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RVOL code for TS
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RVOL code for TS

  #1 (permalink)
Elite Member
Newport Beach,CA,USA
 
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RVOL code for TS

Hi All,
Does anyone have the code for RVOL in TS?
Thanks so much in advance,
Peyt

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  #2 (permalink)
Elite Member
Montreal
 
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mashtee2003 View Post
Hi All,
Does anyone have the code for RVOL in TS?
Thanks so much in advance,
Peyt

 
Code
// __RACumVol - Average Cumulative Volume at this time for the last X days. 
// Must be used on minute-type intraday charts 
	 
Inputs:  
 DaysToAvg(20); 
 
Variables:  
    BarInDay(0), 
	BarsToday(0), 
	CumVolToday(0), 
	DayNumber(-99), 
	BarsPerDay(26),  
	TotCumVol(0), 
	AvgCumVol(0), 
	VolPercentile(0); 
 
 
// Declare the array.  Rows = number of days to average; columns = number of bars per day. 
// Add one to rows to avoid using row 0. 
IF BarType = 1 then 
BEGIN 
	value1 = TimeToMinutes(SessionEndTime(0,1)) - TimeToMinutes(SessionStartTime(0,1)); 
	value1 = value1/BarInterval; 
	 
	If FracPortion(value1) = 0 then 
		BarsPerDay = value1 
	else 
		BarsPerDay = value1 + 1 - FracPortion(value1); 
 
Arrays: VolArray[22,466] (0); // Note max bars of 405 ( 1 minute 9:30 - 16:15 ) 
 
If Date<>Date[1] THEN  
BEGIN	 
 
    //If we've passed day 20, then move everybody back a seat. 
	// All of day 2's data in the array goes into day 1, day 3 into day 2, etc, up through 21 into day 20.	 
	IF DayNumber+1 > DaysToAvg +1 THEN  
	BEGIN 
		For Value1=1 to DaysToAvg Begin; {Outer loop - one for each day, 1-20 + current day }	        
           For Value2 = 1 to BarsPerDay Begin; {Inner Loop - one for each bar in a day, 1-26} 
              VolArray[Value1,Value2] = Volarray[Value1+1 ,Value2]; 
	   	   End; 
		End; 
 
	END;	 
 
    // Start/Increment Day Counter.  It never goes above 21. 
	IF Daynumber = -99 THEN DayNumber = 1 {Start of first full day on the chart} 
	ELSE DayNumber = MinList(DayNumber+1,DaysToAvg+1) ;        {Start of a subsequent day, never goes above 21}	 
 
	// Reset cumulative daily bar and volume counters, since on first bar of a new day. 
	CumVolToday = 0; 
	BarsToday = 0;	 
	 
	// Clear out array row number (days to average + 1) for today's data. Previously moved it into day 20 in the array. 
    IF DayNumber >= DaysToAvg  + 1 THEN  
		For Value2 = 1 to BarsPerDay Begin 
			VolArray[DaysToAvg  + 1, Value2] = 0; 
		End;		 
END; {tasks for first bar of each day} 
 
IF Daynumber <> -99 THEN  
BEGIN	 
 
	// Increment bar and volume counters. 
	BarsToday = BarsToday + 1; 
	CumVolToday = CumVolToday + Volume; 
 
	// Store today's cumulative volume into the array, in the column for this bar. 
	VolArray[DayNumber, BarsToday] = CumVolToday; 
END; 
 
// Now calculate the 20-day cumulative average volume through this bar, if we have enough data. 
If Daynumber > DaysToAvg THEN  
BEGIN 
		TotCumVol = 0; 
	    // Add up the cumulative volume through this time for each of the past 20 days. 
		For Value3 = 1 To DaysToAvg Begin 
			TotCumVol = TotCumVol + VolArray[Value3, BarsToday]; 
		End;		 
		// And divide it by the number of days to get the average cumulative daily volume through this time of day. 
		AvgCumVol = IntPortion(TotCumVol / DaysToAvg); 
		// Now compare today's ccumulative volume to the average. 
	    VolPercentile = IFF(AvgCumVol > 0, CumVolToday *100 / AvgCumVol, 0); 
	     
	    Plot1(VolPercentile-100,"VPctAvg");  
	    Plot2(0,"100%");  
END; 
END;

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The following user says Thank You to olobay for this post:
 
  #3 (permalink)
Elite Member
Newport Beach,CA,USA
 
Futures Experience: Beginner
Platform: Tradestation
Favorite Futures: Gold
 
Posts: 8 since Aug 2011
Thanks: 9 given, 1 received



olobay View Post
 
Code
// __RACumVol - Average Cumulative Volume at this time for the last X days. 
// Must be used on minute-type intraday charts 
	 
Inputs:  
 DaysToAvg(20); 
 
Variables:  
    BarInDay(0), 
	BarsToday(0), 
	CumVolToday(0), 
	DayNumber(-99), 
	BarsPerDay(26),  
	TotCumVol(0), 
	AvgCumVol(0), 
	VolPercentile(0); 
 
 
// Declare the array.  Rows = number of days to average; columns = number of bars per day. 
// Add one to rows to avoid using row 0. 
IF BarType = 1 then 
BEGIN 
	value1 = TimeToMinutes(SessionEndTime(0,1)) - TimeToMinutes(SessionStartTime(0,1)); 
	value1 = value1/BarInterval; 
	 
	If FracPortion(value1) = 0 then 
		BarsPerDay = value1 
	else 
		BarsPerDay = value1 + 1 - FracPortion(value1); 
 
Arrays: VolArray[22,466] (0); // Note max bars of 405 ( 1 minute 9:30 - 16:15 ) 
 
If Date<>Date[1] THEN  
BEGIN	 
 
    //If we've passed day 20, then move everybody back a seat. 
	// All of day 2's data in the array goes into day 1, day 3 into day 2, etc, up through 21 into day 20.	 
	IF DayNumber+1 > DaysToAvg +1 THEN  
	BEGIN 
		For Value1=1 to DaysToAvg Begin; {Outer loop - one for each day, 1-20 + current day }	        
           For Value2 = 1 to BarsPerDay Begin; {Inner Loop - one for each bar in a day, 1-26} 
              VolArray[Value1,Value2] = Volarray[Value1+1 ,Value2]; 
	   	   End; 
		End; 
 
	END;	 
 
    // Start/Increment Day Counter.  It never goes above 21. 
	IF Daynumber = -99 THEN DayNumber = 1 {Start of first full day on the chart} 
	ELSE DayNumber = MinList(DayNumber+1,DaysToAvg+1) ;        {Start of a subsequent day, never goes above 21}	 
 
	// Reset cumulative daily bar and volume counters, since on first bar of a new day. 
	CumVolToday = 0; 
	BarsToday = 0;	 
	 
	// Clear out array row number (days to average + 1) for today's data. Previously moved it into day 20 in the array. 
    IF DayNumber >= DaysToAvg  + 1 THEN  
		For Value2 = 1 to BarsPerDay Begin 
			VolArray[DaysToAvg  + 1, Value2] = 0; 
		End;		 
END; {tasks for first bar of each day} 
 
IF Daynumber <> -99 THEN  
BEGIN	 
 
	// Increment bar and volume counters. 
	BarsToday = BarsToday + 1; 
	CumVolToday = CumVolToday + Volume; 
 
	// Store today's cumulative volume into the array, in the column for this bar. 
	VolArray[DayNumber, BarsToday] = CumVolToday; 
END; 
 
// Now calculate the 20-day cumulative average volume through this bar, if we have enough data. 
If Daynumber > DaysToAvg THEN  
BEGIN 
		TotCumVol = 0; 
	    // Add up the cumulative volume through this time for each of the past 20 days. 
		For Value3 = 1 To DaysToAvg Begin 
			TotCumVol = TotCumVol + VolArray[Value3, BarsToday]; 
		End;		 
		// And divide it by the number of days to get the average cumulative daily volume through this time of day. 
		AvgCumVol = IntPortion(TotCumVol / DaysToAvg); 
		// Now compare today's ccumulative volume to the average. 
	    VolPercentile = IFF(AvgCumVol > 0, CumVolToday *100 / AvgCumVol, 0); 
	     
	    Plot1(VolPercentile-100,"VPctAvg");  
	    Plot2(0,"100%");  
END; 
END;

Thanks so much!

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Unread   #4 (permalink)
Trading Apprentice
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it doesn't plot anything on my charts

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Unread   #5 (permalink)
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Montreal
 
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w4rri0r View Post
it doesn't plot anything on my charts

Must be used on minute-type intraday charts.

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Unread   #6 (permalink)
Trading Apprentice
world's citizen
 
Futures Experience: Master
Platform: Tradestation, Sierra
Broker/Data: many
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Posts: 45 since Oct 2015
Thanks: 10 given, 6 received


olobay View Post
Must be used on minute-type intraday charts.

that's what get with a 1 min bar chart
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Unread   #7 (permalink)
Elite Member
Montreal
 
Futures Experience: Intermediate
Platform: MultiCharts
Broker/Data: IB Canada/IQFeed
Favorite Futures: TF, CL
 
Posts: 278 since Jul 2011
Thanks: 295 given, 352 received


w4rri0r View Post
that's what get with a 1 min bar chart
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Make sure you have more days loaded on your chart than your days to average in the indicator.

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