CFDs – Average Volume during Market hours

• 12/25/2020 at 12:46 PM #155186
  Khaled

  Hello, I’d like to:

  1/ compare in Intraday current volume to Average[20](Volume) taking into account only volume during normal market hours, for example 9am to 5.30pm for DAX. The average should exclude volumes during the period 5.30pm to 9.00am next day.

  2/ compare current volume (today) VS yesterday’s volume at the same time, for example volume today between 9.00am and 9.30am VS volume the day before between 9.00am and 9.30 am.

  Thanks

  

  Khaled

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  12/25/2020 at 1:27 PM #155190
  Vonasi

  Khaled – I guess that you are requesting someone to code you an indicator? If so then you have posted in the wrong forum. I have moved your topic to the place for indicators.

  Post your topic in the correct forum:
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  _ ProScreener: only screener topics
  _ General Discussion: any other topics.
  _ Welcome New Members: for new forum members to introduce themselves.

  

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  12/26/2020 at 1:05 PM #155236
  Khaled

  Thank you Vonasi!

  

  Khaled

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  12/28/2020 at 11:23 AM #155415
  Khaled

  Good morning, maybe my initial request was not clear enough…

  Let’s assume:

  volume 5 min bar closing at 17:25 is 50 (the previous day)

  volume 5 min bar closing at 17:30 is 70 (the previous day)

  volume 5 min bar closing at 08:50 is 100

  volume 5 min bar closing at 08:55 is 120

  volume 5 min bar closing at 09:00 is 200

  volume 5 min bar closing at 09:05 is 250

  I’d like to calculate the Simple Average Volume on last 4 bars excluding the time from 17:30pm to 08:59 am, i.e. average of (50, 70, 200, 250)=142.5

  When I apply the condition

  if time>=090000 and time<=173000 then xVol = Average[4](Volume) endif

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  if time>=090000 and time<=173000 then   xVol = Average[4](Volume)   endif

  the first average calculated at 09:00 will take into account the four bars closing before 09:00, i.e. (09:00, 08:55, 08:50, 08:45)

  Thank you for you help.

  

  Khaled

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  12/28/2020 at 12:02 PM #155422
  robertogozzi

  You can use such averages https://www.prorealcode.com/prorealtime-indicators/time-range-moving-averages-simple-exponential-weighted-trsma-trema-trwma/.

   

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  robertogozzi

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  12/28/2020 at 2:38 PM #155440
  Khaled

  Thank you Roberto. I’m afraid this doesn’t solve my problem.

  I have copied the “Time Range Simple Moving Average” code and changed “TRSMA” into “TRAV” (Time Range Average Volume” and replaced “Close” with “Volume”. Kept Periods = 20

  Time Range Average Volume

  // TRAV - Time Range Average Volume DEFPARAM CalculateOnLastBars = 200 //Periods = 20 //StartTime = 090000 //EndTime = 173000 Periods = max(2,min(999,Periods)) StartTime = max(0,min(240000,StartTime)) EndTime = max(0,min(240000,EndTime)) // i = 0 TRAV = 0 FOR j = 0 TO 3000 IF opentime[j] >= StartTime AND opentime[j] <= EndTime THEN TRAV = TRAV + Volume[j] i = i + 1 IF i = Periods THEN BREAK ENDIF ENDIF NEXT TRAV = (TRAV / Periods) IF TRAV = 0 THEN TRAV = Volume ENDIF Return TRAV AS "TRAV"

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  // TRAV - Time Range Average Volume   DEFPARAM CalculateOnLastBars = 200 //Periods    = 20 //StartTime  = 090000 //EndTime    = 173000 Periods      = max(2,min(999,Periods)) StartTime    = max(0,min(240000,StartTime)) EndTime      = max(0,min(240000,EndTime)) // i     = 0 TRAV = 0 FOR j = 0 TO 3000 IF opentime[j] >= StartTime AND opentime[j] <= EndTime THEN TRAV = TRAV + Volume[j] i = i + 1 IF i = Periods THEN BREAK ENDIF ENDIF NEXT TRAV = (TRAV / Periods) IF TRAV = 0 THEN TRAV = Volume ENDIF Return TRAV AS "TRAV"

  On a 5 min TF, if you look at the candle starting 28 Dec. at 09:00 the volume is 1199 but the TRAV is 59.95 (1199/20). The second candle starting at 09:05 shows a volume of 727, so the average (from the begining of the day) shoud be = 963, but the TRAV shows 96.30 (dividing by 20 instead of dividing by the number of candles since 09:00am). So the code divides the cumulative volume by 20.

  I tried to tweak the code to get this value corresponding to the average but I was unsuccesful.

  Can you please look again at this (maybe using summation or average formula)?

  Thanks a million.

  

  Khaled

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  12/28/2020 at 3:12 PM #155442
  Vonasi

  Maybe this?

  Only works on v11

  p = 4 starttime = 090000 endtime = 173000 once avg = undefined if opentime >= starttime and opentime < endtime then a = a + 1 $vol[a] = volume if a >=p then total = 0 for b = a downto a-p total = total + $vol[b] next avg = total/p endif else avg = 0 endif return avg

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  p = 4 starttime = 090000 endtime = 173000   once avg = undefined   if opentime >= starttime and opentime < endtime then a = a + 1 $vol[a] = volume   if a >=p then total = 0 for b = a downto a-p total = total + $vol[b] next   avg = total/p endif else avg = 0 endif   return avg

   

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  Vonasi

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  12/28/2020 at 3:30 PM #155443
  Khaled

  Thank you Vonasi. Doesn’t work on the first bar of the 28th Dec. Divides the Vol by 4 instead of 1, same issue with the second bar, divides the Cumulative Vol by 4 instead of 2.

  

  Khaled

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  12/28/2020 at 3:51 PM #155447
  Khaled

  Solved! Thank you very much for your help, Roberto and Vonasi!!!!

  Average Volume Intraday

  DEFPARAM CALCULATEONLASTBARS = 200 // Average Volume Intraday IF time = 090000 then barstart= barindex ENDIF IF time>=090000 and time<=173000 then n = max(1, (intradaybarindex-barstart+1)) AV = SUMMATION[n](volume)/ n ENDIF RETURN AV as "Average Volume Intraday"

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  DEFPARAM CALCULATEONLASTBARS = 200   // Average Volume Intraday   IF time = 090000 then barstart= barindex ENDIF   IF time>=090000 and time<=173000 then n = max(1, (intradaybarindex-barstart+1)) AV = SUMMATION[n](volume)/ n ENDIF   RETURN AV as "Average Volume Intraday"

  As you can see, the Avg Vol on the first 30 min bar is equal to the volume of the first bar, works well for the second, etc.

  

  Khaled

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  12/28/2020 at 4:44 PM #155458
  Vonasi

  Glad you found your answer. I didn’t get that that was the problem you were trying to solve from your descriptions and I guess Roberto didn’t either. 🙂

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  12/28/2020 at 4:52 PM #155459
  Vonasi

  You might want to change TIME for OPENTIME as TIME is the closing time of a candle so you will miss the first candle in your session.

   

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  Vonasi

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  12/28/2020 at 5:06 PM #155460
  Vonasi

  This does the same thing:

  DEFPARAM CALCULATEONLASTBARS = 1000 IF opentime = 090000 then n = 0 myvolume = 0 endif IF opentime >= 090000 and opentime < 173000 then n = n + 1 myvolume = myvolume + volume av = myvolume / n endif return av as "Average Volume Intraday"

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  DEFPARAM CALCULATEONLASTBARS = 1000   IF opentime = 090000 then n = 0 myvolume = 0 endif   IF opentime >= 090000 and opentime < 173000 then n = n + 1 myvolume = myvolume + volume av = myvolume / n endif   return av as "Average Volume Intraday"

   

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  Vonasi

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  12/28/2020 at 5:17 PM #155461
  Khaled

  Thank you so much Vonasi! Will use this associated with STD on Vol and compare the Current Session to Day-1 and/or Week-1 (same day) to confirm acceleration in the market activity (sort of filter).

  

  Khaled

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  12/28/2020 at 5:29 PM #155464
  robertogozzi

  Good to hear you have solved it!

  The average is made to account for PERIODS units, no matter the time. If your time starts at 9, it will consider 1 current bar + the last 19 bars of the previous day before 17:30.

  Since volume was 0 last Thursday, actually it seems the average of the first candle is volume / 20 periods. NO, it’s the sum of the volume of the last 20 periods / 20 periods. Of course it considers only periods within the defined time range.

   

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