Net Volume

[thehaul 10]

I was wondering if anyone uses a graphical way at looking at the NYSE Net Volume. I've been looking at an Ergodic Histogram that's not effected by gaps. But it doesn't really work for the open because it uses the close of the previous day's sum. I guess I'm looking for something similar that starts it's calculation at market open. Any ideas if this is even valid. thx

[thehaul 10]

Just so no one says this first this idea only works on the days the Net Volume is sideways. Chop or consolidation days is where this could be helpful. Looking at the Market Profile, the overnight session or the previous days range will help define the days possible movement.

[MidKnight 12]

Hi there,

 

When you say 'net volume' are you meaning something like the net of UVOL and DVOL? Or are you meaning that for the current day, you are summing uptick volume and downtick volume across the stocks to create a single net volume?

 

With kind regards,

MK

[thehaul 10]

Hey MK,

 

DTN provides Net Volume as the ticker JVNT.Z I assume it's calculated UVOL - DVOL but don't hold me to it.

 

Thx

[MidKnight 12]

Ahh yes, OK. Thank you for the reply. For this type of study to be useful right at the open the only thing I can suggest is as I have mentioned above. Sum at a tick level, all the upticks, all the down ticks as they occur in real-time across each stock and then aggregate as a single index. I would also suggest removing the very opening tick as its volume can disproportionately skew this type of study in some markets. An alternative could also be to use bid/ask instead of up/dn tick.

 

Best of luck in your study here.

 

With kind regards,

MK