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Relative Volume (RVOL) for intraday Trading?
Last Activity 6/3/2020 10:06 PM
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hafnium

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Subject : Relative Volume (RVOL) for intraday Trading?
Posted : 4/27/2020 2:05 PM
Post #31083

I was reviewing an online daytrading seminar by SMB capital this week. SMB is a professional Prop Firm that sponsors professional traders, plus they hold training courses. For Day trading, they use a proprietary scanner to determine what stocks to trade on a given day. In summary, the criteria to determine if a stock is in play is:
1. Opening Gap of 3% or more
2. Avg Daily Volume of > 1 M shares for newer traders
3. Price Holding above VWAP
4. High RVOL (3 or greater)

This is something that shouldn't be too hard to put into Marketscans I thought. Just what is this "RVOL". RVOL is a measure of volume flows. It measures current volume in relation to the “usual” volume for this time of the day.

Unfortunately, Nirvana has nothing to determine RVOL for intraday trading. Stock Beep describes how they calculate the value below

https://stockbeep.com/how-to-calculate-relative-volume-rvol-for-intraday-trading

In summary: they calculate the value using a distribution curve.
"We now know that volumes are not equally distributed during the entire day. It peaks at the open and close, and it dips around lunch. Using this behavior, we plot intraday volume as a cumulative graph. For most stocks, this is how the volume adds up over the course of a trading day.

Sorry for the longer than normal post (my normal). Bottom line, Has anyone attempted to create an indicator that calculates RVOL for intraday trading? This seems to be a critical factor when the pro's decide which stock to day trade.

Thanks for listening.

LD


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Jim Dean

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Subject : RE: Relative Volume (RVOL) for intraday Trading?
Posted : 4/27/2020 2:38 PM
Post #31084 - In reply to #31083

I haven't created an RVOL indicator, but it would be feasible to do so ... complexity depends on the sophistication of how you might define what "usual" means.

A fairly easy implementation would be to use a simple or weighted average of the comparable-time bars' V from prior days. The lookback "n" V[n] would of course be dependent on the "compression" ... ie the length of the bars (10min, 65min, etc) and the duration of the day (9:30-4:00, 8-3:30, 24-hour, etc). That's all codeable, possibly even as a single-(long)line OScript:
simple V vs three-day average = V / ((V[n] + V[2*n] + V[3*n])/3)

A more robust analysis would use those past time-bars, and maybe incorporate the bars just before and just after the focus-time, with smaller weightings. Also, you might choose do to some kind of mean/standard-dev analysis which would make the code more complex (but do-able ... it's just a for/next lookback loop).

Either simple or complex, the gotcha that needs to be dealt with is integral coded checks to assure that any "oddball" days with nonstandard begin-end times are either skipped over, or accounted for. Again, do-able. Not trivial though. If you'd like it coded up, email me and I'll give you a cost estimate. Or, maybe another programmer can use the comments above to whale away at it.

Hope that helps.

[Edited by Jim Dean on 4/27/2020 2:52 PM]

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hafnium

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Subject : RE: Relative Volume (RVOL) for intraday Trading?
Posted : 4/27/2020 3:32 PM
Post #31085 - In reply to #31084

Hi Jim
Thanks for the response. I am a little confused however based on your suggestions.

RVOL is cumulative, so wouldn't it be the volume sum of all of the bars up to a specific time? Would it be simpler to start off with determining what the daily average is, then apply a factor (reduction factor) to the average based on the time of the day of the intraday bar?

Thxs again.

LD
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Jim Dean

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Subject : RE: Relative Volume (RVOL) for intraday Trading?
Posted : 4/27/2020 4:10 PM
Post #31086 - In reply to #31085

I was working from this description:
RVOL is a measure of volume flows. It measures current volume in relation to the “usual” volume for this time of the day.
… no mention of cumulative, there.

If you want a measure of CumV today (ie thru current bar) vs average CumV for the same time window, across historical bars, that’s do-able too. Simply or robustly. If m is # bars so far today, and n is # bars in a day:
CumV ratio = Sum(V,m) / (((sum(V[n],m)+sum(V[2*n],m)+sum(V[3*n],m))/3)

Ya jest gotta mek ur myn up whatcha need 😂

[Edited by Jim Dean on 4/27/2020 4:16 PM]

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Vinay

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Subject : RE: Relative Volume (RVOL) for intraday Trading?
Posted : 4/27/2020 9:24 PM
Post #31091 - In reply to #31083

hafnium,

If you have RTSS-3 or Gap Trader from OTU then you should have access to "RT Adjusted Volume" Indicator found under Indicators/Gap trader. It is similar to RVOL. However please note that this Indicator is finicky (may be some bug) and doesn't plots on all Symbols. Hope this helps.





Can you elaborate on how they calculate VWAP? What are the parameters used to calculate it? Is it on "n" number of daily bars or weekly bars or something else?



[Edited by Vinay on 4/27/2020 9:29 PM]

Attached file : RTV.jpg (73KB - 129 downloads)

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Jim Dean

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Subject : RE: Relative Volume (RVOL) for intraday Trading?
Posted : 4/28/2020 5:07 AM
Post #31092 - In reply to #31091

Good catch, Vinay!

That looks like what I initially posted an OLang solution to. If cumulative V is intended, then likely that's a custom function.

I wonder how well the canned function deals with a lookback period which has a day in it that the market closed early (ie before the intraday bar in question).
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hafnium

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Subject : RE: Relative Volume (RVOL) for intraday Trading?
Posted : 4/28/2020 2:04 PM
Post #31095 - In reply to #31092

Jim / Vinay

RVOL is definately cumulative. Here is a description:

This is the precise definition of real-time relative volume from the site:

"Current cumulative volume up to this time of day / Average cumulative volume up to this time of day"

I had already evaluated Nirvana's RT Adjusted Volume indicator and decided it was not useful for the RVOL calculation. It works similar to Jim's description. Even if one wanted to use it as an alternative, there are two big problems with Nirvana's Indicator.

1. It does not appear to be available for OL calls. It can be plotted, but there is no output for use in OL filters or scans. (unless it has been updated recently)

2. It does not work (or plot in this case), if it is not placed on a timeframe that divides equally into the trading day (390 mins). For example, it will plot for 15 or 30 min charts. It will not plot for 60 min charts, but it should plot for a 65 min charts. -thats why it appears to be inconsistent.

[Edited by hafnium on 4/28/2020 2:10 PM]

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hafnium

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Subject : RE: Relative Volume (RVOL) for intraday Trading?
Posted : 4/28/2020 2:20 PM
Post #31096 - In reply to #31091

Hi Vinay
About the VWAP calculation. In the presentation, there were no discussion on the VWAP parameters. I will ask that question to them if I get the chance.

LD
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Jim Dean

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Subject : RE: Relative Volume (RVOL) for intraday Trading?
Posted : 4/28/2020 2:41 PM
Post #31097 - In reply to #31096

See my prior post on 4/27 at 5:10 pm est. it explains how a cumulative version would be coded.
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hafnium

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Subject : RE: Relative Volume (RVOL) for intraday Trading?
Posted : 4/28/2020 5:22 PM
Post #31098 - In reply to #31097

Hi Jim
Thanks for the information on how you would code the RVOL for intraday trading. I'll give it a try (coding) to see if I can come up with a proper solution. If not - I will be contacting you for an estimate.

Thanks.

LD
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