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Relative Volume for Sierra Chart
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Created: by Big Mike Attachments:7

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Relative Volume for Sierra Chart

  #21 (permalink)
Elite Member
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Here are the paramaters of the 1 min chart from Market Delta... thanks for helping out!

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  #22 (permalink)
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scottemp View Post
Here are the paramaters of the 1 min chart from Market Delta... thanks for helping out!

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hi

OK. This is what I meant.

So this is looks like not just an average.

Sorry but I need the exact formula of this and the meaning of this in order to do this.

gd lck

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  #23 (permalink)
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Slickiam-

This is all I could get, the data comes from Market Delta's session statistics... no formulas.

Scott

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  #24 (permalink)
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OK, here is my $0.02. The attached study is my attempt to duplicate the MarketDelta version of relative volume. It computes the cumulative volume from the start of the session for each bar, and compares that to the average cumulative volume for the preceding 'n' sessions. It seems to behave similarly, but not identically, to MarketDelta.

I have been using it primarily on an intraday basis, however I have looked at longer timeframes and the data seems to be OK. Caveat emptor.

Attached Files
Register to download File Type: dll relVolume.dll (17.5 KB, 73 views)
Register to download File Type: cpp relVolume.cpp (4.7 KB, 79 views)
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  #25 (permalink)
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@slickiam,

Can you please modify this indicator (or create a new one) that can calculate the relative % after taking into account the time of day?

So basically, the same lookback method as already exists, but breaking it down by hour as we go on top of that?

This way the indicator is more useful intraday instead of solely an end of day observation.

Mike

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  #26 (permalink)
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Big Mike View Post
@slickiam,

Can you please modify this indicator (or create a new one) that can calculate the relative % after taking into account the time of day?

So basically, the same lookback method as already exists, but breaking it down by hour as we go on top of that?

This way the indicator is more useful intraday instead of solely an end of day observation.

Mike

Hello Mike.

The next study in my list is the new ZZ oscillator I'm keep fighting with.

After that I'll try.

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  #27 (permalink)
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Big Mike View Post
...modify this indicator ..that can calculate the relative % after taking into account the time of day?

Mike

I apologize, Mike
Looks like Google Translator was not so helpful for me in this case, so please add some more details.

Do you want to set a starting point for a trading day in order to calculate relative volume from that moment of a time of a trading day?
thnx.

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  #28 (permalink)
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slickiam View Post
I apologize, Mike
Looks like Google Translator was not so helpful for me in this case, so please add some more details.

Do you want to set a starting point for a trading day in order to calculate relative volume from that moment of a time of a trading day?
thnx.

Thanks for your efforts.

The start of the session is fine.

The idea is if I look at the chart 1 hour into the trading session, I want the number on my chart (50%, 100%) to be representative of the relative volume. Is volume light? Is it heavy?

Right now, what you wrote and I've been using, works just like that. But it only works as an end-of-day observation. I am trying to make it work intraday. I am applying this to a daily chart. At noon, is volume heavy or light so far today? It is hard for me to know with this indicator because it measures the whole day, not just up until noon (present time).

I hope this makes sense.

I would prefer to make a new indicator so there is no chance of messing up the existing one. I use the old existing one often and it works great.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
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  #29 (permalink)
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Relative Volume

If you gentlemen don't mind, I'd like to join the conversation and help out where in possible in developing this indicator for Sierra Chart.

The format I think would be most useful is comparing cumulative intraday volume with the same time period on previous days. For example, the first 5 min of trading from 9:30am-9:35am today compared to an average of the same time period (9:30-9:35am) on the previous 10 trading sessions. The next bar in the histogram would compare 9:30-9:40am, then 9:30-9:45am, then 9:30-9:50, and so on until the end of the trading session.

In terms of flexibility, there are four major input variables.
1) Interval for accumulation. In my example, it was 5 minutes but could easily be 1 minute or 60 minutes.
2) The number of sessions (EXCLUDING the current session) over which to calculate the average. In my example it was 10 days, but could easily be 20 days or 50 days.
3) Session start time to begin the volume accumulation.
4) Session end time to stop the volume accumulation.
In terms of display, I vote for a scale where 100% means that today's volume is the same as the average. 50% means a very slow day with half the normal volume and 200% represents a very busy day with volume that double the average.

I would suggest a histogram type graph where if the relative volume in the most recently closed bar is less than the previous bar, it would be colored red. If the most recently closed bar has a higher higher relative volume than the previous bar, it would be colored green. The color of the current bar that is forming can be something neutral such as gray. Choice of colors could be a minor input variable.

I can write basic code in Easy Language for TradeStation but find Sierra Chart daunting and difficult to use. However, I'm willing to give it a shot if someone can get me started along the right path. I most certainly can assist with beta testing and anything else.

Look forward to working with all of you on this project.

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  #30 (permalink)
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@drywater0

there is also this discussion:

https://futures.io/elite-circle/33107-want-your-sierra-chart-indicator-created-free.html

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