Actual Relative Volume

[AlexZ]

Does anyone have an indicator for ThinkorSwim that will display relative volume correctly? That is, rather than just comparing the current time frame's volume to the past "X" bars' volumes (which is what the default relative volume study does), the study should compare the same time slice across "X" number of historical days. For example, if looking at 5-min bars, and there were 10,000 contracts exchanged during the 5-min period from 11:50 to 11:55, but the average volume of the 11:50 to 11:55 period over the past 30 sessions is 15,000 then it should show the volume for this 5-min slice as -5,000. Would also be nice if there was a line graph overlay that showed this in terms of % (in the foregoing example it would be -33.3%...i.e., -5,000/15,000). So bar chart showing true relative volume in terms of contracts, and an overlaid line graph showing the implied % variance from average. If this doesn't exist...is anyone skilled in the TOS programming language?

 

[halcyonguy]

Does anyone have an indicator for ThinkorSwim that will display relative volume correctly? That is, rather than just comparing the current time frame's volume to the past "X" bars' volumes (which is what the default relative volume study does), the study should compare the same time slice across "X" number of historical days. For example, if looking at 5-min bars, and there were 10,000 contracts exchanged during the 5-min period from 11:50 to 11:55, but the average volume of the 11:50 to 11:55 period over the past 30 sessions is 15,000 then it should show the volume for this 5-min slice as -5,000. Would also be nice if there was a line graph overlay that showed this in terms of % (in the foregoing example it would be -33.3%...i.e., -5,000/15,000). So bar chart showing true relative volume in terms of contracts, and an overlaid line graph showing the implied % variance from average. If this doesn't exist...is anyone skilled in the TOS programming language?

i think this thread is similar to what you are asking. time based volume, reading volume from the same time, on multiple days. the studies may have to be tweaked to get exactly what you are after.
https://usethinkscript.com/threads/time-based-volume-indicator-for-thinkorswim.124/

 

[AlexZ]

Awesome - thank you. I'll look at that.

 

[VP7]

I've been recently reading on SMBCapital's blog on RVOL. In their words, "Relative Volume. This compares current volume to normal volume for the same time of day, and it’s displayed as a ratio. So for example, a stock trading 5 1/2 times its normal volume would have a Relative Volume display of 5.5."

I assume this means they take, for example, the last 30min candle and compare it to the 30min candle from the same time the previous trading day. If the stock at 9:00am has a volume of 10,000 and yesterday's volume at 9:00am was 5,000, this would be a ratio of 2. (or maybe instead of yesterday, they take the average of the last X days.)

I'm not sure the specifics of what they're doing for RVOL, but it does seem interesting.

Are there any ideas on how they (or anyone) else could calculate RVOL for intraday trading, keeping in mind that you only have so much time in the day, so RVOL would have to be on a relative short time period.

I found this code, but not sure if it's the most ideal, or is there something better.

input length = 14; #number of time units
input offset = 1; #offset: 1 = don't include current time unit
def ADV = Average(volume, length)[offset]; #ADV
def rVol = Round(volume / ADV, 2); #relative volume

AddLabel(yes, rVol, if rVol >= 1 then COLOR.GREEN else COLOR.CURRENT);

The previous code is fairly crude way of calculating from candle to candle. Is there a better way?

Thank you.

 

[MerryDay]

In this thread:
https://usethinkscript.com/threads/rvol-relative-volume-scan-label-watchlist-for-thinkorswim.1014/
You will find dozens of relative volume scripts based on the ToS definition of Relative Volume.

I agree with @halcyonguy, sounds like you are looking for a time-based volume:
https://usethinkscript.com/threads/actual-relative-volume.11827/#post-102066

@AlexZ @VP7 @sawyersweetman