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Showing results for tags 'volume'.
Found 33 results
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Hello, My name is trading4life. I just joined this forum.
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Hi I’m a relative novice to technical investing, and having read a few articles on the subject, it would seem that one of the best leading indicators would appear to be on balance volume. However, although most of the (free) technical analysis sites I’ve come across show the OBV graph, they do not appear to hold the OBV data upon which the graph is based. Does anyone know if there are any sites out there – free or otherwise – which has easily accessible OBV data for any given share? Otherwise – I might have to try converting the graphs to data somehow – again, can anyone recommend any conversion tools for this? Generally speaking, do people agree that OBV is one of the best leading indicators? If not, does anyone have views as to any leading indicators they consider to be more reliable than OBV? Many thanks in anticipation.
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Hi, reading here and there posts in the forum, from coding forum to trading indicators to array ecc... I've never found a code about Volume Profile. Many codes about Market Profile (TPO) , market delta and something about Peak of Volume at Price (PVP) which is called "mode" in statistic language, but nothing about a good Volume profile accurate to the tick. I've read posts from TAMS about ARRAY (very good and useful), code from DBantina about PVP (MODE) using tick chart, which could be a very good beginning, but nothing again about the Volume profile, so I've decided to create a new one searching someone who could help me. This is my start and my steps: (1) I've a GKMarketProfileTL (see txt attached files) which uses trend lines, but it's a proxy and not accurate to the tick because it uses minutes chart (1 minute chart in the best way). This indicator is not so useful because with trendlines, it's difficult to plot a volume profile for each day. Trend lines could be useful to plot a single Volume profile for the last day or for a cumulative profile made of more than one day. Then it's not so accurate (not to the tick ). (2) I've a second indicator which plots TPO MarketProfile (see txt attached below with its functions) which uses ASCII scripts as I'd like, but it calculates TPO and not Volume Profile. I've modified it to plot NOT only letters (put in inputs letters = false), but even ASCII scripts like "---". The problem with this indicator is that it's very difficult to decode and modify for my experience. Maybe its functions are useful to plot ascii scripts instead of Trendlines. So, watching these codes I'd like to create a Volume Profile code (indicator) which plots an histogram for each single day (session) using ASCII scripts instead of trendlines. It should be accurate to the tick, so I MUST calculate it on a tick chart. Doing this, I've copied a DBantina logic (code): on a 1 tick chart based on Trade Volume, calculate a range of each day and reset it each day. STEP ONE: //I've made a counter for each tick of the chart reset each day if date > Date[1] then begin MyOpen = open; MyHigh = High; MyLow = low; MyClose = close; counter = 1; end; If Date = date[1] then begin If high > MyHigh then MyHigh = High; If Low < MyLow then MyLow = Low; if time >= Sess1endtime then MyClose = close; If time < Sess1endtime and lastbaronchart then MyClose = close; counter = counter + 1; end; RangeDay = MyHigh - MyLow; STEP TWO Then I have to identify the lines for each day for each Volume profile Histogram: TickScale = minmove/priceScale; NLines = RangeDay /TickScale; STEP Three Now I've to create an ARRAY (dinamic) to identify the volume for each line of the histogram. I Think that this is correct. MyVol = iff(bartype < 2, Upticks + Downticks, volume); Array: HISTO[](0); if date > date[1] then begin Array_SetMaxIndex(Histo, NLines); // resize the array each day HISTO[iPrice] = 0; // rest to zero each day TotalVolume = 0; END; STEP FOUR Now I've to populate the array with volume for each line level on each tick (1 tick chart). for iPrice = 0 to NLines begin Histo[iPrice] = 0; end; for jBar = 0 to (counter-1) begin jLow = (L[jBar] - MyLow)/TickScale); jHigh = (H[jBar] - MyLow)/TickScale); if ((jHigh - jLow) > 0) then begin deltaVol = MyVol[jBar]/(jHigh - jLow); for iPrice = jLow to jHigh begin Histo[iPrice] = Histo[iPrice] + deltaVol; TotalVolume = TotalVolume + deltaVol; end; end; NOW if my thoughts are correct, the array Histo[iPrice] should be the Volume profile data and I've to Plot them using a way that permit me to plot ASCII scripts as in the TPO indicator. AM I correct ??? Could someone give me an help to coding Volume Profile At this point I don't know how to go on :crap: THANKS AndyTick GKMarketProfile TL.txt TPO Pro5.0b.txt nutpstr (function - numeric).txt curletstr_AL (function - numeric).txt curletstr (function - numeric).txt
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Hello traders, I am interested in order flow trading and I will post some trades and predictions, some articles and ideology of a bit different understanding how price moves and why. May be this forum will be the right place. So, for the start I have couple of charts of recent trade on oil. Also I did some comparison of two different software. Would be great to meet some traders who use order flow too. Lets see. I have a lots ideas and strategies to share. I don't use any traditional indicators, because just numbers are important for me.
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I am not a forex trader, I trade mostly ES, JY, EC, BP, CD futures. I have been studying forex for some time for the sake of understanding better and have decided I might jump in. I lack the understanding of how forex data works, my understanding is that the big banks and brokers provide their data to data providers who then consolidate it into total volume. It seems to me I would want a data provider who provides the most banks input for their data. I am looking for tick data on up and a provider who would list their bank data in a way where I could identify the largest contributors, sort them somehow and develop an indicator to show me this big boy volume. Do any of you know which providers have the largest amount of volume providers and list them in way like market makers on L2? Also, I am not an expert here and would appreciate any corrections to my thoughts or assumptions. Thanks you MM
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Hello to all. I was hoping some one could give me some assistance with a piece of code to help correct my volume data feed. Allow me to explain: I use the Ninjatrader platform with a live data feed from MB Trading. The problem lies in the fact that the MB Trading data feed multiplies live forex tick volume data by a factor of 10,000 I believe. This causes it to majorly distort the volume data as compared to the historical data that is loaded when I first open up a chart. To summarize, if I open up say an hourly chart of a forex instrument, everything will load properly and look good. As soon as a bar forms live, the calculated tick volume is reported 10,000 times higher than actual and it is blowing up the volume histogram. Is it possible to code something to divide incoming tick volume reported by a certain factor? If this is not possible, would it be easier to multiply historical tick volume by the proper factor so that the live tick volume is not grossly disproportionate? Thank you in advance for any help
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How much of the volume comes from trades done based on technical analysis? I would assume it is really hard to get any data on this, but I would be happy to hear about any studies or even educated guesses. I am mostly interested in the stock market, but also glad to hear about forex or commodities if this information is available there. One reason why I am asking is that I started to wonder why most technical trading books, blogs, etc. describe the market as something only affected by information becoming available to people and psychological factors, resulting in patterns or signals that can be detected by indicators. Rarely do I hear people talking about patterns resulting from people doing technical trading, or trading systems based on assumptions of which other trading systems people are using. For example if enough people are trading according to some indicator, it would be possible to develop a system exploiting this. Why is this not so common? Is it because technical trading is so rare that it has no impact on the stock price, or is it because so many different systems are used that it averages out or becomes random noise, or is there some other reason? I appreciate all help. Especially any volume breakdown information.
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Hi experts, I need a help with an indicator for TradeStation: I am looking for a volume indicator that will plot a point only when the volume is greater than 100.000. When the volume is less than 100.000 nothing will be plotted. For example: A daily volume from a stock is: 150.000, 80.000, 75.000, 60.000, 250.000, 300.000, 120.000, 70.000, 99.999, 220.000 The Indicator should be: • ••• • Who can help me? Has someone a better idea? Thanks for the support, Jacare
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Hi experts, I need a help with an indicator for TradeStation: I am looking for a volume indicator that will plot a point only when the volume is greater than 100.000. When the volume is less than 100.000 nothing will be plotted. For example: A daily volume from a stock is: 150.000, 80.000, 75.000, 60.000, 250.000, 300.000, 120.000, 70.000, 99.999, 220.000 The Indicator should be: • ••• • Who can help me? Has someone a better idea? Thanks for the support, Jacare
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Hello everyone, I would like to know if volume is important to options. Say i want to sell 100 XYZ at 169, but there is only a volume of 10. What would happen? What if I want to buy 100 and there is only 10 volume. I have looked all over for a answer to this question but have not found an answer.
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I was shown a site (Avafin.com) that keeps track of Trade Flows and Block Trades. Now what I don't get is on a day like today there were the following: SPY Total Trade flow 1.19 buy/sell ratio $2.58 billion in positive cash flow SPY Total Block Trades 2.21 buy/sell ratio $1.06 billion in positive cash flow Yet the market got slaughtered, in particular the SPY. How could there be such a negative impact when the inflows and block trading were green all day long? I'm trying to figure out how to apply information from that site correctly. I've long heard to follow the block trading, but obviously it can't be viewed in a telephone booth. -
Dear Trader's lab folks, After reading many of the great threads here such as the ones on Volume Spread Analysis, Market Profile, and Jerry's threads on Market Statistics, I started thinking more about volume's impact on price, and I began noticing that when significant volume enters the market, many times this occurs at or near market turning points. In order to more easily see volume's impact on price, I set out to start developing an indicator that would show greater volume than previous bars and confirmation of a pause and potential reversal by using a price pattern that would show potential weakness when the Volume Spike is at highs and strength when the Volume Spike is at lows. I'm not trying to design this indicator to be traded solely on it's own without regard to trend, S/R, High and Low Volume areas, but it does many times pinpoint the start of the reversal. As well, I believe that by adding a few other conditions to this indicator that would take into account other volume indications based on Bid/Ask volume, such as the Delta (Buy Volume - Sell Volume) it would be possible to get some very nice trade setups that would work in conjunction with our own understanding of volume's affect on price. The Parts of the Indicator: Firstly, I am trying to determine what should signify high volume. I believe that volume is relative, and therefore some days 10,000 contracts in 5 minutes is a lot, and other days 20,000 contracts in 5 minutes is a lot. So, as of now I came up with the condition that if Volume is greater than the previous 6 bars, this should signify great volume. You can use whatever number you like, if you look back 10 bars, you'll get fewer signals, and if you look back only 2 bars, you'll get many more signals. 1. My first question to you is: How would you determine that a High Volume Spike is with "High Volume"? Do you have a method that would improve my very basic definition of High Volume that would weed out the high volume bars more reliably? Secondly, I am trying to show a price pattern that shows rejection of the prices in the direction of the High Volume Spike. For Instance: For a "buy signal", I'm looking for price on the bar after the High Volume Spike to close at or above the close of the High Volume Spike bar. As well, I am looking for a close on the bar after the High Volume Spike that is higher or equal to the open, and for the bar to close off of the lows. I basically ensure closing off the lows by this function (Close-Open)<(High-Low). Here's the indicator as I have it now. I programmed it for Pro Real Time Charts, but am currently using a Ninja Trader Demo and have no idea how to program in Ninja Trader. Soon I will be using Investor RT or Market Delta which will make it easier for me to program. If any of you are interested in helping out programming for any charting package, it would be great, as well I am sure the Ninja Trader community would really benefit as well... Here's what I have so far: -------------------------------------------------------- HIGH VOLUME SPIKE LONG SIGNAL VolSpike=Low<=Low[1] AND Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6] VolSpike2=Low>=Low[1] AND Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6] IF VolSpike OR VolSpike2 THEN structure=1 ELSE structure=0 ENDIF RETURN structure AS "VolSpike" HIGH VOLUME SPIKE SHORT SIGNAL VolSpike=High>=High[1] AND High>=High[2] AND Close<=Close[1] AND Close<=Open AND (Open-Close)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6] VolSpike2=High<=High[1] AND High>=High[2] AND Close<=Close[1] AND Close<=Open AND (Open-Close)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6] IF VolSpike OR VolSpike2 THEN structure=1 ELSE structure=0 ENDIF RETURN structure AS "VolSpike" --------------------------------------------------------- Lastly, I believe this indicator can be improved by including conditions that would show either Delta Divergence, or Delta shift from negative to positive for instance, for Long Trades. If we are looking for Long Signals, Delta Divergence could be added by requiring the Delta to be increasing positively into the signal bar, or a Delta shift would be for the Delta to go from negative to positive in the signal bar. If any of you are interested in improving this indicator for any charting package, and sharing, I would greatly appreciate it.... Regards, David
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A nice easy visual to see if there's more buyers than sellers. The green is the total volume, with the red the down volume and with them being overlapped you can always see how much buying compared to how much selling. Import the ELD and it will probably just show two lines. Just right click and format the indicator, switch the colour on the volume to green (down Volume already red). Then switch the style to histogram on both and adjust the weight of the lines. Remember to press the default button, so you only have to do this once. This only works on intraday data, daily charts don't work. Enjoy Blu-Ray UpDownInd.bmp UPDOWNINDICATOR.ELD
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PRV -- Pro Rated Volume For the volume hawks! This indicator projects the volume at the end of the bar. It calculates the PRV based on the current trade pace, and the time remaining in the bar. This information is useful to spot turning points ie. whether the money is drying up... or flooding in. This indicator is usable on minute charts only. Instructions: Set the volume to display as a thick histogram and the PRV to display either as a thin histogram, or as a thick point. PRV_ProRatedVolume.txt
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I wrote a little easylanguage study to track volume: Vars: MyVol(0); MyVol = Upticks-DownTicks; Plot1(MyVol, "VB"); If MyVol > 0 Then setPlotcolor(1,GREEN); If MyVol < 0 Then Setplotcolor(1,RED); So far so good. Now I would like to make it CUMULATIVE for the trading day, trading day be the day starting at the close of the previous RTH session. Somehow I can't get my head to the next stage. Any ideas? TIA
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Volume Bias Description: This indicator prints the Volume Bias on the chart Volume Bias is calculated as Up Volume divided by Total Volume. i.e. The percentage of total volume that has an upward bias. When there are more up volume than down volume, the display will show a larger than 50% bias. Otherwise the display will show a smaller than 50% bias. The background color will turn blue if the bias is over 55%, or red if the bias is under 45%. Otherwise the background will display a neutral color. The display is formated as follow: UpVolume: DownVolume=UpBias% You may choose to display the bias at position 1 or 2 Position 1 refers to the top of the chart, 2 is at the bottom. note: This EasyLanguage indicator was written in MultiCharts. I have not tested it in TradeStation or other compatible programs. Please refer to your users manual for importation instructions. Translation to other platform is invited. Volume_Bias_(MultiCharts).pla Volume_Bias_(TS).txt
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I found a new volume indicator at http://www.tradershelpdesk.com It is really interesting. Surprisingly, I found that the color of the volume bar (buyers versus sellers) wasn’t important – it is really about the height of the volume bars, which is also what Tom Williams says in his book, Master the Markets (you can download the indicator and book free from their website). I hope this will help other volume traders.
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I want to dedicate this thread to a study of Volume Delta. Delta is still a relatively new study to me so please add your input freely. Quick Intro to Volume Indicators Below is a list of TS indicators created by the members of the forum: 1. Volume Delta created by Walterw 2. Volume Delta Oscillator created by Walterw 3. Up/Down Volume Indicator created by Blu-Ray 4. Market Delta Footprint created by Ant 5. Bid-Ask Tape Indicator created by Insideday The indicators above show an interesting way of viewing bid vs ask per price bar. Instead of just a simple volume histogram, it shows whether the buyers or sellers are in control and can be very useful in analyzing supply vs demand as price approaches a key pivot or support and resistance level. I am currently using the Volume Delta created by Walterw, so I will be referring to it for my charts. What I want to accomplish is to design new strategies based on delta. Perhaps combining other tools to help decide turning points in the market and to create filter/rules for each delta based setup. I will be looking forward to various inputs from traders. My setups and strategies are still in the beta phase where I am still testing out different methods. But I would like to go over one observation I found interesting. It is a combination of the TTM Heikin-Ashi Indicator and the Volume Delta. I am interested in price behavior as it reaches a key pivot such as daily pivots, previous day low/high, 50% fib retracement, VAL, VAH, and POC. Let's take a look at the first example. The chart below uses a 50-61.8% fibonacci retracement clustered up with a daily pivot (PP). In combination with the fibs and PP, I am interested in using delta to further help me enter a position. The example shows a color divergence between the TTM Heikin-Ashi and Volume Delta. Notice the blue TTM vs a red on top Volume Delta. This shows price advancement but with seller dominance. The second example below from Jan. 31st, 2007 requires further analysis. Its a fairly interesting chart with a combination of delta and volume analysis. Notice the first group of arrows. This shows the first half hour of choppy trading using the Value high pivot as support. Notice the several TTM and Volume Delta color divergence. Next, notice the increase in volume with the uptrend showing confirmation. The pullback occurs on less volume. Also notice the TTM and Volume Delta color divergence as price pulls back. Then an increase in volume again for a continuation of the rally. Very interesting examples of Volume Delta in action. I understand that some of you use Oscillators for Delta to look for divergences. Please add your input on this. My aim here is to really dig deeper into Delta and how we can all design trading setups that will put the odds in our favor. Thanks
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Hello. I'm having trouble with a study, and I would like some help with it. The premise is simple. Recording today's total volume traded between a specified time range and comparing it with the same previous day traded volume during the same specified time range. So far so good. The formula below does just that. The thing is, I want today's reading to indicate the difference of traded volume when compared to yesterday's traded volume at that same time. So, if today, at 10:05 AM, the ES has already traded 115.882 futures, what is the difference in %, when compared to yesterday's same time? I can say that this Friday, at 10:05 AM we had traded 129% more volume than the previous day at that same time. Simply said, I want to know in realtime the trade volume difference when compared to yesterday's traded volume? How can I program and insert that in the formula below? Thank you. Regards, Fernando PS: I use Multicharts. Inputs: startTime (930), endTime (1200); variables: stTime (false), resetVol (false), sessVol (0), myVolume (0), prevVolume (0), todayVolume (0); if BarType >= 2 then MyVolume = Volume else MyVolume = Ticks; if date <> date[1] then begin resetVol = false; if time > startTime and resetVol = false then begin resetVol = true; prevVolume = todayVolume; todayVolume = 0; end; end; if time > startTime and time < endTime then begin todayVolume = todayVolume + myVolume; end; plot1(todayVolume); plot2(prevVolume);
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Hawkeye Indicators are based on Wycoff Trading Method. Understanding Volume Volume in the market is as important is to your car. Prices do not move without buyers and/or sellers. To help in understanding typical volume and price behavior, post these notes beside your computer and learn to identify the different volume behaviors as they occur on your charts. Normal Volume Behavior: • Volume is highest before congestion • Volume is lowest as it moves deeper into congestion • Volume increases with a valid breakout of congestion and then subsides as the trend begins. (Look for the last Hawkeye Pivot being taken out.) • Volume increases with major reversals, approximately for the next 5-7 timeframes • Volume should move with trend strength, ie if trend dots are up and on an angle greater that 45%. • Volume should be lower on the second double top/bottom formations showing lack of selling. Then volume will pick up and a trend will be established. Abnormal Volume Behavior: Congestion Areas: • If heavier volume appears at the low end of congestion area, buying is being supported and prices tend to go up after breaking out of the upper price resistance level. • If heavier volume appears at the higher price level in the congestion area, then there are more sellers than buyers. Prices will eventually decline from the higher support area of the congestion zone. • Volume should increase during the breakout then subside as the trend begins to form. However, if volume stays high after the breakout and prices move too strongly, then the breakout will not be valid and prices will move back into congestion until fair value has been established then continue in trend (in other words price has got ahead of its self and it requires attendant volume to confirm trend direction.) • If price retraces after a breakout from congestion on high volume, and bounces off the outside edge of congestion, and then volume picks up again, this is a valid breakout. Volume should be in the direction of the breakout. However, if volume does not confirm the direction of the breakout, then prices will likely go in the opposite direction. Remember, normal volume breakout increases with the breakout. Therefore, if you see a breakout with low volume, anticipate entering in the opposite direction as price cannot continue in this direction on low volume.
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Volume DayAverage (this indicator uses extended EasyLanguage, it is only applicable in MultiCharts) This is a volume indicator with a twist -- in its average. Instead of a traditional moving average, this indicator calculates the average from the beginning of the day... and draws a horizontal bar across its entire day. i.e. the 2nd bar has a 2 bar average, the 3rd bar has a 3 bar average... the 10th bar has a 10 bar average, and so on. You can easily see the average volume per bar since the beginning of the day, and set your anticipation for the current bar's direction accordingly. You can also compare today's average volume with previous day's average volume. The average color will change when the bar's volume exceeds the average. note: you should set the plot "DayAvg" to invisible. Volume_DayAverage.txt
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Volume Weighed Color Bars If you subscribe to the school of thought that Volume is a Leading Indicator of Price... this indicator is for you. The price bar will widen when the volume is higher than previous bar, and narrow when less than previous bar. Volume_Weighed_Color_Bars_beta01.txt
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This is an interesting indicator created by Walterw. The Volume Delta plots the number up volume (green) and number of down volume (red) with the larger of the two always on top. This is a very useful visual tool to judge buyers vs sellers per bar. All credits go out to Walterw for the TICK Delta. Also check out the oscillator version of this indicator. Screenshots are attached. VOLUME DELTA.ELD
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Here is the oscillator version of the Volume Delta created by Walterw. It shows the flow of the Volume Delta very nicely. If you like them oscillators and price divergences, this one is for you. All credits go out to Walterw for creating this indicator. Screenshot is attached. VOLUME DELTA OSC.ELD
