Unusual Volume Scanner for ThinkorSwim

BenTen

BenTen

Administrative
Staff
VIP
Here is a scanner that will help you screen for stocks with unusual volume in ThinkorSwim. When a stock suddenly increased or decreased in trading volume, that means it's being traded at an unexpectedly high level and a lot of traders often take advantage of this.

Create a new indicator in ThinkorSwim and import this code. You can add it to your chart but it won't do anything to it. Switch over to the Scan tab and look up the name of your indicator. From there you can scan for stocks that are increasing or decreasing in trading volume. You can also adjust the percentage (%) and length.




thinkScript Code

Code:
# UNUSUALVOLUME
# DREWGRIFFITH15 (C) 2014

input price = volume;
input choice = {default increased, decreased};
input percent = 10;
input length = 50;
def avg = average(price, length)[1];
def chg = 100 * (price/avg -1);
plot scan;

switch (choice) {
case increased:
    scan = chg >= percent;
case decreased:
    scan = chg <= -percent;
}

Shareable Link

https://tos.mx/msxN1Z
Credit
 
markos

markos

Well-known member
VIP
To augment the above scan, take a look at putting Stock Sizzle and Sizzle Index as 2 columns in the watch list. That way you can compare if the stock volume was also followed by high options activity. Just a thought, cause it's what I use for every scan.
 
T

toncuz

New member
I thought TOS already has an unusual volume indicator???
 
T

tomsk

Well-known member
VIP
Here is an extreme volume scanner based on a standard deviation envelope

Code:
# Extreme Volume Scan
# Set to Daily Aggregation

# This script picks up abnormal volume over a period of time. Much more likely to be a large trader taking a position

def v = if isNaN(volume) then v[1] else volume;
def norm = Average(volume, 50);
def SD = StDev(v, 50);
def Upper = norm + SD;
def Lower = norm - SD;
def Extreme = (v - Lower) / (Upper - Lower) * 100;
plot cond = if Extreme > 100 then 1 else 0;
 
T

toncuz

New member
Great...but is this an actual RELATIVE scan? For example...does it compare 1pm on Thursday to the last 20 1pm bars going back Wed Tues Monday etc...

All volume indicators don't say much unless they can actually compare last 20 "hour to hour" (not last 20 hours). Most morning opening hours are inflated as well as closing hours.
 
T

tomsk

Well-known member
VIP
Great...but is this an actual RELATIVE scan? For example...does it compare 1pm on Thursday to the last 20 1pm bars going back Wed Tues Monday etc...

All volume indicators don't say much unless they can actually compare last 20 "hour to hour" (not last 20 hours). Most morning opening hours are inflated as well as closing hours.

The code I posted is an EXTREME volume scan by looking at volume bursts beyond a standard deviation move.
Not relative volume as you described though
 
T

tomsk

Well-known member
VIP
@rahul_4u40 Hey, no problem. Here's a scan for stocks with volume spiking at least 300% above the 50 day volume moving average

Code:
def VA = VolumeAvg(50).VolAvg;
plot scan = volume > 3 * VA;

Just for grins, I just ran a scan on the S&P 500 (daily) aggregation and found 6 stocks that met this criteria
Tickers: ADSK, CELG, DE, DLTR, KEYS, UA

Load these tickers on your chart (daily) aggregation and watch those volumes!
Now that's what I call a real spike. Have fun
 
markos

markos

Well-known member
VIP
Great...but is this an actual RELATIVE scan? For example...does it compare 1pm on Thursday to the last 20 1pm bars going back Wed Tues Monday etc...
All volume indicators don't say much unless they can actually compare last 20 "hour to hour" (not last 20 hours). Most morning opening hours are inflated as well as closing hours.
@toncuz I thought that this was covered before but just in case, here goes:
Can you cite a CMT that agrees with your point of view?

JC Parets doesn't even use volume on his charts. That doesn't make him right, but with a large corporate clientele and 55,000 twitter followers I'd say people listen to him.

I don't know of any trading platform that offers volume as you describe it, please correct me. Most do have VWAP.
You might want to look at VWAP. VWAP is used by day traders and swing traders and it taught in order to pass the CMT exam.

A wise mathematician told me and others many times that each day, for day traders, it is a coin flip. Relative volume will tell you little to nothing because comparing 1pm today from 1pm last week Wednesday each have distinct news events and institutional rotation among a host of other items. Just because volume is higher or lower doesn't tell anyone if a stock is being accumulated or not. I could be short sellers covering.

You might want to look at VWAP. VWAP is used by day traders and swing traders and it taught in order to pass the CMT exam.

In the end, you are free to have your own ideas. I just can't see this one having credence. Have a good holiday.
 
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J

jay2

Member
Lets say I have multiple charts for different tickers. Can someone direct me to a notification study where one of the tickers have a sudden candle rip or tank? like lets say by $1.00 (this could be user defined)?
 
Last edited:
J

jay2

Member
Lets say I have multiple charts for different tickers. Can someone direct me to a notification study where one of the tickers have a sudden candle rip or tank? like lets say by $1.00 (this could be user defined)?

hmmm how would one put a notification with this indicator. i dont need the bottom part, just want it to indicate the huge drop or spike.
 
G

GimmickFace

Member
Hello all - does anyone know of a scan that shows results for unusual volume / increased volume in the final trading hour for consecutive X number of days?
Hope that makes sense.
Thanks!
 
A

alphabeta

Member
is there any scanner available that gives stock name that's price sudden spike in less amount of time for example 5 second. Thank you
 
E

Eli

New member
Hi,
I’m Day Trader and I’m looking for a script to find stocks (Scan) that the volume bar on the 1 Min chart is 3 times higher from the 50 VolumeAvg.
I couldn’t find anything like that in TOS.
 
B

blakedipp

New member
I am looking to build a scanner that scans for 200% average volume in the first 5 min candle compared to the average 5 minute candle at open. How do I go about this?
 
V

vikram

New member
VIP
I am new user to this group, may I know how can I see only unusual buy volume ?
 
V

vikram

New member
VIP
Great...but is this an actual RELATIVE scan? For example...does it compare 1pm on Thursday to the last 20 1pm bars going back Wed Tues Monday etc...

All volume indicators don't say much unless they can actually compare last 20 "hour to hour" (not last 20 hours). Most morning opening hours are inflated as well as closing hours.
This is what exactly I am looking for, please let me know if you find something.
 
C

convertiblejay

New member
I’m still having a hard time trying to find this in my scanners
 
V

vikram

New member
VIP
So I can’t load it to my thinkorswim ?

After some research I found this is possible in ToS, if you become a VIP member you can chat with Admin or developers in discord and get this done within 1 or 2 days.
 

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