Adding volume bars

[keithmj]

I'm hoping someone can point me in the right direction to do this. I'm not asking you to do it for me.

If I plot the volume as a line on a one min chart, it looks like an EKG. I want to plot a line that adds the volume as the day goes on. So, if I were looking at it in percentages, it would start the day at 0% and end the day at 100%. In other words, the plot would continually increase based on the amount of volume traded in each minute. I hope that makes sense.

Thanks!

 

[SleepyZ]

I'm hoping someone can point me in the right direction to do this. I'm not asking you to do it for me.

If I plot the volume as a line on a one min chart, it looks like an EKG. I want to plot a line that adds the volume as the day goes on. So, if I were looking at it in percentages, it would start the day at 0% and end the day at 100%. In other words, the plot would continually increase based on the amount of volume traded in each minute. I hope that makes sense.

Thanks!

Not all volume traded appears on charts, but this should do what you want with what is shown there.

def Data       = if GetDay() != GetDay()[1] then volume else Data[1] + volume;
plot dayvolume = Data;

 

[keithmj]

Wow thanks! That was fast. It appears to work exactly as I wanted. I just needed that as a starting point to do something else, and I think that will do the trick. Thanks a million!

 

[keithmj]

On a one day, one minute chart I'm plotting the cumulative volume of each minute in that day. I would expect the sum of each volume bar to equal the bar on the daily chart. However, that's not the case.

For instance, the volume bar on the daily today for ARCH reads 887.357. The cumulative volume on the one day, one minute chart is 562,770. I added up the volume of each minute bar to make sure I was getting the right number, and that checked out. So, why doesn't the sum of volume for each minute in a day equal the total volume for one day on the daily? In the example above, that's a pretty big difference. Others have been closer, but never the same.

 

[SleepyZ]

On a one day, one minute chart I'm plotting the cumulative volume of each minute in that day. I would expect the sum of each volume bar to equal the bar on the daily chart. However, that's not the case.

For instance, the volume bar on the daily today for ARCH reads 887.357. The cumulative volume on the one day, one minute chart is 562,770. I added up the volume of each minute bar to make sure I was getting the right number, and that checked out. So, why doesn't the sum of volume for each minute in a day equal the total volume for one day on the daily? In the example above, that's a pretty big difference. Others have been closer, but never the same.

As mentioned in my first post, the volume on the chart does not reflect all of the volume for the day. Apparently TOS does not show on the charts large trades that do not run through the intraday charts but are in the daily chart.

 

[keithmj]

I thought you were talking about dark pool trades or something like that. It's weird that a one day, one-minute chart's total volume for that doesn't equal the total volume on a daily chart. That's not institutional trading trickery, that's just bad software design.

 

[SleepyZ]

I thought you were talking about dark pool trades or something like that. It's weird that a one day, one-minute chart's total volume for that doesn't equal the total volume on a daily chart. That's not institutional trading trickery, that's just bad software design.

Here is a perspective from Linnsoft.com that may better explain the differences between intraday volume and daily volume.

Daily Periodicity Volumes don't match Intraday​

Charts that utilize a periodicity of "Daily" will show a different quantity of Volume when compared to charts that utilize an intraday periodicty like 1 minute or 1 Day*. This is caused by the fact that certain types of trades, such as block trades, spread trades and market trades, are considered by the exchange when reporting the cumulative daily volume for a specific symbol or contract. However, those trades are not represented in the tick or 1-minute intraday data for the symbol. These trades together make up the difference observed between the daily volume and the sum of the intraday volume.

 

[keithmj]

Thanks again, you have been super helpful. I didn't realize there was a difference. I'm going to look into it further.