Estimate End-of-Day Volume

[wchillman]

Relative Newbie here. I was wondering if there is a known script that could estimate a stock’s end-of-day volume based on intraday measurements. So, for example, if one hour into the trading day, this script could then estimate the stock’s end-of-day volume considering historical trends over a lookback period of, say, 20 days. If it has already been written, the link would be appreciated. Thank you.

 

[rad14733]

@wchillman There is really no way to even somewhat accurately guesstimate EOD volume based on intraday because we have no control over symbol news, market variations, market maker algorithms, volatility, momentum, etc... There are just too many variables to contend with...

 

[XeoNoX]

this is possibly what you are interested in, there is a whole interesting thread on it.
https://usethinkscript.com/threads/volume-forecast-vf-indicator-for-thinkorswim.307/

 

[wchillman]

@XeoNoX: Thanks so much for the link. It will certainly give me something to chew on!

 

[scott69]

I trade the /NQ, but during the trading day I have a live feed for all 102 NDX stocks. From there I keep track of all NDX stocks volume, and also top 10 NDX stocks, like apple, microsoft, tesla, etc. I port this data to a spreadsheet. It is easier for stocks that trade normal nyse hours, which I consider 8:30AM CT to 3:00 PM CT, or 6.5 hours. It may or may not be completely accurate for reasons that @rad14733 mentioned, but it does give me an idea of volume. So if we are two hours into the session, I take the total volume, divide by 2, then multiply by 6.5, This gives me a "run rate" for what the daily total "may" look like. I would not do this for the first hour as this volume is erratic. I do this computation in google sheets, which I keep in its own window. I guess you could do this in a script, but I do many more things (like hourly change, change in advancing or declining volume, A/D numbers, daily volume total with EMA, etc.) that can only be done efficiently in a spreadsheet. I hope this gives you some ideas about volume.

 

[wchillman]

Thank you for taking the time to respond.

 

[rad14733]

@scott69 Just want to point out that you can simply multiply by 3.25 and get the same result as dividing by 2 and then multiplying by 6.5... Might as well save some math... Every CPU clock cycle you save adds up and I'm fairly certain that division still uses the most clock cycles to compute...

 

[scott69]

thanks, I do see what you mean. Do the 2 and 6.5 first, then multiply. That is really down to the micro processing cycle.