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Creating a $ Volume traded column for lists Rate this Topic:
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Max0rz
Posted : Tuesday, December 25, 2018 5:53:10 AM
Registered User
Joined: 12/24/2018
Posts: 2

I want to have a watch list column that shows the actual $ amount of the instrument traded for the day. At the moment I have a primitive formula which sort of does this: V*((H+L)/2)

It just uses the middle point between the high and low for the day as the price to multiply by the # of shares traded.

I figured it might be more accurate to multiply the volume by the VWAP's final price value for the day, but I don't know how to obtain this value with these scripts, nor do I know if that's the best way to get an accurate $ amount traded.

 

Bruce_L
Posted : Wednesday, December 26, 2018 10:02:58 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

I really don't know of anything better you could use during the trading day.

After the trading day ends, you could use something like the following to do what you want in a 1-minute time frame.

SUM((O + H + L + C) * V, 390) / 4



-Bruce
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