Cumulative Volume Study

October 30th, 2012, 02:48 PM

omni72

My eventual goal is to be able to filter by day types.

This type of statistical analysis is probably best for outside the trading platform, via excel or some other similar program. There are some resources on the forum for this kind of thing, including exporting data into a mysql and doing queries based on that for certain types of analysis.

October 30th, 2012, 03:27 PM

josh

This type of statistical analysis is probably best for outside the trading platform, via excel or some other similar program.

Agreed and thanks for bringing up that point. I'm envisioning more of a separate spreadsheet/database or possibly even a dashboard type interface. Either way, it's not something I think has to be on the chart itself.

Jigsaw Trading · October 30th, 2012, 09:35 PM

omni72

Thanks for the input, but, as vegasfoster indicates, I'm using Sierra so I can't use Ninja indicators.
:

Understood but if you take a look @ the code.....

Code

      protected override void OnBarUpdate()
        {
            // Use this method for calculating your indicator values. Assign a value to each
            // plot below by replacing 'Close[0]' with your own formula.
			if (FirstTickOfBar) 
			{
				if (Bars.FirstBarOfSession)
				{
					barCounter = 0;
					cVol = 0;
				}
				else
				{
					cVol = cVol + Volume[1];
				}
				barCounter ++;
				tempNOC = numberOfOccurences[barCounter];
				tempVol = avgVolAtTime[barCounter] * numberOfOccurences[barCounter];
				averageVolume = (tempVol / tempNOC);				
			} 
			
            cumulativeVolume = (cVol + Volume[0]);
            numberOfOccurences[barCounter] = tempNOC + 1;
			avgVolAtTime[barCounter] = (cVol + Volume[0] + tempVol) / numberOfOccurences[barCounter];
			CumulativeVolumeDiff.Set(cumulativeVolume - avgVolAtTime[barCounter]);
		}

You'll see there is very little to it. I think you could port it to Sierra pretty easily

October 31st, 2012, 02:52 AM

Here is the spreadsheet I'm using. Though it is hard to use because I input the data each evening manually (copy and paste). Something people don't like.

October 31st, 2012, 10:48 AM

DionysusToast

Understood but if you take a look @ the code.....

Code

      protected override void OnBarUpdate()
        {
            // Use this method for calculating your indicator values. Assign a value to each
            // plot below by replacing 'Close[0]' with your own formula.
			if (FirstTickOfBar) 
			{
				if (Bars.FirstBarOfSession)
				{
					barCounter = 0;
					cVol = 0;
				}
				else
				{
					cVol = cVol + Volume[1];
				}
				barCounter ++;
				tempNOC = numberOfOccurences[barCounter];
				tempVol = avgVolAtTime[barCounter] * numberOfOccurences[barCounter];
				averageVolume = (tempVol / tempNOC);				
			} 
			
            cumulativeVolume = (cVol + Volume[0]);
            numberOfOccurences[barCounter] = tempNOC + 1;
			avgVolAtTime[barCounter] = (cVol + Volume[0] + tempVol) / numberOfOccurences[barCounter];
			CumulativeVolumeDiff.Set(cumulativeVolume - avgVolAtTime[barCounter]);
		}

You'll see there is very little to it. I think you could port it to Sierra pretty easily

Thanks DT, I may give it a shot. I'm not a coder though, so it doesn't take much to exhaust my programming skills

FGBL07

Here is the spreadsheet I'm using. Though it is hard to use because I input the data each evening manually (copy and paste). Something people don't like.

Thanks FB, appreciate your contribution and sharing. As I get my own into some reasonable state of usefulness, I will post it here as well.

October 31st, 2012, 10:37 PM

I looked at this today and I looked at DT's code. DT's code looks like it just starts at the first bar of the session. I was going to make the time selectable, but I would need to do a for statement to reference prior days in a range of time, and I've never done that so not sure how it will work out. Was also thinking of having the option of comparing the current bar only to the previous average of the same prior days' bars as opposed to the cumulative for the time range, which I think will be simpler. To clarify, I'm pretty slow at this and am taking this on as a learning exercise, so again, if someone more proficient wants to crank this out, then I will not be offended.

November 5th, 2012, 02:12 PM

I need help on this. To use time as I know how I need to correlate the sc.Index to the time somehow and I can't figure a way to do that. Below is my initial thought process, but right now the StartIndex integer is null.

Code

	SCDateTime& IndexDateTime =  sc.BaseDateTimeIn[sc.Index];
	        
        bool InputsReversed = (EndTime.GetTime() > StartTime.GetTime());
	if (InputsReversed)
	{
                Int StartIndex = ?????  <---Somehow identify the first sc.Index after the StartTime as StartIndex
                Int Length = sc.Index - StartIndex;
	
	        float Sum = 0.0f;
		for (int InIndex = sc.Index - (Length - 1); InIndex <= sc.Index; InIndex++)
		{
		Sum += sc.Volume[InIndex];
		}
	
	float Volume = Sum;
	CumulativeVolume[sc.Index] = Volume;

If @ktrader or @aslan or @pbeguin or someone else good could help that would be great. Thank you.

November 5th, 2012, 03:56 PM

vegasfoster

I need help on this. To use time as I know how I need to correlate the sc.Index to the time somehow and I can't figure a way to do that. Below is my initial thought process, but right now the StartIndex integer is null.

Code

	SCDateTime& IndexDateTime =  sc.BaseDateTimeIn[sc.Index];
	        
        bool InputsReversed = (EndTime.GetTime() > StartTime.GetTime());
	if (InputsReversed)
	{
                Int StartIndex = ?????  <---Somehow identify the first sc.Index after the StartTime as StartIndex
                Int Length = sc.Index - StartIndex;
	
	        float Sum = 0.0f;
		for (int InIndex = sc.Index - (Length - 1); InIndex <= sc.Index; InIndex++)
		{
		Sum += sc.Volume[InIndex];
		}
	
	float Volume = Sum;
	CumulativeVolume[sc.Index] = Volume;

@vegasfoster, i think sc.GetNearestMatchForSCDateTime passing the current chart as chartnumber does it.

--ktrader

November 10th, 2012, 02:21 AM

Still tinkering with this project, so I'm glad to see a few others are making their own go of it

Got a little sidetracked working on a trade-size study. I was actually able to get most of that one done, so I'm returning my focus to this task.

November 12th, 2012, 11:58 AM

I'm making some progress with @ktrader idea, it's doing something, unfortunately just not what I want yet.

Cumulative Volume Study

Discussion in Sierra Chart

Cumulative Volume Study