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Relative Volume Indicator
Started:September 5th, 2010 (02:25 AM) by soulartist Views / Replies:22,707 / 69
Last Reply:October 28th, 2013 (10:48 AM) Attachments:8

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Relative Volume Indicator

Old November 21st, 2010, 06:09 PM   #31 (permalink)
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Have put the RelativeVolume V14 in the download section. No further changes.

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Old November 21st, 2010, 06:12 PM   #32 (permalink)
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Have put the RelativeVolume V14 in the download section. No further changes.

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Old December 25th, 2010, 08:16 AM   #33 (permalink)
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Fat Tails View Post
Have put the RelativeVolume V14 in the download section. No further changes.

Thank you very much for this indicator. If one could place this indicator in Ninjatrader's Market Analyser, one could be alerted of volume surges in any of the stocks in the watchlist. I have tried to do this but was not successful. Could you advise how it could be made to work. Thanks.

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Old December 25th, 2010, 08:47 AM   #34 (permalink)
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Thank you very much for this indicator. If one could place this indicator in Ninjatrader's Market Analyser, one could be alerted of volume surges in any of the stocks in the watchlist. I have tried to do this but was not successful. Could you advise how it could be made to work. Thanks.

The relative volume indicator needs quite a long lookback period, as it uses all data of the n preceding weeks, also it will possibly slow down NinjaTrader if used simutaneously on several instruments. So I am not sure, whether it can be used via the market analyzer. For your purposes it might be eaier to determine a general intraday volume profile and then check against that profile by using daily volume and a factor derived from the volume profile.

Will think about a solution.

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Old December 25th, 2010, 08:39 PM   #35 (permalink)
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Thanks again. I have a simple code in Sierra Charts which I call "Virtual Volume Buzz" which takes on the idea you mentioned. It compares the current day volume profile (based on 10 min charts ) against the average volume profile for the last 4 days. The code is appended below. As I am new to coding in Ninjatrader, I have not been able to code it in Ninjatrader. If it could be improved and coded for use in Ninjatrader's Market Analyser, it would be great!


SCSFExport scsf_VirVolBuzz(SCStudyGraphRef sg)
{
// Section 1 - Set the configuration variables

SCFloatArrayRef Day = sg.Subgraph[1].Arrays[0];
SCFloatArrayRef DayCumVol = sg.Subgraph[2].Arrays[0];
SCFloatArrayRef AvgCumVol = sg.Subgraph[3].Arrays[0];
SCFloatArrayRef VolChng = sg.Subgraph[4].Arrays[0];

SCFloatArrayRef Avg = sg.Subgraph[5].Arrays[0];

if (sg.SetDefaults)
{
// Set the configuration and defaults

sg.GraphName = "VirVolBuzz";
sg.StudyDescription = "VirVolBuzz";
sg.FreeDLL = 0;
sg.AutoLoop = 1; // true
sg.GraphRegion = 1;
sg.Subgraph[0].Name = "VirVolBuzz";
sg.Subgraph[0].DrawStyle = DRAWSTYLE_LINE;
sg.Subgraph[0].PrimaryColor = RGB(255,127,0);//magenta

sg.Input[0].Name = "Length";
sg.Input[0].SetInt(39); //Based on 10 mins charts i.e. 39 bars in a trading day. For hourly charts, this can be changed to 7.

sg.Input[0].SetIntLimits(1,1000);

}

// Section 2 - Do data processing here

int i = sg.Index;

// Get the input into a local variable.

int InLength = sg.Input[0].GetInt();


for (int w=0; w <= sg.ArraySize-1; ++w)

{

Day[w]=DATE_PART(sg.BaseDateTimeIn[w]);

}

for (int s=0; s <= sg.ArraySize-1; ++s)

{

if (Day[s] == Day[s-1])

{

DayCumVol[s]=sg.BaseDataIn[SC_VOLUME][s]+DayCumVol[s-1];

}

else

{

DayCumVol[s]=sg.BaseDataIn[SC_VOLUME][s];

}
}


Avg[i] = (DayCumVol[i-InLength] + DayCumVol[i-InLength*2] + DayCumVol[i-InLength*3] + DayCumVol[i-InLength*4])/4;

sg.Subgraph[0][i]=DayCumVol[i] / Avg[i];

}

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Old April 13th, 2011, 01:09 AM   #36 (permalink)
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Thanks again Fat Tails. It works perfectly after trying out the various settings. Now the color of the bar change when it reaches a certain percentage level, below 80 RED, 81-119 WHITE, above 120 GREEN, according to the default setting. I wonder if there could be such an option that the color can change live against the proportional completion of time, e.g. in 1 min out of a 5 min chart, if the figure goes up above 24 (which virtually represents 120 in 5 min), and the color changes to green in that case. Similarily below 16 = RED, 16-24 = WHITE etc.

I believe 5 min is more reliable than 1 min, so I try not to use 1 min chart to accomplish what I suggested above. But sometime the great movement happens right in the middle of 5 min. Right now, I use your bartime to monitor the progress of the bar in the 5 min.

BTW, I still recall from time to time the great moments I spent in the Capital of BEAR back to my young age.

Best regards,
NTrader

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Old April 13th, 2011, 06:49 AM   #37 (permalink)
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NTrader View Post
Thanks again Fat Tails. It works perfectly after trying out the various settings. Now the color of the bar change when it reaches a certain percentage level, below 80 RED, 81-119 WHITE, above 120 GREEN, according to the default setting. I wonder if there could be such an option that the color can change live against the proportional completion of time, e.g. in 1 min out of a 5 min chart, if the figure goes up above 24 (which virtually represents 120 in 5 min), and the color changes to green in that case. Similarily below 16 = RED, 16-24 = WHITE etc.

I believe 5 min is more reliable than 1 min, so I try not to use 1 min chart to accomplish what I suggested above. But sometime the great movement happens right in the middle of 5 min. Right now, I use your bartime to monitor the progress of the bar in the 5 min.

BTW, I still recall from time to time the great moments I spent in the Capital of BEAR back to my young age.

Best regards,
NTrader

Agree that this should not be used on 1 minute bars. This applies to all volume indicators. There is too much random volume.

As I understand it, your wish just refers to the large bar. This would require to include a full bar timer within the indicator or to access the other bar timer. It certainly makes sense but is a lot of effort for such a little feature.

In the end it will give you the information of the relative volume for fractional bars, that is 1 minute bars within the 5 minute bars, which is not reliable anyhow, because that is reason that you use 5 minute bars.

I think I won't include it with the standard indicator, but maybe if I find some time, I will play around with it.

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Old April 13th, 2011, 09:02 AM   #38 (permalink)
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Thanks so much FT. Yes, I agree the existing one is already doing a great job. I particularly like the idea "relative" to previous the same time slot, instead of the previous n period. Do you know there are "relative range indicator" and "relative tick velocity indicator" etc. avaliable or that can be developed? I believe there could be predicative value like the "relative volume indicator" when we see the price movements(range/velocity) behave differently from what we usually expect in the past.

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Old April 13th, 2011, 09:36 AM   #39 (permalink)
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NTrader View Post
Thanks so much FT. Yes, I agree the existing one is already doing a great job. I particularly like the idea "relative" to previous the same time slot, instead of the previous n period. Do you know there are "relative range indicator" and "relative tick velocity indicator" etc. avaliable or that can be developed? I believe there could be predicative value like the "relative volume indicator" when we see the price movements(range/velocity) behave differently from what we usually expect in the past.

I have done an intraday range indicator as well, but it does not compare the ranges of the current bars to the ranges typically found. It just displays the average range for a certain period of a weekday to indicate whether that time is suitable for trading. I have used it to determine my optimum trading times.

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Old May 20th, 2011, 04:42 PM   #40 (permalink)
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volume


wondering if we can create a push like a wykoff type of volume bar with the relative volume - meaning when there is bar that is greather then past X bars the volume bar changes colours

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