projected volume = first 9min volume*(100/5.5)

[jrmarkinv]

There is a research article that documented average volume profile in a day broken into about 9.5 min intervals. Looks like a bowl. I have it extracted in an excel file. The first 9 minutes account for average of 5.5% of daily volume. I am not good enough to program what's needed. But if someone can store the values in an array and then use a ratio of first 9 mins of volume in a day to get projected volume for day (projected volume = first 9min volume*(100/5.5). Can be updated every 9.5 minutes to improve forecast. Here is article:

https://www.ft.com/content/9e1f05b4-43e7-11e8-803a-295c97e6fd0b

 

[mashume]

Further I want the comparison to always be SPX or SPY no matter the symbol in price panel.
To find the last down volume day i was thinking something like assigning a value to a z parameter which would take the value of number of days ago when the last down volume occurred.
def z = if close[1] < Close[2] then 1 else if Close[2] < Close[3] then 2 else if Close[3] < Close[4] then 3, else if Close[4]< Close[5] then 4 else if Close[5] < Close[6] then 5, else if Close[6] < Close[7] then 6, else double.NaN;
Not sure we can do a for loop because i want the process to stop the first instance when condition becomes true. And I figure 6 days is max up days but i could be wrong.

An interesting observation. If no one else beats me to it I'll see about a label a little later on today or tomorrow.

-mashume

 

[mashume]

Well...

There seems to be some discrepancy between the daily volume and the calculated RTH volume I'm able to get my code to read...

Lower indicator projections match totals closely the last two days at ~28M, but the black labels on the upper show volumes of 80M and 76M. Not sure how to reconcile those things to be able to compare them.

I'll take a look further, but if anyone knows how to get just the portion of the day for RTH volume, I'd appreciate it... if that's what is going on here.

-mashume

Oh yeah this is the code I am using...

def SPYDailyClose = getValue(close(symbol = "SPY", period = AggregationPeriod.DAY), "dynamic offset" = 5);

def UpCloseBoolean = if SPYDailyClose[1] > SPYDailyClose[2] then 1 else 0;
def DownCloseBoolean = if SPYDailyClose[1] < SPYDailyClose[2] then 1 else 0;
def UPDayVolume = if UpCloseBoolean == 1 then VOLUME(symbol = "SPY", period = AggregationPeriod.DAY)[1] else UpDayVolume[1];
def DownDayVolume = if DownCloseBoolean == 1 then VOLUME(symbol = "SPY", period = AggregationPeriod.DAY)[1] else DownDayVolume[1];

AddLabel(yes, "  Last Down Day Volume = " + DownDayVolume + "   ", color.black);
AddLabel(yes, "  Last UP day Volume = " + UpDayVolume + "   ", color.black);

 

[halcyonguy]

Further I want the comparison to always be SPX or SPY no matter the symbol in price panel.
To find the last down volume day i was thinking something like assigning a value to a z parameter which would take the value of number of days ago when the last down volume occurred.
def z = if close[1] < Close[2] then 1 else if Close[2] < Close[3] then 2 else if Close[3] < Close[4] then 3, else if Close[4]< Close[5] then 4 else if Close[5] < Close[6] then 5, else if Close[6] < Close[7] then 6, else double.NaN;
Not sure we can do a for loop because i want the process to stop the first instance when condition becomes true. And I figure 6 days is max up days but i could be wrong.

maybe this can help, an answer by sleepyz, that looks for 3 non sequential up and down bars, in the past.
https://usethinkscript.com/threads/lowest-open-of-the-last-3-up-bars-or-down-bars.12625/#post-107930

 

[jrmarkinv]

Well...

There seems to be some discrepancy between the daily volume and the calculated RTH volume I'm able to get my code to read...

Lower indicator projections match totals closely the last two days at ~28M, but the black labels on the upper show volumes of 80M and 76M. Not sure how to reconcile those things to be able to compare them.

I'll take a look further, but if anyone knows how to get just the portion of the day for RTH volume, I'd appreciate it... if that's what is going on here.

-mashume

Oh yeah this is the code I am using...

def SPYDailyClose = getValue(close(symbol = "SPY", period = AggregationPeriod.DAY), "dynamic offset" = 5);

def UpCloseBoolean = if SPYDailyClose[1] > SPYDailyClose[2] then 1 else 0;
def DownCloseBoolean = if SPYDailyClose[1] < SPYDailyClose[2] then 1 else 0;
def UPDayVolume = if UpCloseBoolean == 1 then VOLUME(symbol = "SPY", period = AggregationPeriod.DAY)[1] else UpDayVolume[1];
def DownDayVolume = if DownCloseBoolean == 1 then VOLUME(symbol = "SPY", period = AggregationPeriod.DAY)[1] else DownDayVolume[1];

AddLabel(yes, "  Last Down Day Volume = " + DownDayVolume + "   ", color.black);
AddLabel(yes, "  Last UP day Volume = " + UpDayVolume + "   ", color.black);

Mashume, the last UP DAY volume in your plot is accurate (for Sept 9 in TOS vol is 76.7M) . That means projected volume numbers are way off. Similarly Last DOWN DAY before (not including today, Sept 13) was Sept 6 with a volume of 76.6M. Your plot says 80.8M. Sept 8 had 80.8M volume but that was an up day.

 

[jrmarkinv]

Mashume, the last UP DAY volume in your plot is accurate (for Sept 9 in TOS vol is 76.7M) . That means projected volume numbers are way off. Similarly Last DOWN DAY before (not including today, Sept 13) was Sept 6 with a volume of 76.6M. Your plot says 80.8M. Sept 8 had 80.8M volume but that was an up day.

I will try to figure out from your code if i can fix it.

 

[jrmarkinv]

I will try to figure out from your code if i can fix it.

I fitted the time and volume% data in excel and did a polynomial(6) fit (equation is different from yours). The fit is for cumulative minutes from 9:30am vs cumulative volume%. Then i used that formula in a simplified thinkscript version of your code (no after-hours being plotted) but something is not working right. Projected volume should be near constant during day but it ramps up everyday on a 5 minute chart or a 1 minute chart. I do know that the cumulative minutes from 9:30am plots correctly if i plot that alone. I was hoping to be able to attach the excel file but can't figure out how. Here is thinkscript code:

declare lower;
def v = volume;

def minutes = secondsFromTime(0930) / (60);

plot volume_prediction = (1/0.92)v(
(24947* Power(minutes, 6))

• (17495* (Power(minutes, 5)))
• (4585.2* (Power(minutes, 4)))
• (-519.63* (Power(minutes, 3)))
• (14.241* (Power(minutes, 2)))
• (4.1379* minutes)
• (0.0033))

;

AddLabel(yes, "Prediction " + volume_prediction, Color.gray);

 

[jrmarkinv]

BTW, How do i attached code so that the * and + characters show up correctly? Do i use </> at beginning and at end?

 

[Glefdar]

#RunSearch_Nine

#Extended POCs for x Daysback
#More can be added using the logic below
#Sleepyz - usethinkscript request @yardlay

script v {
input daysback = 1;
def volp = reference VolumeProfile("time per profile" = "DAY", "on expansion" = no, "price per row height mode" = "TICKSIZE");
def ymd = GetYYYYMMDD();
def y = if ymd != ymd[1] then y[1] + 1 else y[1];
def pc = if IsNaN(close)
then pc[1] else
if y == HighestAll - daysback
then volp else
pc[1];


input multiplier = 1;
input onExpansion = no;
input profiles = 1000;
input showPointOfControl = yes;
input showValueArea = yes;
input valueAreaPercent = 70;


def period;
def yyyymmdd = GetYYYYMMDD();
def seconds = SecondsFromTime(0);
def month = GetYear() * 12 + GetMonth();
def day_number = DaysFromDate(First(yyyymmdd)) + GetDayOfWeek(First(yyyymmdd));
def dom = GetDayOfMonth(yyyymmdd);
def dow = GetDayOfWeek(yyyymmdd - dom + 1);

Hi, I tried using some of this code to solve a different problem that I've asked for help with but I think no one has found a solution (https://usethinkscript.com/threads/...ile-get-error-can-not-call-hide-on-vol.12711/). I cannot get "reference VolumeProfile" to work in a way that allows for calling the function "GetPointofControl". Instead it only seems possible to use "GetPointofControl" after creating the volume profile with "profile vol = VolumeProfile(..etc...)".

Just wanted to make sure, were you actually able to make a volume profile with a point of control value generate using "reference" instead of "profile" in the syntax? Likewise, I could never get a volume profile with POC to generate inside of a subscript. So I have not been able to find a solution for getting the POC value without creating a shadow profile plot which (even when no visualization is defined) causes scaling problems within the study that I want to use the POC value in as a variable.