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Relative Volume for Sierra Chart
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Relative Volume for Sierra Chart

  #31 (permalink)
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drywater0 View Post

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.

Hello.

Check the post #24 and look into the *.cpp - it isn't all about c++ but very easy to use scripting language

Take a look into X:\SIerraChart\ACS_Source\studies#.cpp

Then just use Advanced Custom Study/System Interface and Language (ACSIL) - Sierra Chart

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  #32 (permalink)
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Big Mike View Post
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).
Mike

Hello Mike.

Hm..m. Why you are not using the study from the post #24?

It has a lot of comments and looks like what you are looking for.

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  #33 (permalink)
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slickiam View Post
Hello Mike.

Hm..m. Why you are not using the study from the post #24?

It has a lot of comments and looks like what you are looking for.

I do use it everyday, but it doesn't do what I was talking about.

Mike

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  #34 (permalink)
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Big Mike View Post
I do use it everyday, but it doesn't do what I was talking about.

Mike

I'm not sure should I just add the % representation to that study and this is the issue?

do you want the bar by bar comparison for a volume or a cumulative value since a session starts will be OK?


Quoting 
I want the number on my chart (50%, 100%) to be representative of the relative volume. Is volume light? Is it heavy?

Would you please provide an equation using simple words?

4 exmpl:

the number I want = today's volume * 100% / an average of volume for last 10 days

thnx.

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Last edited by slickiam; October 12th, 2014 at 02:51 PM.
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  #35 (permalink)
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slickiam View Post
I'm not sure should I just add the % representation to that study and this is the issue?

do you want the bar by bar comparison for a volume or a cumulative value since a session starts will be OK?



Would you please provide an equation using simple words?

4 exmpl:

the number I want = today's volume * 100% / an average of volume for last 10 days

thnx.

may i jump into the discussion? as i am looking for such an indicator since ages i'd just throw it in here and if this correlates with Mikes wish, so be it

what i would need is the following:

1. Parameter start time and end time to be able to skip overnight sessions or start at 4:30pm instead of 00:00 or whatever
2. Paramter days to look back
3. the calculation should be start accumulating the volume from the beginning (start time) until recent, do the same for the amount of look back (parameter) and show me the percentage (in per cent, so *100) of how the volume is today vs. the lookback period

the indicator of #24 does not do this (properly?) as it shows completely different numbers when i apply it to a 1 or 5 minute chart which cannot be if you start counting at the beginning of the session (or start time parameter) as the volume should still be the same regardless what timeframe you are on.

thanks a lot,
Andreas

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  #36 (permalink)
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I put the code in post #24 out here soon after I wrote it and haven't really followed what's gone on since. It seems I like programming better than I like trading, so I haven't really relied on the indicator.

My intent when I wrote the code was to compute a measure of how the current day's volume relates to historical volume for the equivalent time. I too was trying to emulate the relative volume indicator from MarketDelta.

For each bar it computes the cumulative volume for the trading day and compares that to the average of the cumulative volumes for the corresponding bar for the preceding number of days.

Here's an example that I conjured up for simplicity using a 5 day relative volume on 60 min chart of ESM5 day session:
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For the most part it seems to behave as intended. The bottom region displays the 2 key inputs to the ratio. The magenta line is today's cumulative volume and the yellow line is the average for the past 5 days. There does indeed seem to be an issue involving the holiday on Feb 16. This causes some distortion in the following days. To be perfectly honest, I'm at a bit of a loss as to the proper way to deal with that.

I hope this helps understand what the study purports to be, and I promise to check back more often in the coming days to see what transpires. Even though I'm not relying on the study, I'd like for it be useful.

drywater0 - I did try to reply to your PM but I haven't posted enough here for that privilege. Hopefully this response answers some of your questions.

Edit: The number plotted for Relative Volume is: TodayVolume / AverageVolume - 1. So positive numbers represent greater than average volume and negative numbers are below average. Thus the value -0.20 represents 20% below average volume. My preference would have been to leave the simple ratio but I was unable to find a way to tell Sierra to set the origin for the bars to 1.0 instead of 0.0. In other words, if I don't subtract 1 all of the values are positive, and the bars all are on the upside. There are certainly other options for presenting the value and those kinds of changes are very straightforward. So I'm open to suggestions.

Edit #2: I want to point out that when analyzing the correlation between time frames one needs to be careful to compare apples to apples. In the following examples of ES you can see that the data for 10:15 on the 5 minute chart compares to that for 10:19 on the 1 minute chart.

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Last edited by aweedram; March 15th, 2015 at 09:59 PM. Reason: Additional information
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  #37 (permalink)
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Relative Volume Study

Starting from release 1261 there's "official" Relative Volume Study.
Technical Studies Reference - Sierra Chart

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  #38 (permalink)
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i am trying out the relative volume study that sierra chart released. it shows the volume for a specific time bar as a percentage of the average volume for "n" past periods. in the description on sierrachart.com it says "This study only works properly on Intraday charts"

1. im not sure why that is the case? if you go to a daily chart for the last 60 days and then just increase the period "n" wouldnt that still make it work as intended?

2. in terms of intra day relative volume, how useful is it really to know how strong the volume was for a certain period during the day realtive to past days. im not sure how i would trade off that as i dont believe there would be a strong correlation to intra day moves and their time in relation to past days. like are institutions stepping in every day at 10:00 and placing orders? maybe someone could explain to me how they would use it.

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  #39 (permalink)
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is it possible with the relative volume study to display the average volume for whatever period of days(all days) and then display the actual volume over that? not as a % of that volume?

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