Good day,
I am stuck with the task to add a comparison of:
Current cumulative volume up to this time of today / cumulative volume up to this time of previous day
To my screener. Is there a proper method to do that? All I came across have some limitations and/or built in data imperfections due to premarket volume.
Thanks!
Post your topic in the correct forum:
_ ProRealTime Platform Support: only platform related issues.
_ ProOrder: only strategy topics.
_ ProBuilder: only indicator topics.
_ ProScreener: only screener topics
_ General Discussion: any other topics.
_ Welcome New Members: for new forum members to introduce themselves.
Thank you 🙂
I moved it from ProRealTime Platform Support.
Currently, screeners have a 254-bar look back limit.
You cannot go beyond that limit.
Roberto, thank you for the clarification, it’s a very important information (and I’m sorry for mixing forums, will do better next time).
Regarding the volume analysis – is there a way to exclude afterhours/premarket bars? If I got it right, screener will look for 254 bars irregardles whether it’s main trading session or not, and I’d like to analyze only main session data. Is there a way to do that?
PRT’s settings allow plotting on a chart some premarket data, but I as far as I know there’s no way to exclude some periods.
You have to code your screener to only account for data from a starting hhmmss to an ending hhmmsd.
I’ve successfully excluded premarket data by adding extra time settings like so:
time > 093000 and time < 160000
Still, I am desperately in need of a way to compare current cumulative volume up to this time of today with cumulative volume up to this time of previous trading day.
I understand the 254-bar look back limitation (Roberto, thank you again), so I can see that my only option would be to use 5 minute timeframe – but I can’t figure out how to implement such a comparison. Any help would be much appreciated.
What time? Can you make an example?
Roberto, at any time during the trading session I’d like my screener to be able to compare the ratio of the current accumulated volume to the accumulated volume to the same time yesterday.
For example, lets say currently it’s 9:45 am of July 7 (15 minutes into the market) and my screener is looking at BSQR. By 9:45 BSQR has 3728168 volume (I’ve summarized three 5-minute candles of volume by hand).
Now, “yesterday”, July 6, during that same period of time, 9:30 to 9:45 – BSQR had 12168494 volume. So now my screener is aware of those numbers, and I can easily calculate “current cumulative volume up to this time of today / cumulative volume up to this time of previous day”, which will be 0.3 in this case.
Try this one:
IF Time = 094500 THEN
CumVol = CurVol
CurVol = 0
ENDIF
CurVol = CurVol + Volume
SCREENER[CumVol](CumVol AS "Cum.Volume")
Roberto, thank you very much for your help, but perhaps I didn’t explain the task correctly.
Your code, if I get it right, counts total volume for today (with the limit of 9:45). What I am looking for, is a code for screener, which can count total volume for whatever time it is right now (but only within main trading session) and compare it with the total volume for that same exact period of yesterday’s main trading session.
I’ve found almost identical task at this topic: https://www.prorealcode.com/topic/intraday-relative-volume-for-5min-chart/ but the screener code from that topic suffers from issues due to premarket/afterhours candles, the offset is calculated incorrectly.
If you can suggest a way to safely exclude premarket/afterhour candles with that screener, so we can analyze exclusively main trading session – that would be brilliant.
There you go, but you have to change the time for unwanted trading hours (mine is just an example, from 080000 through 083000):
i = 1
CumVol = 0
WHILE i < 254
IF Time[i] <> Time THEN
IF Time[i] >= 080000 AND Time[i] <= 083000 THEN
CumVol = CumVol + Volume[i]
ENDIF
ELSE
Break
ENDIF
i = i + 1
WEND
SCREENER[CumVol](CumVol AS "Cum.Volume")
Roberto, thanks again for your help!
Can you help me calculate the cumulative volume in a similar fashion for “yesterday”, also from 8 to 8:30 (I will use the formula on the 5 minute timeframe).
Try this one, but I could not check if volume data is correct.
You should also bear in mind that if the prior day spans across the 254-bar limut, results will be inaccurate.
j = 0
i = -1
CumVol = 0
WHILE j < 253
IF (Time[j + 1] > Time[j]) AND (i < 0) THEN
i = j + 1 //This is where the prior day starts
ENDIF
IF i >= 0 THEN
IF Time[i] >= 080000 AND Time[i] <= 083000 THEN
CumVol = CumVol + Volume[i]
ENDIF
i = i + 1
ENDIF
j = j + 1
WEND
SCREENER[CumVol](CumVol AS "Cum.Volume")
Try this update:
CumVol = 0
j = 0
i = -1
WHILE j < 253
IF Time >= 0 AND Time < Time[1] THEN
CumVol = 0
i = j + 1 //This is where the prior day starts
ENDIF
IF i > 0 THEN
IF Time[i] >= 160000 THEN
IF Time[i] <= 163000 THEN
CumVol = CumVol + Volume[i]
ELSE
i = -1
ENDIF
ENDIF
i = i + 1
ENDIF
j = j + 1
WEND
SCREENER[CumVol](CumVol AS "Cum.Volume")
