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Discussion on building a Custom Heat Map for basket trading.
Assuming you have a basket of instruments you plan on trading, whether that be a basket of currencies, stocks, futs, or whatever else...
Also assume the goal is to pick up/out which ones are seeing an increase in 'activity' relative to their typical performance, so you could focus your attention on those specific instruments.
Also assume the goal is to NOT use volume in any calculations.
Also, this would be something you'd add in a simple market analyzer in your basket of instruments.
With all the above in mind...
My thoughts are in wondering what is activity exactly?
I could do something like an INCREASE in price changes over a given lookback period in time. Imagine actually counting the tics/price changes, and reporting a cumulative count over the past 30 seconds, 1 min, 5 min, etc.. and then being able to see that over the last n-periods... to see if this activity is INCREASING or not.
Another idea could be to track MOVEMENT over the past period of time. So imagine... there is a start or reference time... and report the distance from that reference point, and report that number back.
Try using tick data and aggragate a periods av. amount traded and then seperate that into multiple periods inside that larger period, and get an av as a baseline then alert or have a increasing alert when the ticks moved in a product is above the av and then possibly have an increased level alert, being sound or text, to an hightened level say 150% or 200% above the av level of ticks traded to show price being an opportunity in either direction to trade and capture the price movement. Not sure if it is easy to do but you can limit the data your charts have to a certin period, then note which period has highest av traded price movement, and then find a baseline av and say if the hors are inside the period and the ticks moved are greated than the av then alert that product to me.
One thing, is that I want to avoid using volume in any of the computations. I trade currencies, so getting vol for them is unreliable.
Just on another thought... the one idea you describe to compare to previous periods... there is sort of a visual indicator that does something similar. Here it doesn't show volume, but compares the average range of a similar clock time in the past.
This is also an interesting idea, and may speak to 'activity,' as an increase in tics(I would just count each price change over a period of time to represent tics)... either over the same period of time(say 9:30-10:00 for example)... or simply an increase over an average time leading up to the present time.
Use that alongside if price is above a level to say these correlate and can be alerting a signal in either direction. Say weekly expected move high / low, or weekly TPOV/ VPOC.
I think If I were in your position I would give this a serious thought, I don't know what platform you are using but this should be codable for it as well.
I personally use something called breadth indicator too, but it is in more singular form and has an aggregated output, it helps in index trading when you like to find out if the index is doing something different than its constituents.
However, its not in the form that you are looking for, so sharing the closest thing I could think of. I've also seen similar kind of ideas with RSI, ADX, Super trend, but then again, its not exactly what I like, I prefer this high low index.
Note: I'm not affiliated with the guy in any shape or form, also source is publicly available so its not for sale either. So, just sharing the information.
Not completely related, but here is a simple scan that shows the ADR, the current range, the percent complete on the current day, and the consecutive days a given instrument has been trading BELOW its ADR.
