volume cluster concentration algo

February 21st, 2014, 01:13 AM

HI

I am newbie.But I want to know volume cluster concentration algorithm(s).
Can any one provide ref/journal link or few pointer(s) on volume cluster concentration algorithm(s) ?

Thanks In Advance
CS

February 21st, 2014, 06:26 AM

try searching for volume or volume profile in the search I think that kind of analysis will give you the levels at which there has been volume in the market. Have a look at let me know if that helps.

February 22nd, 2014, 10:27 AM

hi

See volume concentration algorithm is not just making k-mean cluster of VWAP i guess.So what could be the volume cluster algorithm come out?

thx
CS

March 6th, 2014, 08:03 PM

Time Variable Profile is the basis of where to start conceptually.From there fixed volume bars clustered in groups specified by the user with either a fixed or dynamically adjusting threshold based on volume % that would generally cause a move away from the mean of that cluster. I am half way there which has me looking into how to construct a VPIN indicator in NinjaTrader.Looks like another job for Gomi.

volume cluster concentration algo

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volume cluster concentration algo