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Average Volume in Market Analyzer

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    Average Volume in Market Analyzer

    Hi,

    I would like to have a new column in the market analyzer, a column for average volume.

    At the moment I have added an extra column with standard average daily volume, but its not displaying any data, its just blank? I don´t think this is what I want anyway, I want to be able to see at any given time, what the average total vol was at that time of day, say an average over the past 10 days.

    Example:

    For instance, at this time (06:18 est) the total daily vol on CL is currently 13,359 contracts, I know this is low... but what would be the normal average be over the last 10 days, at 06:18 est.

    Any ideas on how I can do this?

    #2
    Hello ScottieDog,

    Likely AverageDailyVolume is not supported for the CL as per the connected data feed. When I test it on my end using Kinetick, it only shows data for stocks.

    I think you can accomplish what you like as follows. Add a new Indicator column for the SMA with a Period of 10. Set Data series to Day and set Input series to the VOL indicator.

    If this does not work, you would need to create a custom indicator that will calculate average volume as you like, so you can add it in the Market Analyzer via an Indicator column.
    JasonNinjaTrader Customer Service

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      #3
      But wont that calculate the average volume of the last 10 days, based on the closing volume amount of the last 10 days?

      Therefore it will only update at the end of each days close, and not on the fly intraday.

      Comment


        #4
        Yes, that is correct. It updates intraday (providing Calculate on bar close is set to True), but uses the close of previous days, not the volume at that time of those previous days. You would need to create a custom indicator to accomplish what you like..
        JasonNinjaTrader Customer Service

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          #5
          Originally posted by NinjaTrader_Jason View Post
          Yes, that is correct. It updates intraday (providing Calculate on bar close is set to True), but uses the close of previous days, not the volume at that time of those previous days. You would need to create a custom indicator to accomplish what you like..
          Can anyone recommend an indicator that might do this?

          I guess there are volume indicators available which will show relative volume compared to previous sessions?

          Comment


            #6
            Unfortunately I am not aware of such an indicator.
            JasonNinjaTrader Customer Service

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              #7
              Originally posted by ScottieDog View Post
              Can anyone recommend an indicator that might do this?

              I guess there are volume indicators available which will show relative volume compared to previous sessions?
              I have coded a relative volume indicator some time ago. It compares the volume of the current session to the average volume of the prior N weeks. Today's volume (Friday) is compared to the average volume of the preceding N (default value = 20) Fridays.

              The comparison is done bar by bar and works for minute charts only. Green bars indicate a volume higher than 120% of the average, red bars indicate a volume lower than 80% of the average, white bars show a volume around the average.

              The indicator allows to exclude specific days (such as holidays) from the calculation.

              The indicator is relatively old and needs to be recoded, please use with caution. The chart attached shows that today's volume (cumulated) is about 86% of the average volume of a typical Friday.

              https://www.bigmiketrading.com/downl...load.html?view
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