Help with Formula

[arnie_pt 10]

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);

[Tams 20]

  arnie_pt said:

...

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.

...

 

 

What is your chart resolution?

 

are you looking at volume at each 5 min block?

or volume since the market opening?

[arnie_pt 10]

  Tams said:

What is your chart resolution?

 

are you looking at volume at each 5 min block?

or volume since the market opening?

 

Hi.

 

I'm looking at volume since the opening, in this case, since startTime input.

 

Plotting todayVolume variable we'll have the volume reading/accumulation since the startTime input until the endTime input.

The formula should be able to read resolutions above 1 minute. The attached chart shows the indicator plotted in an ES 1 minute chart.

 

We already have access to the previous day's volume with the prevVolume variable. The thing is how to have access to the volume reading/accumulation time of yesterday so we can compare it with the same time in today's volume reading/accumulation?

 

Basically, what I want, based on the time range sellected in the inputs, is to be able to see in realtime, 1 minute, 5 minutes or 30 minutes charts, the volume difference at that precise time when comparing it with yesterday's same time.

 

Thank you.

[Tams 20]

you can create a counter to count the bars,

so that you can reference it later.

 

 

Edited December 13, 2009 by Tams

[arnie_pt 10]

  Tams said:

you can create a counter to count the bars,

so that you can reference it later.

 

Hi.

 

It seems that I need to use for loop (?) (based on your image), but unfortunately my EL knowledge is still very limited and I haven't yet understood how that works

 

I've tried something like, for counter = 1 to current bar begin, but naturally I've got no where

 

I created the counter and changed slightly the formula since the previous version had a problem.

 

I've also created the volPCT variable to calculate the % from yesterday, just to see the result of it, and at first I received an zero division error.

I added the maxlist function which resolved the problem, but I don't know if this is the best option.

 

Inputs:
startTime		(1200),
endTime		(1400);

variables:
stTime			(false),
resetVol		(false),
sessVol		(0),
myVolume		(0),
prevVolume		(0),
todayVolume		(0),
counter		(0),
volPct			(0);

if BarType >= 2 then                             
MyVolume = Volume
else                        
MyVolume = Ticks;

if date <> date[1] then begin
counter = 0;
prevVolume = todayVolume;
todayVolume = 0;
end
else begin
if time > startTime and time < endTime then begin
	todayVolume = todayVolume + myVolume;
	counter = counter + 1;
end;
end;


//volPct = ((todayVolume/maxlist(prevVolume,0.01)) - 1) * 100;


plot1(todayVolume);
plot2(prevVolume);
//plot3(counter);
//plot4(volPct);

[RichardTodd 10]

On time bars, I've always found it easiest (though not the most memory-efficient method) to make an array sized 2400 and fill it/look it up based on time[0].

 

So basically the code has a structure like this:

 

arrays:
 double volarray[2400](0);

// look up yesterdays...
// remember easylanguage arrays are 1-based indexes
// so to be correct you'd add 1 
value1 = volarray[time+1];

// do something with it
plot1(volume - value1,"voldiff");

// store today's...
volarray[time+1] = volume;

[Tams 20]

  RichardTodd said:

On time bars, I've always found it easiest (though not the most memory-efficient method) to make an array sized 2400 and fill it/look it up based on time[0]. ...

 

 

Array would be easiest method...

that is, if you have overcame the Array hurdle. ;-)>

 

here's some array help

http://www.traderslaboratory.com/forums/f56/array-easylanguage-5785.html

[Tams 20]

  arnie_pt said:

Hi.

 

It seems that I need to use for loop (?) (based on your image), but unfortunately my EL knowledge is still very limited and I haven't yet understood how that works

 

I've tried something like, for counter = 1 to current bar begin, but naturally I've got no where

 

I created the counter and changed slightly the formula since the previous version had a problem.

 

I've also created the volPCT variable to calculate the % from yesterday, just to see the result of it, and at first I received an zero division error.

I added the maxlist function which resolved the problem, but I don't know if this is the best option....

 

 

 

 

don't jump into coding yet... you are a long way from ready.

 

1. Loops is easy... it is not rocket science...you just need to read the manual.

 

2. The problem at hand is NOT about programming in EasyLanugage...

 

The problem is: how do you think through your logic:

 

i.e. writing out your thoughts...

 

a. describe what you want to do... and

b .describe HOW you are going about to get want you want.

c. the first set step in getting what you want is to give the computer what it needs...

 

can you list out the items the computer need in order to do your calculation?

 

 

 

hint: you don't need a loop, and I am not talking about array,

and your description so far is incomplete...

[arnie_pt 10]

  Tams said:

...

a. describe what you want to do... and

b .describe HOW you are going about to get want you want.

c. the first set step in getting what you want is to give the computer what it needs...

 

can you list out the items the computer need in order to do your calculation?

...

 

OK, let's see if I'm able to cover all requests. Also, let's assume that all will be apllied to 1 minute charts, thought it should also be able to be applied to higher resolutions.

 

a - I want to compare today's volume with yesterday's volume.

b - I want to compare the volume of a specific time/bar with yesterday's same specific time/bar.

c - This volume comparison must be made not over the volume traded in each bar, but over the cumulative volume traded, since the time specified in the Input area.

d - This reading shoud be made inside the selected time range in the Input area.

e - To facilitate the comparison, we should use a counter, counting the bars between the selected time range.

f - using a counter you can reference the cumulative volume of each bar to the same bar (bar number) of the previous day.

 

So the computer already have the cumulative volume of the specified time range and now it needs a counter for referencing.

The counter is also there, so now it needs a way to connect the volume of each counted bar to the same previous day counted bar.

 

Right?

[Tams 20]

  arnie_pt said:

...right?

 

 

.......... .......... Yes !

[Tams 20]

one more thing is needed...

 

how do you calculate the volume percentage you want?

 

what is the formula ?

 

to make things simpler,

let's say there are only 3 bars in one day,

you are at the first bar of the day now,

and you want to compare the current bar's volume with

the first bar of yesterday...

 

how would you do it?

 

 

p.s. this is not a trick question... we are not coding yet, all you need is to write down the idea in pseudo code.

i.e. don't over complicate things.

 

 

Edited December 14, 2009 by Tams

[arnie_pt 10]

Hi Tams.

 

Sorry for this late reply. I've just came out of the hospital yesterday

 

So, first I want to confirm that we have a new trading day and if confirmed, I will then start a new bar count.

 

Then, when the counter starts I will need to go to the previous day counter to reference today's first bar with yesterday's first bar.

 

To calculate the volume percentage:

 

((current volume bar number / yesterday's same volume bar number) - 1 ) * 100

[Tams 20]

  arnie_pt said:

Hi Tams.

 

Sorry for this late reply. I've just came out of the hospital yesterday

 

So, first I want to confirm that we have a new trading day and if confirmed, I will then start a new bar count.

 

Then, when the counter starts I will need to go to the previous day counter to reference today's first bar with yesterday's first bar.

 

To calculate the volume percentage:

 

((current volume bar number / yesterday's same volume bar number) - 1 ) * 100

 

 

Hi Arnie...

 

Hope you are ok and wishing you a speedy recovery.

 

 

1. a few suggestions:

 

When describing programming logics,

get into the habit of writing SHORT sentences.

Start a new line with every comma,

and every period.

This will help you to isolate the thoughts

into sections of logics...

so that you can attack each section

with a fresh mind

and not get confused with multiple logics

at the same time.

 

 

2. YUP...

The formula is correct.

Let's put it in coding format:

 

Can you tell WHY I knew the bar number was [3] ?

(see prev diagram for clue)

 

 

 

 

 

 

p.s. there is limitation to this method...

we can discuss the limitation and solution later.

let's figure out bar referencing first.

Edited December 19, 2009 by Tams

[arnie_pt 10]

Thanks Tams.

It was a small surgery. Nothing to worry about, though for a short period of time, I'm limited in terms of walking.

 

Hey, look at the bright side, I have more time to study EL

 

 

It looks like you use the previous day counter to know how many bars exist in that day, and then for today calculations you use downto loop (?) to count backwards?

 

Something like:

 

for currentbar(count) downto previousbar(count)

 

[Tams 20]

  arnie_pt said:

Thanks Tams.

It was a small surgery. Nothing to worry about, though for a short period of time, I'm limited in terms of walking.

 

Hey, look at the bright side, I have more time to study EL

 

 

It looks like you use the previous day counter to know how many bars exist in that day, and then for today calculations you use downto loop (?) to count backwards?

 

Something like:

 

for currentbar(count) downto previousbar(count)

 

 

 

 

no... no loops. I said that before... no loops needed.

[Tams 20]

.

create one more variable to hold the number of bars in a day.

 

 

 

 

.

[Tams 20]

// Volume Percentage
// based on a concept by arnie_pt
// author: TAMS
// date: 20091219
// license: public use. Retention of this header is required.
// http://www.traderslaboratory.com/forums/f56/help-formula-7276.html
//

{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. 

i.e. Today's reading will indicate the difference of traded volume
when compared to yesterday's traded volume at that same time. 

Say, 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 day, at 10:05 AM we had traded 129% more volume 
than the previous day at that same time. 

Simply said, this indicator lets you know in realtime 
the trade volume difference when compared to yesterday's traded volume. 
}

input:
Threshold(68.268),
upcolor(blue),
downcolor(red);

var:
Counter(0),
Bar_count(0),
VolPct(0),
TodayVolume(0);

{========== end of variables ==========}


{----- beginning of new day, reset variables -----}

if d <> d[1] then
begin
bar_count = counter;
Counter = 0;
TodayVolume = 0;
end;


{----- increment variables -----}

Counter = Counter + 1;
TodayVolume = TodayVolume + ticks;


{----- calculate volume percentage -----}

VolPct = ( TodayVolume / TodayVolume[bar_count] ) * 100;


{----- plot -----}

plot1( 0, "Zero" );  {so that bars automatically start at zero}
plot10( VolPct, "VolPct" );  {set as histogram}
plot11( threshold, "Threshold");   {set as line}

if VolPct < Threshold then
SetPlotColor(10, downcolor)
else
SetPlotColor(10, upcolor);

{========== end ==========}

Edited December 19, 2009 by Tams

[arnie_pt 10]

Seeing it now, it's amazing how simple it is :embarassed:

 

The strange part is that in theory, we should see negative percentages and that never happens

This cannot be possible. It would be the same to say that every single day, more volume is traded relatively to the previous day, and that, we know that it's not true.

 

I'm sure I'm missing something, but I couldn't figure it out yet.

 

Another thing that I'm missing is the threshold input

It seems that you consider a volume below threshold to be negative, since you set the plot color to be "down", but from where did you collect that value?

 

I'm definitely missing something :embarassed:

[Tams 20]

  arnie_pt said:

Seeing it now, it's amazing how simple it is :embarassed:

 

 

It is simple.

That's why it is important to think things through first... before jumping into coding.

To help see the logic... you must write out your thoughts step-by-step in a short line-by-line format..

 

 

  arnie_pt said:

The strange part is that in theory, we should see negative percentages and that never happens

This cannot be possible. It would be the same to say that every single day, more volume is traded relatively to the previous day, and that, we know that it's not true.

 

I'm sure I'm missing something, but I couldn't figure it out yet.

 

Another thing that I'm missing is the threshold input

It seems that you consider a volume below threshold to be negative, since you set the plot color to be "down", but from where did you collect that value?

 

I'm definitely missing something :embarassed:

 

 

 

Anything less than 100% is "negative".

 

Just set the threshold to 100 and you will see the red for bars under 100%.

 

 

I will let you think about why I had the Threshold at 68.268%

 

 

 

Have fun

Edited December 20, 2009 by Tams

[Tams 20]

other volume analysis that might interest you:

 

PRV -- Pro Rated Volume

http://www.traderslaboratory.com/forums/f46/prv-pro-rated-volume-5814.html

 

Volume DayAverage

http://www.traderslaboratory.com/forums/f46/volume-dayaverage-5753.html

 

Volume Weighed Color Bars

http://www.traderslaboratory.com/forums/f46/volume-weighed-color-bars-5709.html

 

Volume Bias

http://www.traderslaboratory.com/forums/f46/volume-bias-6519.html

 

 

 

 

79.60.142 (55.118)

Edited December 20, 2009 by Tams

[arnie_pt 10]

Thanks Tams for the links.

 

Very interesting stuff indeed.

 

Did you made any type historical test that resulted in those 68.268%?

 

Again, thank you for your patience.

[Tams 20]

  arnie_pt said:

Thanks Tams for the links.

 

Very interesting stuff indeed.

 

Did you made any type historical test that resulted in those 68.268%?

 

Again, thank you for your patience.

 

 

There is historical/statistical significance in 68.268%,

 

but no, I did not make the tests.

 

 

You can Google "Importance of 68.268%" for more information.

 

 

.

Edited December 20, 2009 by Tams

[ptcman 10]

Thanks for your help

[arnie_pt 10]

Hi Tams.

 

Need your wisdom again.

 

I'm trying to "plot" text on the chart, but something is wrong with it.

 

Please see formula:

 

Inputs:
startTime		(830),
endTime		(1515);

variables:
stTime			(false),
resetVol		(false),
sessVol		(0),
myVolume		(0),
prevVolume		(0),
todayVolume		(0),
txt			(0);

if currentbar = 1 then 
txt = text_new_s(date,time_s, 0, " ");
	Text_SetStyle(txt, 0, 2);

if BarType >= 2 then                             
MyVolume = Volume
else                        
MyVolume = Ticks;

if date <> date[1] then begin
prevVolume = todayVolume;
todayVolume = 0;
Text_setstring(txt, "Regular Session");
end
else begin
if time > startTime and time < endTime then begin
	todayVolume = todayVolume + myVolume;
end;
end;

Text_setlocation_S(txt, date, Time, todayVolume);	

plot1(todayVolume);
plot2(prevVolume);

 

I created a new text at the first bar and then when the condition became true I set the string for that text, and at the end set the location.

 

The location is to be in front of the todayVolume variable, and since the text isn't being "plotted" I assume that it as something to do with the location (?).

[Tams 20]

  arnie_pt said:

Hi Tams.

 

Need your wisdom again.

...

 

 

sorry for the late reply; I am on a trip.

 

 

the problem is here:

 

Text_setlocation_S(txt, date, Time, todayVolume);

 

change it to Time_s