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Relative Volume V23

Exported using NT version 7.0.1000.26

Only to be used with minute or daily charts.

The relative volume indicator measures the volume of a fixed period bar against the average volume over the same period during the preceding n days. The version which can be downloaded here allows for two different comparisons:

All_Days: Today's volume is compared to the average volume of the N preceding business days. The default value is N = 40. With the setting "All_Days" the indicator requires the use of proper session templates which match the trading day of the instrument traded. Session templates that cut the week into arbitrary sessions - such as the session template 24/7 - cannot be handled by the indicator and will trigger an error message.

Day_Of_Week: Today's volume is compared to the average volume calculated for the same day of the week over the N preceeding weeks. The default value is N = 8. With the setting "Day_Of_Week", all session templates can be handled.

Holidays: Holidays as selected via the indicator dialogue box are excluded from all calculations.
Daylight savings schedules: The indicator automatically adjusts to different daylight savings zones.

The histogram shows the relative volume for the period of the day. For example on the chart today's highest relative volume occured after a news release, just prior to the start of the regular session. Compared to the last 40 business days, the relative volume was 593% (about 6 times higher than for a normal business), whereas it was 509% (about 5 times higher than for a normal Friday). The cumulated volume for today is 26% higher compared to an average business day and 20% higher compared to an average Friday.

Average volume bars - between 80% and 120% of normal volume - are shown as white bars. If the relative volume exceeds 120% the histogram color is green, below 80% it is red. The colors can be selected by the user.

Update February 26, 2013: Following the rescheduling of the daily trading sessions by CME in November 2012, the indicator did not work correctly. I had published a new version in the thread on the Relative Volume Indicator, which is now available for download here.
Update October 28, 2013: Null check added when calling ChartControl. The indicator can now be used as input series for other indicators or strategies.
Update December 5, 2014: Indicator entirely recoded. Indicator is now considerably faster and should cope with different data feeds. Option added to compare today's volume to all prior business days. The prior version could only do comparisons for the same day of the week.
Update December 10; 2014: Error message added to inform user when the chart lookback period is insufficient.
Update December 29, 2014: Holiday calendar and error messages updated.

Category NinjaTrader 7 Indicators

Details: Relative Volume V23
Category: NinjaTrader 7 Indicators

December 29th, 2014
Size: 7.63 KB
Downloaded: 3320 times

Keywords: relativevolume seasonality volume

Comments/ratings

gtichauer September 6th, 2010 04:42 PM

FT this is a GREAT indicator !!!! I have been reading about using tis to early detect trend days by Brett S. but never found an easy way to apply it....thanks !!!

rfiske September 7th, 2010 08:25 PM

FAT TAILS - Another great contribution!!! I really like this indicator.

soulartist September 8th, 2010 02:11 AM

This is coming out real well, and am sure will be useful to a lot of people

Markus October 3rd, 2010 02:44 PM

Useful? Are you joking? These type of correlations don't work. Show me how to make profits! Show me the profitable signals! That's ridicolous

Big Mike November 21st, 2010 06:11 PM

Thanks FT as always

azzab80 February 23rd, 2011 07:29 AM

Awesome indicator!! thank you very much

photog53 June 5th, 2011 01:49 PM

Just what I was looking for to do 'back testing" and look at avg volume over a period of time... Thanks

markus1000 November 20th, 2011 06:45 AM

Thanks

mikky182 November 13th, 2012 03:12 PM

No Comment

jacqudy December 5th, 2012 08:31 AM

Seems to have stopped working - possibly for index futures that had session change on 11/18/12? Doesn't show data for any interval below 100 minutes or before 11/18. Weird. Also, when it was working, session cumulative average changed from interval to interval (intraday) - shouldn't it be the same? Otherwise, love this indy - thanks/kudos once again to FT.

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