NexusFi: Find Your Edge


Home Menu

 





Better Volume Indicator with Sound Alerts


Discussion in NinjaTrader

Updated
      Top Posters
    1. looks_one Fat Tails with 81 posts (297 thanks)
    2. looks_two rcabri with 8 posts (3 thanks)
    3. looks_3 sudhirc with 8 posts (3 thanks)
    4. looks_4 danjuma with 8 posts (0 thanks)
      Best Posters
    1. looks_one Zondor with 7.3 thanks per post
    2. looks_two l1onel with 4.5 thanks per post
    3. looks_3 Fat Tails with 3.7 thanks per post
    4. looks_4 Big Mike with 0.8 thanks per post
    1. trending_up 116,883 views
    2. thumb_up 364 thanks given
    3. group 82 followers
    1. forum 218 posts
    2. attach_file 49 attachments




 
Search this Thread

Better Volume Indicator with Sound Alerts

  #21 (permalink)
Wtuinvest
Munich
 
Posts: 7 since Mar 2011
Thanks Given: 0
Thanks Received: 3

i´m personally looking for exhaustion candles by small volume / big volume ratio , high activity(pace of tape ) and the biggest indicator of exhaustion for me is if there is buying above ask happening.

Reply With Quote

Can you help answer these questions
from other members on NexusFi?
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
ZombieSqueeze
Platforms and Indicators
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
Futures True Range Report
The Elite Circle
Exit Strategy
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
65 thanks
Funded Trader platforms
42 thanks
Battlestations: Show us your trading desks!
25 thanks
NexusFi site changelog and issues/problem reporting
23 thanks
The Program
20 thanks
  #22 (permalink)
 
Royal Flush's Avatar
 Royal Flush 
Stanstead, Quebec, Canada
 
Experience: Intermediate
Platform: NinjaTrader
Trading: CL
Posts: 122 since Dec 2010
Thanks Given: 71
Thanks Received: 64


Fat Tails View Post
Time Frames:

The indicator cannot be used on all time frames. It measures volume and range over a lookback period of 20 bars. For intraday charts the volume progression after the opening of the market does not give any signals, because it is natural. So you need at least 10 to 15 bars into the regular session to use this indicator.

If you use it on a 30 min chart, 10 bars will be close to the end of the session, so it is not much of a help. If you use it on a 1 min chart, it will produce many signals, which are meaningless and which will be overridden a few moments later. This means that there is only a small window, where you can use the indicator on intraday charts.

I use a window of 3 to 10 minutes.

Firstly thanks for the great indicator. I use it on a 5 minute RTH ES chart. I don't understand why the 20 bar lookback period doesn't look at the voume of the bars formed at the end of the prior day? This would be a better solution than having no indication as the volume at the end of the session is frequently similar to that experienced at the open.

Reply With Quote
  #23 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102



Royal Flush View Post
Firstly thanks for the great indicator. I use it on a 5 minute RTH ES chart. I don't understand why the 20 bar lookback period doesn't look at the voume of the bars formed at the end of the prior day? This would be a better solution than having no indication as the volume at the end of the session is frequently similar to that experienced at the open.

If you use a RTH session, the indicator will of course look at the volume of the bars formed at the end of the prior day. It always looks at the 20 prior bars available on the chart.

Started this thread Reply With Quote
Thanked by:
  #24 (permalink)
 fxwealth88 
new york, new york
 
Experience: Advanced
Platform: ninjatrader
Broker: e signal
Trading: forex
Posts: 46 since Apr 2010
Thanks Given: 17
Thanks Received: 57




thank you, fat tails for the links.

fxwealth

Visit my NexusFi Trade Journal Reply With Quote
  #25 (permalink)
 
Royal Flush's Avatar
 Royal Flush 
Stanstead, Quebec, Canada
 
Experience: Intermediate
Platform: NinjaTrader
Trading: CL
Posts: 122 since Dec 2010
Thanks Given: 71
Thanks Received: 64


Fat Tails View Post
If you use a RTH session, the indicator will of course look at the volume of the bars formed at the end of the prior day. It always looks at the 20 prior bars available on the chart.

Thanks that makes sense I must have misunderstood you. Do you run the indicator on "Calculate on bar close" set to "False" or "True"? Would you you please explain your reason for this.

Reply With Quote
  #26 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


Royal Flush View Post
Thanks that makes sense I must have misunderstood you. Do you run the indicator on "Calculate on bar close" set to "False" or "True"? Would you you please explain your reason for this.

The answer seems obvious to me. I watch volume all the time, and of course I want to be alerted to a high volume event prior to the bar close! This is one of three indicators, which I always use in CalculateOnBarClose = false mode.

The low volume alert is coded in a way that it only will be triggered 15 seconds prior to the bar close, otherwise you would have low volume alerts all the time.

I have just recoded the indicator, because I had introduced a small bug with the last version, which suppressed all low volume bars - sorry for that. I have also added a parameter allowing to adjust the lead time for low volume alerts from 15 seconds prior to bar close to anything else.

The updated version can be found under this link.


Started this thread Reply With Quote
  #27 (permalink)
 
josh's Avatar
 josh 
Georgia, US
Legendary Market Wizard
 
Experience: None
Platform: SC
Broker: Denali+Rithmic
Trading: ES, NQ, YM
Posts: 6,216 since Jan 2011
Thanks Given: 6,752
Thanks Received: 18,136

FT, first a great big thanks for this wonderful indicator. It's simpler than other versions with only the most important things identified (namely churn and climax), and though I'm not using the sounds I think I will soon.

Someone earlier on the thread suggested to use the bars at the close of the last day session for the first X number of bars (10 for weak, 20 for strong). I'll be happy to do this myself but I'm not quite sure how to check the time of a bar, though it seems a more elegant solution could be done. I don't even mind hard coding the time of the bar. Especially on 5m charts, the first 1h40m are pretty much invalid for the strong lookback period.

Nice code by the way, it's very clean and easy to read :-)

Reply With Quote
  #28 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


josh View Post
FT, first a great big thanks for this wonderful indicator. It's simpler than other versions with only the most important things identified (namely churn and climax), and though I'm not using the sounds I think I will soon.

Someone earlier on the thread suggested to use the bars at the close of the last day session for the first X number of bars (10 for weak, 20 for strong). I'll be happy to do this myself but I'm not quite sure how to check the time of a bar, though it seems a more elegant solution could be done. I don't even mind hard coding the time of the bar. Especially on 5m charts, the first 1h40m are pretty much invalid for the strong lookback period.

Nice code by the way, it's very clean and easy to read :-)

I understand that you want to skip one session to calculate the climax and churn bars. For time frames > 15 minutes this may help, but for time frames < 5 min is does not solve the problem. The reason are the high volume bars that typically occur around the market close. These bars throw a shadow which squashes all climax and churn bars.

So either you get too many climax and churn bars (current indicator) or none (your suggestion). See chart attached.

The concept of churn bars has its limitations.

Attached Thumbnails
Click image for larger version

Name:	ES 06-11 (5 Min) 02_05_2011.jpg
Views:	765
Size:	96.1 KB
ID:	37998  
Started this thread Reply With Quote
Thanked by:
  #29 (permalink)
 
josh's Avatar
 josh 
Georgia, US
Legendary Market Wizard
 
Experience: None
Platform: SC
Broker: Denali+Rithmic
Trading: ES, NQ, YM
Posts: 6,216 since Jan 2011
Thanks Given: 6,752
Thanks Received: 18,136

Thanks FT. I will continue to just use my brain and realize the context in which high volume appears--doing it programmatically would be nice but I have no problem just thinking about it :-)

Reply With Quote
  #30 (permalink)
 Ralph07 
London UK
 
Experience: Advanced
Platform: NinjaTrader, TT
Broker: Mirus
Trading: CL, Dax, ES, Eurostoxx50
Posts: 121 since Oct 2010
Thanks Given: 23
Thanks Received: 46


Hello all,

I have a little ėssue with the better volume : it is drawing quite every bars in yellow, and I would like to keep up bars in green and down bars in red when there is no Climax, Churn or climaxchurn...

Look at the screenshot...

Is it possible to do so?

Thanks for help.

Attached Thumbnails
Click image for larger version

Name:	Yellow bars.jpg
Views:	595
Size:	277.9 KB
ID:	40674  
Reply With Quote




Last Updated on October 12, 2022


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts