Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
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.
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:
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.
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.
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?
dont believe anything you hear and only half of what you see
dont believe anything you hear and only half of what you see