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OK, here is my $0.02. The attached study is my attempt to duplicate the MarketDelta version of relative volume. It computes the cumulative volume from the start of the session for each bar, and compares that to the average cumulative volume for the preceding 'n' sessions. It seems to behave similarly, but not identically, to MarketDelta.
I have been using it primarily on an intraday basis, however I have looked at longer timeframes and the data seems to be OK. Caveat emptor.
The idea is if I look at the chart 1 hour into the trading session, I want the number on my chart (50%, 100%) to be representative of the relative volume. Is volume light? Is it heavy?
Right now, what you wrote and I've been using, works just like that. But it only works as an end-of-day observation. I am trying to make it work intraday. I am applying this to a daily chart. At noon, is volume heavy or light so far today? It is hard for me to know with this indicator because it measures the whole day, not just up until noon (present time).
I hope this makes sense.
I would prefer to make a new indicator so there is no chance of messing up the existing one. I use the old existing one often and it works great.
If you gentlemen don't mind, I'd like to join the conversation and help out where in possible in developing this indicator for Sierra Chart.
The format I think would be most useful is comparing cumulative intraday volume with the same time period on previous days. For example, the first 5 min of trading from 9:30am-9:35am today compared to an average of the same time period (9:30-9:35am) on the previous 10 trading sessions. The next bar in the histogram would compare 9:30-9:40am, then 9:30-9:45am, then 9:30-9:50, and so on until the end of the trading session.
In terms of flexibility, there are four major input variables.
1) Interval for accumulation. In my example, it was 5 minutes but could easily be 1 minute or 60 minutes.
2) The number of sessions (EXCLUDING the current session) over which to calculate the average. In my example it was 10 days, but could easily be 20 days or 50 days.
3) Session start time to begin the volume accumulation.
4) Session end time to stop the volume accumulation.
In terms of display, I vote for a scale where 100% means that today's volume is the same as the average. 50% means a very slow day with half the normal volume and 200% represents a very busy day with volume that double the average.
I would suggest a histogram type graph where if the relative volume in the most recently closed bar is less than the previous bar, it would be colored red. If the most recently closed bar has a higher higher relative volume than the previous bar, it would be colored green. The color of the current bar that is forming can be something neutral such as gray. Choice of colors could be a minor input variable.
I can write basic code in Easy Language for TradeStation but find Sierra Chart daunting and difficult to use. However, I'm willing to give it a shot if someone can get me started along the right path. I most certainly can assist with beta testing and anything else.
Look forward to working with all of you on this project.
Continuing in the trend of the wildly popular "Want your NinjaTrader indicator created, free?" thread, and its subsequent EasyLanguage version, I believe now is the appropriate time to finally have a similar thread for all the Sierra Chart users.