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Direct MessagesDate/Time: Sun, 12 May 2024 08:24:23 +0000
Post From: large volume trade indicator scaling
| [2017-02-24 02:24:55] |
| Neo - Posts: 198 |
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I would say its one way to address the large volume opening and closing prints but it still fails to address a good way to display the information because volume is not evenly distributed at different times of the day.
For me, the tool is intended to show what is abnormal within the order flow. As a day trader, I need to see how this large volume compares to other recent large volumes. Deciding how big to draw the circle of a large volume print at 11:30 versus a large volume print at 9:05 is not really going to give any extra information and is maybe not so useful for looking at the order flow. So what you are describing is the need to normalize the volume, so that it's relevant for each time stamp/ period through out the day. A basic normalization could look like this For example; based on a 1min chart, at 11:30am from the current day, the calculation would look back at all data from the equivalent time stamp, 11:30am, over the last x days. so at 11:30am, with an input of 30 days, the calculation would look at all volume traded at the 11:30am time stamp( 11:30:00-11:30:59) from the last 30 days of data, and then scale the volume based on that. If you wanted to split days into increments, then you would adjust the bar period accordingly, eg use a 30min chart, and overlay the study onto your trading time frame. The volume threshold would then be based on a percentage eg 0-100%, rather than fixed volume amount. |