruments...
Any ideas/suggestions as how best this can be done, with or without Ninjatrader?
Thanks.

Started this thread Reply With Quote
 
(login for full post details)
  #47 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


soulartist View Post
Hi Fat Tails,
yes I am looking to compare the indices and key S&P sectors (using the sector ETFs), so at least 10 instruments...
Any ideas/suggestions as how best this can be done, with or without Ninjatrader?
Thanks.

I have not done this so far, maybe there other experts you should ask.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #48 (permalink)
Thailand
 
Experience: Intermediate
Platform: IB TWS
Trading: ES
 
Posts: 27 since Jun 2011
Thanks: 17 given, 12 received


soulartist View Post
Hi Fat Tails,
yes I am looking to compare the indices and key S&P sectors (using the sector ETFs), so at least 10 instruments...
Any ideas/suggestions as how best this can be done, with or without Ninjatrader?
Thanks.

You can try Amibroker. Apparently its portfolio analysis capability is the best in industry. I found this info while researching what tools to learn since I need to "up my game" to start making money again. You'll have to learn AFL coding. ( I don't know AFL. I've decided to spend my efforts learning C# to use with NT for charting, and with Openquant for Autotrading )

Reply With Quote
The following user says Thank You to olevkat for this post:
 
(login for full post details)
  #49 (permalink)
Portland, OR
 
Experience: Intermediate
Platform: NinjaTrader mostly
Broker: I've tried 'em all
Trading: ZN, ES, 6E, TF, CL
 
drmartell's Avatar
 
Posts: 94 since Mar 2010
Thanks: 176 given, 78 received

Fat Tails,

As you know, the time it takes for bars on a tick chart to complete is highly correlated to volume. I.e. the more volume the faster the bars.

I wonder if you would consider creating an analogous indicator that would track the time that bars are taking to complete with the speed expressed as a multiple of the historical speed for that time of day. In other words, faster bars would created a larger indicator value.

This would be a help to me as I notice that counter trending the market is lower probability during higher volume periods, however when focused on tick charts, it seems possible to get 'hypnotized' and not have a sense of how quickly bars are forming.

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #50 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


drmartell View Post
Fat Tails,

As you know, the time it takes for bars on a tick chart to complete is highly correlated to volume. I.e. the more volume the faster the bars.

I wonder if you would consider creating an analogous indicator that would track the time that bars are taking to complete with the speed expressed as a multiple of the historical speed for that time of day. In other words, faster bars would created a larger indicator value.

This would be a help to me as I notice that counter trending the market is lower probability during higher volume periods, however when focused on tick charts, it seems possible to get 'hypnotized' and not have a sense of how quickly bars are forming.

It would be more difficult compared to the current Relative Volume Indicator.

To understand the reason, this is what the relative volume indicator does:

If you look at the bar that plots for Friday 2:15 PM to 2:30 PM, the indicator will go backwards in time and collect the volume of the prior N bars for that period on Friday. So if N is 40, the indicator will look back for 40 weeks to collect that information. To take into account daylight savings time, this is done in exchange time, as local time may deviate from exchange time and create false results. Then the indicator takes the average volume of those 40 days and compares it to the current day's volume.

When the same logic is applied to tick bars, it is a little bit more difficult to identify the preceding reference bars, to which the current bar will be compared. Each of those bars will have different start and end times. Let us assume that our tick bar today lasts from 2:17:53 to 2:24:11. When going back a couple of weeks, I actually may find 3 bars, one covering the time from 2:12:05 to 2:18:34, another one the time from 2:18:35 to 2:22:37 and a third one the time from 2:22:37 to 2:29:44. So I would need to take the volume of those three bars pro rata to cover the overlap with the current bar. That would needed to be done for each of the 40 weeks.

Although all this is feasible, it is not really simple to do.

Also there is a higher correlation between ticks and volume than between time and volume, so the results will be less interesting compared to the results for time based bars. That specific smile over the regular session indicating higher per-bar-volume in the beginning and the end of the session, will be less pronounced on tick charts.

Reply With Quote
The following 3 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #51 (permalink)
Portland, OR
 
Experience: Intermediate
Platform: NinjaTrader mostly
Broker: I've tried 'em all
Trading: ZN, ES, 6E, TF, CL
 
drmartell's Avatar
 
Posts: 94 since Mar 2010
Thanks: 176 given, 78 received


Fat Tails View Post
So I would need to take the volume of those three bars pro rata to cover the overlap with the current bar. That would needed to be done for each of the 40 weeks.

Thanks for the reply. To clarify, I was suggesting a relative time histogram, analogous to the relative volume histogram. The concept would be to look back in history and determine the average amount of time that a tick bar takes to form at its specific time of day and then compare the current day to that reference. In this way, time is used as a proxy for volume and volume need not be referenced at all. As you point out, tick volume is not the same as total volume, but my sense is the correlation is strong enough to yield meaningful information.

However the time stamp issue you raised remains and would need to be dealt with differently than in the Relative Volume indicator. One way to approach it might be for each bar on the current day, determine its time stamp, then loop back through preceding days and average the duration of the one bar from each day that contains that time stamp.

Maybe this is more substantially different from the Relative Volume indicator that I first thought

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #52 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


drmartell View Post
Thanks for the reply. To clarify, I was suggesting a relative time histogram, analogous to the relative volume histogram. The concept would be to look back in history and determine the average amount of time that a tick bar takes to form at its specific time of day and then compare the current day to that reference. In this way, time is used as a proxy for volume and volume need not be referenced at all. As you point out, tick volume is not the same as total volume, but my sense is the correlation is strong enough to yield meaningful information.

However the time stamp issue you raised remains and would need to be dealt with differently than in the Relative Volume indicator. One way to approach it might be for each bar on the current day, determine its time stamp, then loop back through preceding days and average the duration of the one bar from each day that contains that time stamp.

Maybe this is more substantially different from the Relative Volume indicator that I first thought

Yes, it is a bit different. I do not think that you can use time as a proxy for volume, the correlation between time and volume is not very good. But as you said whether you print the expected duration of a tick bar or the expected volume, both based on prior weeks volume for that day of the week and that specific time, the issues remain the same.

It can be done, but it is simply a bit more complex than the original Relative Volume indicator. I currently have too many projects, so I cannot guarantee that I will be able to do it soon.

Anyhow, the idea makes sense.

Reply With Quote
The following 3 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #53 (permalink)
Temecula, CA, USA
 
 
Posts: 2 since Sep 2010
Thanks: 2 given, 0 received


Fat Tails View Post
Yes, it is a bit different. I do not think that you can use time as a proxy for volume, the correlation between time and volume is not very good. But as you said whether you print the expected duration of a tick bar or the expected volume, both based on prior weeks volume for that day of the week and that specific time, the issues remain the same.

It can be done, but it is simply a bit more complex than the original Relative Volume indicator. I currently have too many projects, so I cannot guarantee that I will be able to do it soon.

Anyhow, the idea makes sense.

Hello, this is my first post, I have been a futures.io (formerly BMT) stalker for a while. Fat Tails, I see you all over the forum thank you so much for your insight and help, much apreciated. I posted on the ninja trader forum about help for a relative volume indicator and was directed to your thread. Does your indicator have the ability to take the last six days and average the highest five days for that time period? I am attempting to continue to utilize a methodology I learned from a course I bought but can no longer pay the monthly fee to have access to their indicators. I need to just have the indicator display the RV at the top of the chart for the cumulative volume average for the highest five days out of six for each time period. Is the logic or formula for this difficult so that I can create it? Always, thank you for you insight and help.

Reply With Quote
 
(login for full post details)
  #54 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


loujen213 View Post
Hello, this is my first post, I have been a futures.io (formerly BMT) stalker for a while. Fat Tails, I see you all over the forum thank you so much for your insight and help, much apreciated. I posted on the ninja trader forum about help for a relative volume indicator and was directed to your thread. Does your indicator have the ability to take the last six days and average the highest five days for that time period? I am attempting to continue to utilize a methodology I learned from a course I bought but can no longer pay the monthly fee to have access to their indicators. I need to just have the indicator display the RV at the top of the chart for the cumulative volume average for the highest five days out of six for each time period. Is the logic or formula for this difficult so that I can create it? Always, thank you for you insight and help.

The Relative Volume Indicator compares the volume of the current bar with the average volume of the preceding N bars that occured at the same time of the day and week.

For example, if the current bar is the 2:15 PM bar on today is Thursday, it will then collect the volume for the last N Thursday 2:15 PM bars and calculate the average volume for those bars. The relative volume is the ratio of the current bar's volume divided by that average. This means that you require about N+1 weeks of data to calculate the relative volume.

This definition is not the only possible definition. For example you could scrap the day-of-week criterion and compare today's volume to the average volume of the preceding N days, irrespectively whether they were Thursdays or not.

Your idea is different, as you want to use a 5-out-of-6 approach. This would require some custom coding.

Reply With Quote
The following 3 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #55 (permalink)
Herning Denmark
 
Experience: Intermediate
Platform: NinjaTrader
Broker: nothing yet
Trading: Stocks
 
Posts: 3 since Jan 2012
Thanks: 0 given, 1 received

thz alot for all this information.
learned alot.

Reply With Quote
 
(login for full post details)
  #56 (permalink)
Toronto, Canada
 
Experience: Intermediate
Platform: Ninjatrader, MT4
Trading: Forex, US Index Futures
 
stefan416's Avatar
 
Posts: 58 since Sep 2011
Thanks: 15 given, 12 received

Hey,
Might be a dumb question but is the "Cumulated Ratio" the ratio between the average and the actual volume for that period or is it the accumulated volume up until that point in the day? I've been scouring for the latter type of indi but have come up empty handed. I think it'd be beneficial to know what the average accumulated volume vs today's accumulated volume is in a streaming type format. Maybe you'd be able to add that statistic in as well?

Amazing work Fat Tails!

Reply With Quote
The following user says Thank You to stefan416 for this post:
 
(login for full post details)
  #57 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


stefan416 View Post
Hey,
Might be a dumb question but is the "Cumulated Ratio" the ratio between the average and the actual volume for that period or is it the accumulated volume up until that point in the day? I've been scouring for the latter type of indi but have come up empty handed. I think it'd be beneficial to know what the average accumulated volume vs today's accumulated volume is in a streaming type format. Maybe you'd be able to add that statistic in as well?

Amazing work Fat Tails!

The relative volume is measured against the volume of the same period of the day and the same day of the week.

Example: You display the Relative Volume on a 15 min chart with default settings - 20 weeks referenced. The current bar has the time stamp of Tuesday, 2:00 PM.

In that case the indicator will calculate the average volume of the last 20 bars on Tuesday 1:45 - 2:00 PM, and compare the volume of the current bar to that average. The cumulated ratio compares the cumulated trading volume of the current day to the average of the cumulated trading volume of the prior 20 Tuesdays up to 2:00 PM.

To answer your question, the cumulated ratio is based on the trading volume up to that point in the day for both the current day and the 20 Tuesdays that are referenced. If you want that information exposed, this is possible via adding a DataSeries to the indicator.

Reply With Quote
The following 4 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #58 (permalink)
Canaduh
 
 
Posts: 23 since Aug 2011
Thanks: 3 given, 3 received

Is version 14 still holding up to expectations? Any changes to come? When do you use this indicator the most? The open?

Reply With Quote
 
(login for full post details)
  #59 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


stockgoblin View Post
Is version 14 still holding up to expectations? Any changes to come? When do you use this indicator the most? The open?

I am mostly interested in the cumulated value of the relative volume, as it shows participation over the current session.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #60 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received

The Relative Volume Indicator stopped working on CME index futures after the contract specifications had changed in November. The reason for the problem was the extension of the trading hours on Friday. Until November 18, index futures closed at 3:15 PM Central. Since the trading hours have been extended and the market closes on Friday at 4:15 PM Central.

For the additional hour, the indicator cannot find reference data, to which the current volume can be compared and therefore displays nothing.

I have now modified the indicator in a way that it will compare the volume of the night session and the regular session to the volume of the same days and the same time span during the prior weeks, but display nothing on November 30, when the first extended session occurred.

Please find the modified indicator and a chart below. Don't hesitate to report any problems, if they persist.



Attached Files
Register to download File Type: zip RelativeVolumeV15.zip (5.1 KB, 199 views)
Reply With Quote
The following 12 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #61 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,744 since Jun 2009
Thanks: 32,292 given, 97,486 received

@Fat Tails,

What about updating:


Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #62 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


Big Mike View Post
@Fat Tails,

What about updating:


Mike

@Big Mike: Will do. I am just waiting a few days, just in case that somebody finds a new bug.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #63 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,744 since Jun 2009
Thanks: 32,292 given, 97,486 received


Fat Tails View Post
@Big Mike: Will do. I am just waiting a few days, just in case that somebody finds a new bug.

@Fat Tails, any update?

I just found this thread after creating a similar request for Sierra Chart here:


Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #64 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


Big Mike View Post
@Fat Tails, any update?

I just found this thread after creating a similar request for Sierra Chart here:


Mike

I need to recode the Relative Volume Indicator, but it is not on the top of my priority list.

Reply With Quote
 
(login for full post details)
  #65 (permalink)
Oxford, UK
 
 
Posts: 1 since Aug 2013
Thanks: 0 given, 1 received

Hi,

I use relative volume to trade UK equities intraday over a 15 minute to 1 hour timeframe and I gather and process volume data myself via a data feed into a spreadsheet.

I think it can be an excellent leading indicator in the sense that it gives a confirmation signal that momentum is likely to continue, but I don't have enough trades behind me to be sure.

Personally, in the UK main market, I find that any value above 200% of the average (I use a 30 day average) is usually significant, and trades that haven't gone well are ones where I've compromised and traded on perhaps only a 70% or 80% increase in relative volume. I only trade on highly traded equities because I think (but can't be sure) that thinly traded stocks are more vulnerable to random surges or large orders that don't mean much.

Another important point is that a very early big order in the first few minutes of trading can skew relative volume values for some time to come (e.g., vol at 5 mins becomes 400% after a big trade at the open, and by 15 mins is still 200%, even though trading was thin from 5 - 15 minutes) , so it's important to have the facility to monitor the relative volume for particular five minute bars as well as the relative volume from the open to a particular point in time.

It's also not the holy grail in the sense that you still need other confirming factors in your favour. However, I do think it increases the probability of momentum trades, and I'm working to confirm this.

Anyway, I wanted to share my experiences with this little-used indicator so far.

What setups have users here been using? Do you find that it confirms trends, or do you use it purely for spotting divergences? And what have been its limitations?

Regards,
Templar42

Reply With Quote
The following 2 users say Thank You to Templar42 for this post:
 
(login for full post details)
  #66 (permalink)
Mandeville, LA
 
Experience: Intermediate
Platform: Ninja Trader, Tradestation
Trading: CL, GC, ES
 
buddy858's Avatar
 
Posts: 101 since Dec 2011
Thanks: 496 given, 152 received


Fat Tails View Post
The relative volume is measured against the volume of the same period of the day and the same day of the week.

Example: You display the Relative Volume on a 15 min chart with default settings - 20 weeks referenced. The current bar has the time stamp of Tuesday, 2:00 PM.

In that case the indicator will calculate the average volume of the last 20 bars on Tuesday 1:45 - 2:00 PM, and compare the volume of the current bar to that average. The cumulated ratio compares the cumulated trading volume of the current day to the average of the cumulated trading volume of the prior 20 Tuesdays up to 2:00 PM.

To answer your question, the cumulated ratio is based on the trading volume up to that point in the day for both the current day and the 20 Tuesdays that are referenced. If you want that information exposed, this is possible via adding a DataSeries to the indicator.

@Fat Tails

So is that why I can't overlay a Std. Dev. band on it? So I just need to figure out how to add a DataSeries for the Relative Volume and the Cumulated Ratio, right? I don't really need separate dataseries for the High, Low, and medium events.

Reply With Quote
 
(login for full post details)
  #67 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


buddy858 View Post
@Fat Tails

So is that why I can't overlay a Std. Dev. band on it? So I just need to figure out how to add a DataSeries for the Relative Volume and the Cumulated Ratio, right? I don't really need separate dataseries for the High, Low, and medium events.

The indicator does not plot any values within the first section of the bar series, as this is only used to collect the volume values against which today's and yesterday's volume is measured. Therefore you cannot easily use the relative volume as input series for a second indicator.

It would be possible to add a Bollinger Band as an additional option to the indicator.

There are no separate DataSeries objects for high, low and medium relative volume. It is just one DataSeries with different plot colors.

Reply With Quote
 
(login for full post details)
  #68 (permalink)
Mandeville, LA
 
Experience: Intermediate
Platform: Ninja Trader, Tradestation
Trading: CL, GC, ES
 
buddy858's Avatar
 
Posts: 101 since Dec 2011
Thanks: 496 given, 152 received


Fat Tails View Post
The indicator does not plot any values within the first section of the bar series, as this is only used to collect the volume values against which today's and yesterday's volume is measured. Therefore you cannot easily use the relative volume as input series for a second indicator.

@Fat Tails

The first section of the bar series? I think I'm not following you here. I do understand that it's averaging the past values for the past 20 weeks and measuring the current volume value against the average value, and that it will only begin to plot after enough data has passed thru (and according to the Display value selected), but I take it this is not what you're referring to because if I've selected for it to display 3 weeks, I should at least have an accurate Bollinger Band value (100 period on a 3 minute chart of ES RTH session) after the first day it begins plotting, right? So the past 14 market days should show accurate Bollinger Band values, no? But I get no bollinger value at all. It plots 0, and only on the current bar and the first bar ago.

And when I try to use the plot in BloodHound, for instance to show when Relative Volume is > 200, nothing happens. It's as if the plot yields no value at all. I'm obviously missing something obvious and I'm starting to feel dumb...

Reply With Quote
 
(login for full post details)
  #69 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


buddy858 View Post
@Fat Tails

The first section of the bar series? I think I'm not following you here. I do understand that it's averaging the past values for the past 20 weeks and measuring the current volume value against the average value, and that it will only begin to plot after enough data has passed thru (and according to the Display value selected), but I take it this is not what you're referring to because if I've selected for it to display 3 weeks, I should at least have an accurate Bollinger Band value (100 period on a 3 minute chart of ES RTH session) after the first day it begins plotting, right? So the past 14 market days should show accurate Bollinger Band values, no? But I get no bollinger value at all. It plots 0, and only on the current bar and the first bar ago.

And when I try to use the plot in BloodHound, for instance to show when Relative Volume is > 200, nothing happens. It's as if the plot yields no value at all. I'm obviously missing something obvious and I'm starting to feel dumb...

@buddy858: I have coded this indicator about three years ago. It was not meant to be used as an input series for anything.

The reason that it could not be called was pretty simple. The indicator called ChartControl from OnBarUpdate without a null check. In case that such an indicator is used as an input series, it simply throws an exception.

I have fixed the issue and made a quick update. Please download again.

Let me point out once more that this indicator is old and is a resource hog. I will release a new indicator, as soon as I find the time to do it.

Reply With Quote
The following 3 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #70 (permalink)
Mandeville, LA
 
Experience: Intermediate
Platform: Ninja Trader, Tradestation
Trading: CL, GC, ES
 
buddy858's Avatar
 
Posts: 101 since Dec 2011
Thanks: 496 given, 152 received


Fat Tails View Post
@buddy858: I have coded this indicator about three years ago. It was not meant to be used as an input series for anything.

The reason that it could not be called was pretty simple. The indicator called ChartControl from OnBarUpdate without a null check. In case that such an indicator is used as an input series, it simply throws an exception.

I have fixed the issue and made a quick update. Please download again.

Let me point out once more that this indicator is old and is a resource hog. I will release a new indicator, as soon as I find the time to do it.

Thanks Harry! You're the best! I'll have to get in there and figure out what you're talking about Will be a good exercise...

Reply With Quote
 
(login for full post details)
  #71 (permalink)
Zurich, Switzerland
 
Experience: Intermediate
Platform: Ninja, CTS, TOS
Trading: ES, TF, CL, NQ, GC
 
Otterly's Avatar
 
Posts: 131 since Aug 2011
Thanks: 251 given, 58 received

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.

Attached Thumbnails
Click image for larger version

Name:	Screen Shot 2014-07-18 at 4.13.56 AM.png
Views:	107
Size:	27.2 KB
ID:	151201  
Reply With Quote
 
(login for full post details)
  #72 (permalink)
Zurich, Switzerland
 
Experience: Intermediate
Platform: Ninja, CTS, TOS
Trading: ES, TF, CL, NQ, GC
 
Otterly's Avatar
 
Posts: 131 since Aug 2011
Thanks: 251 given, 58 received


Otterly View Post
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.


Hi all,

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, i´d be grateful to hear from you.

Thank-you.

Reply With Quote
 
(login for full post details)
  #73 (permalink)
Market Wizard
Columbus, OH
 
Experience: None
Platform: NT 8, TOS
Trading: ES
 
Silvester17's Avatar
 
Posts: 3,578 since Aug 2009
Thanks: 5,062 given, 11,355 received


Otterly View Post
Hi all,

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, i´d be grateful to hear from you.

Thank-you.

@Otterly,

have to say I'm anything but an expert when it comes to market analyzer

but I believe the problem is your look back period being too short. attached is a ma template with relative volume. however maybe better to wait for an updated version of this indicator.


Attached Files
Register to download File Type: xml Otterly.xml (14.6 KB, 19 views)
Reply With Quote
The following 4 users say Thank You to Silvester17 for this post:
 
(login for full post details)
  #74 (permalink)
Zurich, Switzerland
 
Experience: Intermediate
Platform: Ninja, CTS, TOS
Trading: ES, TF, CL, NQ, GC
 
Otterly's Avatar
 
Posts: 131 since Aug 2011
Thanks: 251 given, 58 received


Silvester17 View Post
@Otterly,

have to say I'm anything but an expert when it comes to market analyzer

but I believe the problem is your look back period being too short. attached is a ma template with relative volume. however maybe better to wait for an updated version of this indicator.


You´re right. I had the lookback set at 500 candles, I assumed that would be more than enough… it wasn´t. I changed it to 1000 and the figures dropped in. Thank-you.

Reply With Quote
The following user says Thank You to Otterly for this post:
 
(login for full post details)
  #75 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received

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.


Summary

- 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


The updated indicator can be found here:




Reply With Quote
 
(login for full post details)
  #76 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,744 since Jun 2009
Thanks: 32,292 given, 97,486 received

Notifications sent.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
(login for full post details)
  #77 (permalink)
Russia,Khabarovsk
 
Experience: Beginner
Platform: NT
Trading: Gold
 
Cachevary's Avatar
 
Posts: 407 since Feb 2014


Fat Tails View Post
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.


Summary

- 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


The updated indicator can be found here:




@Fat Tails,

Hi,how would you use it as a filter with automated strategies?

Reply With Quote
 
(login for full post details)
  #78 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


Cachevary View Post
@Fat Tails,

Hi,how would you use it as a filter with automated strategies?

For example you could run a countertrend strategy when cumulated relative volume is low, but focus on breakout strategies when cumulated relative volume is above average.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #79 (permalink)
Russia,Khabarovsk
 
Experience: Beginner
Platform: NT
Trading: Gold
 
Cachevary's Avatar
 
Posts: 407 since Feb 2014


Fat Tails View Post
For example you could run a countertrend strategy when cumulated relative volume is low, but focus on breakout strategies when cumulated relative volume is above average.

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.

Attached Thumbnails
Click image for larger version

Name:	CumRatioDnVAWPdirection.png
Views:	192
Size:	79.0 KB
ID:	168165  
Reply With Quote
 
(login for full post details)
  #80 (permalink)
Russia,Khabarovsk
 
Experience: Beginner
Platform: NT
Trading: Gold
 
Cachevary's Avatar
 
Posts: 407 since Feb 2014

@Fat Tails,

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)?

Reply With Quote
 
(login for full post details)
  #81 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


Cachevary View Post
@Fat Tails,

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)?

Please send me a private message, if you have further questions.

Reply With Quote
 
(login for full post details)
  #82 (permalink)
Czech Republic
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninja/ Continuum
Trading: Anything that move
 
Lejcus's Avatar
 
Posts: 43 since Apr 2010
Thanks: 216 given, 64 received

Hi @FatTails,
is there way how to use version23 in market analyzer?
I allways see only current market value.. (bars set to 5000 on 15 minutes bars)
edit: I found that plot need to be set to relative Volume instead of cumulative ratio. now its ok

Also it would be nice if you add dividing of session to RTH and overnight in setting of indicator.


Thanks Tomas

“Life begins at the end of your comfort zone.”

― Neale Donald Walsch
Reply With Quote
 
(login for full post details)
  #83 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


Lejcus View Post
Hi @FatTails,
is there way how to use version23 in market analyzer?
I allways see only current market value.. (bars set to 5000 on 15 minutes bars)
edit: I found that plot need to be set to relative Volume instead of cumulative ratio. now its ok

Also it would be nice if you add dividing of session to RTH and overnight in setting of indicator.


Thanks Tomas

If I introduce a session logic to the indicator, this would only have an impact on the cumulated volume. You can catch the overnight session volume, if you catch the cumulated volume for the last bar of the session. Alternatively, you can apply the indicator to a template that excludes all bars of the regular session. Currently, I do not intend to add any session features.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #84 (permalink)
Czech Republic
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninja/ Continuum
Trading: Anything that move
 
Lejcus's Avatar
 
Posts: 43 since Apr 2010
Thanks: 216 given, 64 received


Fat Tails View Post
If I introduce a session logic to the indicator, this would only have an impact on the cumulated volume. You can catch the overnight session volume, if you catch the cumulated volume for the last bar of the session. Alternatively, you can apply the indicator to a template that excludes all bars of the regular session. Currently, I do not intend to add any session features.

Yes I wanted to catch cumulated volume for overnight, and reset it on regular open to see how many participant are there.
It can be easy done with session template but I want to use it in market analyzer.
Ok I try to update your code by myself.
Thanks

“Life begins at the end of your comfort zone.”

― Neale Donald Walsch
Reply With Quote
 
(login for full post details)
  #85 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received

Made an update for the Relative Volume indicator.

Holiday calendar modified and further error messages added.

It is a minor update and I did not change the version number.

I had entirely recoded the Relative Volume indicator a few weeks ago.



Reply With Quote
The following 7 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #86 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received

The indicator uses the same architecture as the Relative Volume indicator, but the logic is applied to ranges:


Only to be used with minute or daily charts.

The relative ranges indicator measures the range of a fixed period bar against the average range over the same period during the preceding n days. The version which can be downloaded here allows for two different comparisons:

All_Days: Today's ranges are compared to the average ranges of the N preceding business days. The default value is N = 40. With the setting "All_Days" the indicator requires the use of proper session templates which match the trading day of the instrument traded. Session templates that cut the week into arbitrary sessions - such as the session template 24/7 - cannot be handled by the indicator and will trigger an error message.

Day_Of_Week: Today's ranges are compared to the average ranges calculated for the same day of the week over the N preceeding weeks. The default value is N = 8. With the setting "Day_Of_Week", all session templates can be handled.

Holidays: Holidays as selected via the indicator dialogue box are excluded from all calculations.
Daylight savings schedules: The indicator automatically adjusts to different daylight savings zones.

The histogram shows the relative ranges for the selected period of the day. For example on the chart today's highest relative range occured at 5:30 AM EST in the morning, just when the low of from Dec. 24 was taken out. Compared to the last 40 business days, the cumulated average of the relative ranges runs at 88%, whereas it runs at 87% when compared to a normal Monday. The low volatility is expected between Christmas and New Year's Eve.

Average range bars - between 80% and 120% of normal ranges - are shown as white bars. If the relative range exceeds 120% the histogram color is green, below 80% it is red. The colors can be selected by the user.






Reply With Quote
The following 11 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #87 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,744 since Jun 2009
Thanks: 32,292 given, 97,486 received


Fat Tails View Post
Made an update for the Relative Volume indicator.

Holiday calendar modified and further error messages added.

It is a minor update and I did not change the version number.

I had entirely recoded the Relative Volume indicator a few weeks ago.



Notifications sent.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to Big Mike for this post:
 
(login for full post details)
  #88 (permalink)
Russia,Khabarovsk
 
Experience: Beginner
Platform: NT
Trading: Gold
 
Cachevary's Avatar
 
Posts: 407 since Feb 2014


Fat Tails View Post
The indicator uses the same architecture as the Relative Volume indicator, but the logic is applied to ranges:


Only to be used with minute or daily charts.

The relative ranges indicator measures the range of a fixed period bar against the average range over the same period during the preceding n days. The version which can be downloaded here allows for two different comparisons:

All_Days: Today's ranges are compared to the average ranges of the N preceding business days. The default value is N = 40. With the setting "All_Days" the indicator requires the use of proper session templates which match the trading day of the instrument traded. Session templates that cut the week into arbitrary sessions - such as the session template 24/7 - cannot be handled by the indicator and will trigger an error message.

Day_Of_Week: Today's ranges are compared to the average ranges calculated for the same day of the week over the N preceeding weeks. The default value is N = 8. With the setting "Day_Of_Week", all session templates can be handled.

Holidays: Holidays as selected via the indicator dialogue box are excluded from all calculations.
Daylight savings schedules: The indicator automatically adjusts to different daylight savings zones.

The histogram shows the relative ranges for the selected period of the day. For example on the chart today's highest relative range occured at 5:30 AM EST in the morning, just when the low of from Dec. 24 was taken out. Compared to the last 40 business days, the cumulated average of the relative ranges runs at 88%, whereas it runs at 87% when compared to a normal Monday. The low volatility is expected between Christmas and New Year's Eve.

Average range bars - between 80% and 120% of normal ranges - are shown as white bars. If the relative range exceeds 120% the histogram color is green, below 80% it is red. The colors can be selected by the user.






@Fat Tails,

curious on how did you pick those 80% and 120% settings.Was it Pareto principle rule or something else?

Reply With Quote
 
(login for full post details)
  #89 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


Cachevary View Post
@Fat Tails,

curious on how did you pick those 80% and 120% settings.Was it Pareto principle rule or something else?

Experimental, the indicator allows you to change those values.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #90 (permalink)
Russia,Khabarovsk
 
Experience: Beginner
Platform: NT
Trading: Gold
 
Cachevary's Avatar
 
Posts: 407 since Feb 2014


Fat Tails View Post
Experimental, the indicator allows you to change those values.

@Fat Tails,

Maybe experiment with several % levels?Sure several indicators can be added with the different % level,but that would clutter the chart.

Reply With Quote
 
(login for full post details)
  #91 (permalink)
Des Moines, Iowa
 
Experience: None
Platform: Ninja, TOS
Broker: AMP/CQG, TOS
Trading: CL, TF, GC
 
madLyfe's Avatar
 
Posts: 1,644 since Feb 2011
Thanks: 9,220 given, 1,015 received

i have found the relative volume indy helpful, but not so much the relative range one. anyone care to share what they are picking up with it?

dont believe anything you hear and only half of what you see

¯\_(ツ)_/¯

(╯°□°)╯︵ ┻━┻
Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #92 (permalink)
Russia,Khabarovsk
 
Experience: Beginner
Platform: NT
Trading: Gold
 
Cachevary's Avatar
 
Posts: 407 since Feb 2014


madLyfe View Post
i have found the relative volume indy helpful, but not so much the relative range one. anyone care to share what they are picking up with it?

If you set relative high range to 300% - you can use it similar to pin bars

Reply With Quote
 
(login for full post details)
  #93 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


madLyfe View Post
i have found the relative volume indy helpful, but not so much the relative range one. anyone care to share what they are picking up with it?

The Relative Volume indicator is certainly more useful than the Relative Ranges indicator. There are several considerations that make it useful:

-> watching trader's participation to determine the likelihood of a breakout or trending move
-> eliminating the distortion introduced by the low volume of the night session

During the night session prices are driven by foreign markets. Price moves may occur without a high volume, as the trading takes place elsewhere. Therefore the relationship between volume and volatility is different off-session. This can be corrected by using the Relative Volume indicator for volume spread analysis.

For example I have been experimenting with a Better Volume indicator based on range and relative volume. However, for this purpose it is less obvious to use relative range and relative volume for the volume spread analysis. After all im an interested in absolute prices and their analysis, and the relative range would not help me here. Therefore the applications for the Relative Ranges indicator are more limited than for the Relative Volume indicator.

I have coded this indicator, because somebody had asked for it and because it could be easily done by replacing the average volume with average range. I am sure that there will be some useful applications, although I have not used it yet for my own trading.

Reply With Quote
The following 8 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #94 (permalink)
Russia,Khabarovsk
 
Experience: Beginner
Platform: NT
Trading: Gold
 
Cachevary's Avatar
 
Posts: 407 since Feb 2014


Fat Tails View Post
The Relative Volume indicator is certainly more useful than the Relative Ranges indicator. There are several considerations that make it useful:

-> watching trader's participation to determine the likelihood of a breakout or trending move
-> eliminating the distortion introduced by the low volume of the night session

During the night session prices are driven by foreign markets. Price moves may occur without a high volume, as the trading takes place elsewhere. Therefore the relationship between volume and volatility is different off-session. This can be corrected by using the Relative Volume indicator for volume spread analysis.

For example I have been experimenting with a Better Volume indicator based on range and relative volume. However, for this purpose it is less obvious to use relative range and relative volume for the volume spread analysis. After all im an interested in absolute prices and their analysis, and the relative range would not help me here. Therefore the applications for the Relative Ranges indicator are more limited than for the Relative Volume indicator.

I have coded this indicator, because somebody had asked for it and because it could be easily done by replacing the average volume with average range. I am sure that there will be some useful applications, although I have not used it yet for my own trading.

@Fat Tails,

How do you discern chop from trend with RelativeVolume?A chart maybe?

Reply With Quote
 
(login for full post details)
  #95 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


Cachevary View Post
@Fat Tails,

How do you discern chop from trend with RelativeVolume?A chart maybe?

You can't. The relative volume indicator can mainly be used to identify high volume bars. The interpretation of the high volume bars depends on the context.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #96 (permalink)
Russia,Khabarovsk
 
Experience: Beginner
Platform: NT
Trading: Gold
 
Cachevary's Avatar
 
Posts: 407 since Feb 2014


Fat Tails View Post
You can't. The relative volume indicator can mainly be used to identify high volume bars. The interpretation of the high volume bars depends on the context.

@Fat Tails,

but what study you use to differ trend from chop?I mean real time,not annotated chart.

Reply With Quote
 
(login for full post details)
  #97 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,855 since Mar 2010
Thanks: 4,238 given, 26,726 received


Cachevary View Post
@Fat Tails,

but what study you use to differ trend from chop?I mean real time,not annotated chart.

The question is too complex to deal with here, as it does not belong into this thread!

Reply With Quote
 
(login for full post details)
  #98 (permalink)
Switzerland
 
Experience: Advanced
Platform: NinjaTrader
Broker: Kinetick, CQG
Trading: CL, FDAX, Forex
 
Posts: 18 since Jun 2012
Thanks: 23 given, 26 received

Hi all,

I have converted the anaRelativeVolumeV23 indicator to NinjaTrader 8.

It gives the same results as the NinjaTrader 7 version. However, I didn't convert the "Plot" override as I don't know the equivalent conversion to the NT8 "OnRender" method.

Also, for some reason, the "Please increase chart lookback period to show relative volume." message appears even though the lookback period is more than sufficient. Tried to fix it but gave up. Perhaps its a NT8 bug?

I also updated the "Outliers" to exclude holidays in 2016.

FYI. Maybe someone more familiar with NT8 can completely fix it to make it perfect.

Cheers, Mark
anaRelativeVolumeV23_NT8.zip

Reply With Quote
The following user says Thank You to MarkG for this post:
 
(login for full post details)
  #99 (permalink)
Nashville TN/ USA
 
Experience: Advanced
Platform: IB
Broker: IB
Trading: ES
 
BarfMcGee's Avatar
 
Posts: 905 since Jan 2015
Thanks: 400 given, 965 received

Ok I'm a ninjatrader noob and I'm trying to get FT's rela-vol indicator to work but it's telling me I need to increase the look back period. I've toyed around with the settings of the look back period and still can't get it to work. Can someone tell this noob what he is doing wrong?

BTW I am connected to my data provider so it isn't that.

Edit: figured it out

Reply With Quote
 
(login for full post details)
  #100 (permalink)
Aldie virginia
 
Experience: Intermediate
Platform: NinjaTrader
Trading: ES
 
mgregor's Avatar
 
Posts: 45 since Apr 2015
Thanks: 22 given, 31 received


MarkG View Post
Hi all,

I have converted the anaRelativeVolumeV23 indicator to NinjaTrader 8.

It gives the same results as the NinjaTrader 7 version. However, I didn't convert the "Plot" override as I don't know the equivalent conversion to the NT8 "OnRender" method.

Also, for some reason, the "Please increase chart lookback period to show relative volume." message appears even though the lookback period is more than sufficient. Tried to fix it but gave up. Perhaps its a NT8 bug?

I also updated the "Outliers" to exclude holidays in 2016.

FYI. Maybe someone more familiar with NT8 can completely fix it to make it perfect.

Cheers, Mark
Attachment 208501


I recently added anaRelativeVolumeV23 to my NT8 chart. Maybe since your conversion something has changed in NT8, but I find it having some issues.
1. When I restart NT8, this indicator is no longer present on my chart and I have to add it again.
2. I think there might be a memory leak or something else. At times my system hangs/freezes. When I remove the indicator, then the problem doesn't happen.
3. I know of one other trader who is also experiencing these problems.

I know @Fat Tails is working on updating many of the ana indicators, is this going to be part of the update? Any new date on when it might come out?

Mark are you experiencing these problems? Can you take a look at it?

I am running with the latest and greatest version of NT8.

Any help will be greatly appreciated.

Reply With Quote


futures io Trading Community Platforms and Indicators NinjaTrader > Relative Volume Indicator


Last Updated on March 25, 2019


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
 

Journal Challenge w/$1500 prizes from Topstep!

February
 

Identifying Setups & Targets Using Profile Charts w/Trevor & Tradovate

Feb 25
 

Battlestations! Show us your trading desk - $1,500 in prizes!

March
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts