How to code a scanner by using last minute volume spike?

[Merv2021]

I am coding a scanner that must scan the market in order to select the stocks that are breaking up on volume and have had last three minutes volume spike and last minute volume spike.

I am using Level I Real Time Data Feed from Nasdaq.


I would like to know your inputs and your technical support about which of the following criterion must be applied?:


a. Relative volume: Last minute volume compare to same minute "n" weeks ago. What should be the value of "n"?


b. Compare the volume over the last minute to the volume expected in a 1 minute period? How the volume expected in a 1 minute period should be calculated?


c. Compare the volume over the last three minutes to the volume expected in a 3 minutes period? How the volume expected in a 3 minute period should be calculated?


Looking forward to receiving your inputs.


Regards

[NinjaTrader_AlanP]

Hello Merv2021,

Thank you for your note.

If wanted to get the volume of a bar some weeks ago, you could use a for loop. For example under OnBarUpdate you could use,

if(CurrentBar<200) return;

DateTime DateAndTimeUISelect = new DateTime(2018, 8, 1, 9, 0, 0);

for(int i=0; i<200; i++)
{
if(Time[i].Date == DateAndTimeUISelect.Date)
{
Print(Close[i].ToString());
break;
}
}

Regarding the rest of your logic, it would be out of the scope of our support desk to provide the logic for how you could do this. If you’d like I can have someone reach out with a list of third parties who could assist you in the design.

Please let us know if you need further assistance.

[Merv2021]

Thanks Alan,

Yes, please i need to get the list with the third parties who can assist me on this aspect.

Kind regards,

[NinjaTrader_JaredM]

Hello Merv2021,

This is Jared from the NinjaTrader Business Development team responding on behalf of my colleague Alan.

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[Merv2021]

Hi Jared thank you for your soon reply.

Jared which of these three consultants will suit best for my need?

- tradingsystems.ca

- microtrends.co

- Custom Programming Services - by Stuart Okorofsky

I need a real Quant who can transform my trading idea into a successful quantitative strategy and then develop my fully automated trading system.

Pleas I will deeply appreciate your expert advised because i have been struggling a lot with fake quants and inexperienced algo developers.

Thanks Jared.

Best regards

[NinjaTrader_JaredM]

Hello Merv2021,

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