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Relative Volume Indicator
Started:September 5th, 2010 (02:25 AM) by soulartist Views / Replies:22,719 / 69
Last Reply:October 28th, 2013 (10:48 AM) Attachments:8

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Relative Volume Indicator

Old September 12th, 2010, 02:38 PM   #21 (permalink)
Market Wizard
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Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
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Relative Volume Indicator Reworked

Have just reworked the indicator:

(1) Now compatible with multi-session templates.

(2) The indicator now plots the numeric value of the cumulated volume in the indicator panel.

(3) Below is an example of an application. I have looked at the cumulated relative volume (this is the cumulated volume divide by the average cumulated volume for n days (same weekday) of the same period. If the cumulated volume of the night session (RTH close to RTH open) is higher than 110%, the odds for a reversal or an expansion do increase.

Indicator only runs on NT 7.0.0.21 or later. I will wait a bit to put it into the downloads section.

Attached Thumbnails
Relative Volume Indicator-relative-volume.jpg  
Attached Files
Register to download File Type: zip RelativeVolumeV12.zip (4.7 KB, 101 views)
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Old September 14th, 2010, 03:48 AM   #22 (permalink)
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Ninja7b upgrade to v21

Fat Tails,
The older version of the indicator does not work after installing Nt beta v 21. I was about to ask you about code upgrade for v21 but I suppose you have already taken care of it in this updated version?

In any case I am appending the relevant info:

NinjaScript updates:
GetSessionDate() is no longer publicly exposed. Please use GetTradingDayFromLocal() instead.
GetSessionBar() is now deprecated. Please use GetDayBar() instead.

More info about what has changed:
NinjaTrader Version 7
NinjaTrader Version 7

The application you have provided is an interesting one.
But the new version of the indicator would still plot in a separate pane, I suppose?


I am still having issues after installing Nt7 and so unable to run the indicator still. Historical data is not loading onto my charts though I have more than 1 yr data migrated successfully from nt6.5 into nt7. The charts hang after saying loading data and ultimately say IB historical data request overload... why it does not load historical data available on the disk I do not know. Any insights into getting Nt7 up and running with historical data migrated from nt6.5?

Thanks
- soulartist

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Old September 14th, 2010, 06:08 AM   #23 (permalink)
Market Wizard
Berlin, Europe
 
Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
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soulartist View Post
Fat Tails,
The older version of the indicator does not work after installing Nt beta v 21. I was about to ask you about code upgrade for v21 but I suppose you have already taken care of it in this updated version?

In any case I am appending the relevant info:

NinjaScript updates:
GetSessionDate() is no longer publicly exposed. Please use GetTradingDayFromLocal() instead.
GetSessionBar() is now deprecated. Please use GetDayBar() instead.

More info about what has changed:
NinjaTrader Version 7
NinjaTrader Version 7

The application you have provided is an interesting one.
But the new version of the indicator would still plot in a separate pane, I suppose?


I am still having issues after installing Nt7 and so unable to run the indicator still. Historical data is not loading onto my charts though I have more than 1 yr data migrated successfully from nt6.5 into nt7. The charts hang after saying loading data and ultimately say IB historical data request overload... why it does not load historical data available on the disk I do not know. Any insights into getting Nt7 up and running with historical data migrated from nt6.5?

Thanks
- soulartist

Hi soulartist,

Compatibility of the indicator

The old versions of the indicators do not use any of the depreciated methods. I have tested them on NT 7.0.0.21 and they are all working.

It is just the new version from post #21, which will not run on the older NT versions.

Loading Historical Data

You should first load daily data from Kinetick. In mode MergeBackadjusted you will get over 2 years of data for all major futures contracts. The Kinetick data is better than IB data.

I did not import my data from NT 6.5. but reloaded intraday data from Interactive Brokers. They have data throttling, but you can

Open a chart of your instrument, set it to about 100 days ( make sure that you load the front month and the entire last front month, so today for September 14, I would use 110 days to go back to the beginning of June and include the entire September contract. Then increase the lookback period of the chart from 100 to 190 days to include the June contract. Continue increasing by 90 days. The process will get interrupted by data throttling, but in the end you will have your data. With IB you can easily go back to the beginning of 2009 for intraday data.

For updating contracts, I use the historical data manager. You can just select the default group, select the appropriate update period, and all instruments will update one by one, while you have a cup of coffee. Updating for daily data via Kinetick, for intraday data via IB.

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Old September 14th, 2010, 02:48 PM   #24 (permalink)
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Nt7 data

Fat Tails,
Thanks a ton for the inputs

Let me try to work this out and I will get back to you

- soulartist

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Old November 13th, 2010, 02:37 PM   #25 (permalink)
Market Wizard
Berlin, Europe
 
Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
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Posts: 8,389 since Mar 2010
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Relative Volume Indicator Update

Have worked today to make this beast faster by using recursive formulae. Not so easy, as

- some days (holidays) do not contain data
- the divisor for the average volume needs to be adapted to the number of results found
- if the first data point is empty, the recursive formula cannot be used
- etc.

In the end I have now a modified indicator, which is significantly faster, if you select longer reference and display periods. I have not changed the default settings, which have 2 weeks displayed and 20 weeks referenced (-> your chart must have hat least 20 + 2 +1 = 23 calendar weeks of intraday data). For the default settings, there is virtually no speed gain.

However, if you use the indicator on 50 reference weeks and 50 display weeks (-> your chart must have at least 50 + 50 + 1 = 101 weeks or roughly 2 years of intraday data), then the speed gain can be significant. For a 15 min chart it came down from 2 minutes to 20 seconds.

I won't put the indicator in the download section right now, as I am still running some experiments.

Attached latest indicator for NT 7.0

Attached Files
Register to download File Type: zip RelativeVolumeV14.zip (5.1 KB, 119 views)
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Old November 16th, 2010, 11:53 PM   #26 (permalink)
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Thanks and how about a Relative Performance Indicator?

Hi Fattails,
Thanks a ton for the indicator, I am able to use it as I had envisaged.

I like the fact that I was able to bring an idea or trading input to the table and now we have an indicator to work the idea courtesy your efforts.

Let me bring another idea to the table - that of comparing relative performance of indices/sectors/equities/commodities... any market(s) that one may want to compare, across different periodicities and time periods. Two usage scenarios come to mind straightaway
1. Compare intraday performance for the S&P sectors, futures and select stocks. Plot graphs of each as % change from opening price
2. Compare sector and/or select equities performance for a set period - say quarter or year.

To my knowledge nothing like this exists on NT, at least I did not find anything. But this indicator/feature exists in a fully developed form on Investor RT platform, please refer to the video at - TechSmith | Screencast.com, online video sharing, Charting Relative Performance
Another example can be found at : PerfChart - Charting Tools - StockCharts.com[COMM]

I have created a separate thread for this ( https://www.bigmiketrading.com/platforms-indicators/6727-relative-performance-indicator.html#post77405 ), would really appreciate you taking a look at this if it interests you. The video showcases the features much better than I would be able to explain.

Thanks
soulartist


Last edited by soulartist; November 16th, 2010 at 11:55 PM. Reason: add text
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Old November 17th, 2010, 02:58 AM   #27 (permalink)
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soulartist View Post
Hi Fattails,
Thanks a ton for the indicator, I am able to use it as I had envisaged.

1. Compare intraday performance for the S&P sectors, futures and select stocks. Plot graphs of each as % change from opening price
2. Compare sector and/or select equities performance for a set period - say quarter or year.

To my knowledge nothing like this exists on NT, at least I did not find anything.

NT 6.5 did not allow for multiple data series on a single chart. With NT 7.0 this should be possible. Will think about it.

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Old November 17th, 2010, 11:35 AM   #28 (permalink)
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Fat Tails View Post
NT 6.5 did not allow for multiple data series on a single chart. With NT 7.0 this should be possible. Will think about it.

Great Fat Tails.

Here's my concrete concrete idea for intraday usage.
Overlay this indicator (% increase from open) on a TICK chart. At a glance this will give TICK confirmation/divergence for all instruments/markets one is tracking.

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Old November 17th, 2010, 01:18 PM   #29 (permalink)
Market Wizard
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soulartist View Post
Great Fat Tails.

Here's my concrete concrete idea for intraday usage.
Overlay this indicator (% increase from open) on a TICK chart. At a glance this will give TICK confirmation/divergence for all instruments/markets one is tracking.

Interesting idea, I am currently using Tick with Audio Alerts, so your suggestion fits well into my agenda. But needs some time to breed....

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Old November 19th, 2010, 11:28 PM   #30 (permalink)
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Fat Tails,
Take all the time you need to produce a quality breed.

Glad that my idea found resonance with you.

I currently track NYSE Tick on a separate chart too along with Cumulative tick, but what I outlined will provide a "at a glance" intraday sentiment snapshot, I feel. This towards my goal of zoning in on a few fundamental concepts and applying them consistently.

- soulartist

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