How to estimate entire day volume in first 5..30 minutes of intraday data?

skorandla

#1

7/11/2011 10:40 PM

In my daily strategy - only want to take the trade in the first 15 or 30 or 45 minutes based on the volume 150% of 30 day average.
Is there any indicator that can estimates today's overall possible volume based on first 15, 30 or 45 minutes of intraday data.

Or Is there any indicator like today's volume buzz etc. I have tried searching and going through various posts but could not figure it out so far.

I appreciate any help.

Eugene

#2

7/12/2011 12:00 AM

The following might work:

1. First you might want to sum the volume of the first NN minutes. Here's a how-to on Accessing Intraday data from Daily. Establish a counter, loop over the intraday Bars, sum the intraday Volume while counting the bars, break when counter == NN bars i.e. NN minutes. Save the result in a Daily DataSeries.

2. Next, how about using PercentRank on the Daily series to find out how does the partial day's volume corresponds to some previous values (e.g. period = 30)?

Eugene

#3

7/12/2011 12:02 AM

As an alternative to #2, averaging the values using any MA is a more direct way of getting there.

skorandla

#4

7/12/2011 9:22 AM

Thanks Eugene. As I have seen volume buzz on other sites, I thought there might be a direct indicator available.

As you suggested above, I will work on it tonight. It will take a while for me as I am still trying to understand various things here.

Cone

#5

7/12/2011 10:06 AM

I recall creating a Volume Buzz type indicator for Version 4, so I can dig that up later. You'd need to use intraday data, however, to use it. Note that you can run a Daily strategy using intraday data, however, if you're creating trades "mid day" based on intraday data, then it's an intraday strategy.

To make sure we're talking about the same thing, as I understand it, Volume Buzz gives you an average trading volume for an instrument at certain times of the day. For example, the 5-day Volume Buzz at 10:00am would be the sum of all the volume from 09:30 to 10:00 from the previous 5 days of trading divided by 5. Likewise, at 10:30, it would be the 5-day average of the total volume from 09:30 to 10:30. Sound like what you're looking for?

skorandla

#6

7/12/2011 5:28 PM

Thanks Cone. That is exactly I am looking for. I want to take a intraday trade based on today's volume action and hold it for several days with stop loss in place. I want to select the stocks based on daily bar's which have 20MA above the 50MA and currently oversold (Stoc-D crossover above oversold). Can you please point me to right direction on this? How can I get to the volume buzz callculation that is available in WL 4.0. As I mentioned, this is my first experiment with strategy and WL and trying to understand quite a bit how it works.

skorandla

#7

7/12/2011 5:41 PM

Probably creating a indicator like today's virtual volume based on intraday 5min-bars cumulative volume then divide by num of bars in the cumulative data then multiply with 78 ( 5 minute intervals in a trading day )

then Virtual Volume % = Virtual Volume *100 / average daily volume (30day)

Hopefully, these things work. But I still have to put it in the code format.

I appreciate Any help or pointers.

Cone

#8

7/13/2011 11:22 AM

Give this a shot using an intraday chart, any interval. There are actually 2 indicators in here. One that gives you the total actual daily volume at a specified time of day (plotted in black), and the other plotted in blue is the average daily volume at a specified time of day.

CODE:
Please log in to see this code.

It's not the most efficient formulation, so it can be optimized if speed is critical.

Size:

Color:

Give this a shot using an intraday chart, any interval.  There are actually 2 indicators in here.  One that gives you the total actual daily volume at a specified time of day (plotted in black), and the other plotted in blue is the average daily volume at a specified time of day.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		StrategyParameter _period;
		
		public MyStrategy()
		{
			_period = CreateParameter("Period", 5, 2, 10, 1);
		}
		
		public DataSeries TotalVolumeToday(Bars bars)
		{
			DataSeries tv = new DataSeries(bars, "Total Intraday Volume");
			double v = Volume[0];
			for(int bar = 1; bar < Bars.Count; bar++)
			{				
				v += bars.Volume[bar];
				tv[bar] = v;
				
				if (bars.IsLastBarOfDay(bar))
					v = 0;
			}
			return tv;
		}
		
		protected override void Execute()
		{
			int days = _period.ValueInt;
			Utility u = new Utility(this);
			DataSeries vbuzz = new DataSeries(Bars, "Volume Buzz (" + days.ToString() + ")");
			
			
			for(int bar = u.FirstBarofDay(days); bar < Bars.Count; bar++)
			{
				int n = 0;
				int t = u.GetTime(bar);
				double v = Volume[bar];
				for (int ibar = bar - 1; ibar >= 0 ; ibar--)
				{
					if (u.GetTime(ibar) <= t)
					{
						v += Volume[ibar];
						if (Bars.IntradayBarNumber(ibar) == 0)
						{
							n++;
							if (n == days)
							{
								vbuzz[bar] = v / days;
								break;
							}
						}
					}
				}
			}
			ChartPane vbPane = CreatePane(40, false, true);	
			DataSeries totalV = TotalVolumeToday(Bars);			
			PlotSeries(vbPane, totalV, Color.Black, LineStyle.Solid, 2);
			PlotSeries(vbPane, vbuzz, Color.Blue, LineStyle.Histogram, 2);
		}
	}
}[/CODE]It's not the most efficient formulation, so it can be optimized if speed is critical.

Cone

#9

7/13/2011 12:57 PM

Here's another formulation that runs more quickly, but the Volume Buzz doesn't match the previous one. (Edit: Now corrected)

CODE:
Please log in to see this code.

This formulation has been corrected. The problem:

WAS:
ibar = bar - Bars.IntradayBarNumber(bar) - 1;

SHOULD BE:
ibar = ibar - Bars.IntradayBarNumber(ibar) - 1;

Size:

Color:

Here's another formulation that runs more quickly, but the Volume Buzz doesn't match the previous one.  (Edit: Now corrected)

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		StrategyParameter _period;
		
		public MyStrategy()
		{
			_period = CreateParameter("Period", 5, 2, 10, 1);
		}
		
		public DataSeries TotalVolumeToday(Bars bars)
		{
			DataSeries tv = new DataSeries(bars, "Total Intraday Volume");
			double v = Volume[0];
			for(int bar = 1; bar < Bars.Count; bar++)
			{				
				v += bars.Volume[bar];
				tv[bar] = v;
				
				if (bars.IsLastBarOfDay(bar))
					v = 0;
			}
			return tv;
		}
		
		protected override void Execute()
		{
			int days = _period.ValueInt;
			Utility u = new Utility(this);
			DataSeries vbuzz = new DataSeries(Bars, "Volume Buzz (" + days.ToString() + ")");			
			DataSeries totalV = TotalVolumeToday(Bars);
			
			for(int bar = u.FirstBarofDay(days); bar < Bars.Count; bar++)
			{
				int n = 0;
				int t = u.GetTime(bar);
				double v = 0d;
				
				int ibar = bar;
				do
				{					
					if (u.GetTime(ibar) <= t)
					{
						v += totalV[ibar];
						n++;						
						if (n == days)
						{
							vbuzz[bar] = v / days;
							break;
						}
						// go to the next day
						ibar = ibar - Bars.IntradayBarNumber(ibar) - 1;
					}
					else
					{
						ibar--;
						continue;
					}					
					
				} while (ibar > 0);			
				
			}
			ChartPane vbPane = CreatePane(40, false, true);				
			PlotSeries(vbPane, totalV, Color.Black, LineStyle.Solid, 2);
			PlotSeries(vbPane, vbuzz, Color.Blue, LineStyle.Histogram, 2);
		}
	}
}[/CODE]

This formulation has been corrected.  The problem:

WAS:
ibar = bar - Bars.IntradayBarNumber(bar) - 1;

SHOULD BE: 
ibar = ibar - Bars.IntradayBarNumber(ibar) - 1;