Intraday Volume Tracking and Forecasting (VTF) for ThinkorSwim

M

mashume

Well-known member
VIP
Nope. That didn't work.

Maybe this is closer:
Code:
def last_five_d_vol = (
GetValue(data = VOLUME(period = AggregationPeriod.DAY), "dynamic offset" = 1) +
GetValue(data = VOLUME(period = AggregationPeriod.DAY), "dynamic offset" = 2) +
GetValue(data = VOLUME(period = AggregationPeriod.DAY), "dynamic offset" = 3) +
GetValue(data = VOLUME(period = AggregationPeriod.DAY), "dynamic offset" = 4) +
GetValue(data = VOLUME(period = AggregationPeriod.DAY), "dynamic offset" = 5)) / 5;

def eod = last_five_d_vol * FirstHourRatio;

addLabel(yes, concat("Projected: ", round(eod, 0)), color.dark_orange);
 
Last edited:
P

paraglohiya

New member
VIP


I have not able to see the volume projection similar to one posted here.
I am using 1 day 5 ticks or 10 ticks are someone mentioned in the post during night time.
There are lot of vertical bars but the actual red, yellow, and green cloud is barely visible.
I was trying this in /ES today
 
D

Drob8

New member
Hey @mashume Thank you for this info. I might be overlooking something but when i tried it on high volume tickers the results seems a bit off. see screenshot attached for ticker MDRR . Also, quick question, the bar average is calculated depending on the days that your timeframe is currently on so this seems to have a great impact on the projected value. wouldn't it be better a moving average to calculate the ratio and I might be way off since I am not a math person but just wondering. Thank you for this great work and i think it has huge potential.

see screenshot here

 
I

islandcowgirl

New member
VIP
@mashume - I like the zscore concav study - do you find it helpful? I use zscore for price and money flow for intraday.
@codydog --- I really like your Zscore Concav study. What are you looking for when you are using it? Any tips to help with its best use?
Thanks!
 
B

Break Trader

New member
im checking this out now, am going to pair it with a 20 Day average volume and see if it can indicate how much over / under the volume is compared to the average, ill report back in after a few days or a week of testing
 
B

Break Trader

New member
Hmmmmm...
just a thought......is it possible to have it update every 15 minutes or maybe every 30 or 60 minutes? as the day goes on, the volume fades on many names thus updating every so often would make it much more accurate?
 
D

Drob8

New member
Quick update: I was able to come up with a Volume forecast functionality basically by tracking specific data/set ups and out of that dataset I came up with with avg correlation numbers between intraday time frames. This correlation number is then the one I use to calculate VF based on current volume. hope this helps!

 

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