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How to create an unusual volume stock scan?
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How to create an unusual volume stock scan?

  #1 (permalink)
Trading Apprentice
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Futures Experience: Beginner
Platform: tos
Favorite Futures: stocks
 
Posts: 1 since Aug 2013
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How to create an unusual volume stock scan?

How to create an unusual volume stock scan? What are the parameters that go into creating an unusual volume scan for stocks? I noticed thinkorswim has something called the sizzle index based on options volume. I'm trying to create a custom scan to do daily in the morning based on premarket data, but I do not have a good understanding on how high unusual volume scans work.

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  #3 (permalink)
Market Wizard
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you dont need any scan Stock Volume Indicator: Unusual Stock Trading Volume ? NASDAQ.com

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  #4 (permalink)
Elite Member
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Futures Experience: Intermediate
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Broker/Data: TDA/Interactive Brokers/ Data Feed TDA & IBK ( Dropped Kinetick)
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candlestixs View Post
How to create an unusual volume stock scan? What are the parameters that go into creating an unusual volume scan for stocks? I noticed thinkorswim has something called the sizzle index based on options volume. I'm trying to create a custom scan to do daily in the morning based on premarket data, but I do not have a good understanding on how high unusual volume scans work.

TOS... Great program...
Click the HELP TAB or just use http://tlc.thinkorswim.com/center/tutorial.html
There are some great videos to watch that explain things much better than I can.
Click on the Topic Tab SCAN
The Scan TAB tool video should help with getting you set up.

Hope this helps...
There is also a TOS Manual that covers a lot of ins and outs of TOS:
You can get there via TOS or
Learning Center ? Publications/Manual
Click the thinkManual click the download button to get thinkManual.PDF

Also if you click the Seminars TAB from opening up a CHAT window there should be some Webinars available on the topic that go in even more detail.
Have not watched them the there are two one hour presentations you can get using the search "scan tab" in the seminars tab on CHAT.

Hope this helps...

p.s. Attaching picture of a SCAN to give you an idea of one way to set up for your scanning. The "Sizzle Index" is something TOS and TDA will not give you the exact method of calculation as it is proprietary, but the let us use it

Attached Thumbnails
How to create an unusual volume stock scan?-chart.jpg  

Last edited by bd92154; August 16th, 2013 at 04:51 PM.
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  #5 (permalink)
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Futures Experience: Intermediate
Platform: NinjaTrader/Think or Swim
Broker/Data: TDA/Interactive Brokers/ Data Feed TDA & IBK ( Dropped Kinetick)
Favorite Futures: Stocks NASDAQ
 
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candlestixs View Post
How to create an unusual volume stock scan? What are the parameters that go into creating an unusual volume scan for stocks? I noticed thinkorswim has something called the sizzle index based on options volume. I'm trying to create a custom scan to do daily in the morning based on premarket data, but I do not have a good understanding on how high unusual volume scans work.

Here and I thought I nailed the question...
But no yet for status or banner showing it was answered so back to the drawing board.

Quickest, Easiest, and most dependable way to set up a scan in TOS is to:
1. Click on SCAN TAB
2. Load preset Scan Query for Top10Active NASDAQ Stocks, that will be the HIGHEST VOLUME of all
3. Click Add Fundamental Filter (it is over to the right a bit)
4. Add Price filters for your MIN and MAX stock price you want to trade (Highly recommend a filter, but if not important to you skip this step.)
5. You can also add Other filters as you see fit.
6. When you want to generate your list click Scan Button
7. After Scanning your list click the Save As Watchlist and give it a name for the day. You can overwrite prior lists if you want.
8. You can then repeat the process for the NYSE as well.
9. The addition of using a Sizzle Index may help your results more as that would as you say take into account options volume. There is actually a choice of three options for the Sizzle index Filter:
a. Call Sizzle Index
b. Put Sizzle Index
c. Sizzle Index

Oh and one more filter that may be what you are really looking for is the Vol Diff filter Learning Center ? June 15, 2013

Lastly once you have your Custom Scan Set the way you like click Save Scan Query near the top left and give it a name.

Hope this answers the question for you.

Two Examples are attached:
One prior to adding price filter and one with a price filter.

Attached Thumbnails
How to create an unusual volume stock scan?-toptennasdaq.jpg   How to create an unusual volume stock scan?-toptennasdaq_filtered.jpg  
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  #6 (permalink)
Elite Member
Olivos, Buenos Aires, _Argentina
 
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there is something similar for NinjaTrader?

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