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Create tick/second or vol/sec indictor


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Updated by jonnytrade
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Create tick/second or vol/sec indictor

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  #1 (permalink)
Moscow/Russia
 
Experience: Intermediate
Platform: Investor RT, Overcharts
Broker: NT Brokerege/Rithmic
Trading: NQ,YM,CL,GC
 
jonnytrade's Avatar
 
Posts: 432 since Apr 2016
Thanks: 53 given, 252 received

Hello guys
May be this is indicator discussed before for IRT, forum is too big for check all topicks. And im try to ask about this is indicator.
Im use OrderFlow and in same price i see time to time high volatility and i think it same algo system start work and it can be potential level for future and i want test my theory ) But in standart indicator i don`t find same solution. May be somebody can help me with my qestion.
I see this indicator like:
- Trades per second;
- Avarage volume per second;

Or may be same better idea from IRT support

Thanks!!

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  #2 (permalink)
Milton, GA
 
Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker: DTN IQFeed
Trading: ES
 
LS Chad's Avatar
 
Posts: 165 since Apr 2010
Thanks: 2 given, 142 received

Jonny,

Sorry I didn't respond to this earlier. For some reason I'm not getting notifications of new posts on this forum and I need to check it more often.

Take a look at this forum topic at Linnsoft > https://www.linnsoft.com/topic/pace-trade

You may find your answer in there.

But specifically to your question, the chart below gives you the Trades/Sec and Volume/Sec of each bar. You'll see that those are often skewed by one very quick (high vol) bar. To help smooth that out, I've taken the LOG of the values in the bottom 2 panes. Let me know where you'd like to take this from here.

Chart Definition > https://www.linnsoft.com/charts/volatilitypertime-es


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  #3 (permalink)
Moscow/Russia
 
Experience: Intermediate
Platform: Investor RT, Overcharts
Broker: NT Brokerege/Rithmic
Trading: NQ,YM,CL,GC
 
jonnytrade's Avatar
 
Posts: 432 since Apr 2016
Thanks: 53 given, 252 received


Thank you, Chad

Im also see your answer only now. Im test my idea this indicator+Order Flow and may be create about result on this forum.

Thanks!!

P.S. And i think during this week im prepare same additional qestion about same additional indicatror "Volume correlation" between index.

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June 25, 2018


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