HI

I am newbie.But I want to know volume cluster concentration algorithm(s).
Can any one provide ref/journal link or few pointer(s) on volume cluster concentration algorithm(s) ?


Thanks In Advance
CS

try searching for volume or volume profile in the search I think that kind of analysis will give you the levels at which there has been volume in the market. Have a look at let me know if that helps.

hi

See volume concentration algorithm is not just making k-mean cluster of VWAP i guess.So what could be the volume cluster algorithm come out?

thx
CS

Time Variable Profile is the basis of where to start conceptually.From there fixed volume bars clustered in groups specified by the user with either a fixed or dynamically adjusting threshold based on volume % that would generally cause a move away from the mean of that cluster. I am half way there which has me looking into how to construct a VPIN indicator in NinjaTrader.Looks like another job for Gomi.