Registered User
Joined: 3/10/2009
Posts: 5
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Hi,
I am looking for setting up a scan which shows me the list of stocks trading N times above the average volume(30 day average) for this time of the day...(day being prorated)
Thank you very much for your help
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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I've created a Cumulative Intraday Vol Surge RealCode Indicator (you need to have Settings | Data Manager | Number of Intraday Bars set high enough to calculate the Moving Average for it to work). You can right-click on the Indicator and select Create Rule to create a Rule for use as a Watchlist Light or in a Filter. You should be able to replace everything below the Inherits line in the Class tab of a RealCode Indicator with the following to create the RealCode Indicator:
'# Period = UserInput.Integer = 30
Sub New
AutoLoop = False
End Sub
Public Overrides Function Plot() As System.Single
If TimeFrame.TotalDays <= 1 AndAlso Period >= 2 Then
Dim Start(Period-1) As Integer
Dim DayCount As Integer = -1
Dim BarCount As Single = 0
Dim Sum(1) As Single
Dim SMA As New System.Collections.Generic.List(Of Single)
For i As Integer = 1 To Volume.Line.Count - 1
If Volume.Line.DateValue(i).DayOfYear <> Volume.Line.DateValue(i - 1).DayOfYear Then
DayCount += 1
BarCount = 0
Sum(0) = 0
Sum(1) = 0
If DayCount >= Period Then
Dim j As Integer = 0
For k As Integer = Start(DayCount Mod Period) To Start((DayCount + 1) Mod Period) - 1
SMA(j) -= Volume.Line.Value(k )
j += 1
Next
End If
Start(DayCount Mod Period) = i
End If
If DayCount >= 0 Then
If BarCount >= SMA.Count Then
SMA.Add(Volume.Line.Value(i))
Else
SMA(BarCount) += Volume.Line.Value(i)
End If
End If
If DayCount >= Period - 1 Then
Sum(0) += Volume.Line.Value(i)
Sum(1) += SMA(BarCount)
If Sum(1) > 0 Then
AddToOutput(Volume.Line.DateValue(i), Sum(0) / (Sum(1) / Period))
End If
End If
BarCount += 1
Next
End If
End Function
End Class
I've also created a Culumulative Intraday Vol Surge RealCode Condition if you would prefer not to create the RealCode Indicator and then use Drag and Drop to create the Condition. You should be able to replace everything below the Inherits line in the Class tab of a RealCode Condition with the following to create the RealCode Condition:
'# Period = UserInput.Integer = 30
'# MinSurge = UserInput.Single = 3
Sub New
AutoLoop = False
End Sub
Public Overrides Sub CallUserCode()
If TimeFrame.TotalDays <= 1 AndAlso Period >= 2 Then
Dim Start(Period-1) As Integer
Dim DayCount As Integer = -1
Dim BarCount As Single = 0
Dim Sum(1) As Single
Dim SMA As New System.Collections.Generic.List(Of Single)
For i As Integer = 1 To Volume.Line.Count - 1
If Volume.Line.DateValue(i).DayOfYear <> Volume.Line.DateValue(i - 1).DayOfYear Then
DayCount += 1
BarCount = 0
Sum(0) = 0
Sum(1) = 0
If DayCount >= Period Then
Dim j As Integer = 0
For k As Integer = Start(DayCount Mod Period) To Start((DayCount + 1) Mod Period) - 1
SMA(j) -= Volume.Line.Value(k )
j += 1
Next
End If
Start(DayCount Mod Period) = i
End If
If DayCount >= 0 Then
If BarCount >= SMA.Count Then
SMA.Add(Volume.Line.Value(i))
Else
SMA(BarCount) += Volume.Line.Value(i)
End If
End If
If DayCount >= Period - 1 Then
Sum(0) += Volume.Line.Value(i)
Sum(1) += SMA(BarCount)
If Sum(1) > 0 Then
If Sum(0) / (Sum(1) / Period) >= MinSurge Then
AddToOutput(Volume.Line.DateValue(i), True)
Else
AddToOutput(Volume.Line.DateValue(i), False)
End If
End If
End If
BarCount += 1
Next
End If
End Sub
End Class
It should probably be noted that both the RealCode Indicator and the RealCode Condition are quite computationally intensive and require a lot of data to calculate for a 30-Day Moving Average when the Time Frame is short. Calculating for an entire Watchlist as would be done with a Filter or Sort could take quite some time (especially if the Watchlist is large).
-Bruce
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Registered User
Joined: 3/10/2009
Posts: 5
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The realcode rule is failing due to complication errors as below
Public override Sub CallUser code has multiple definitions with identical signatures
and some other errors
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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I get the error message you describe if I replace everything below the Public Overrides line in the Class tab of the RealCode Editor of a RealCode Condition instead of everything below the Inherits line (this creates two identical Public Overrides lines at different points in the RealCode).
-Bruce
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Registered User
Joined: 3/10/2009
Posts: 5
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Thanks it worked...
1.How is it different from Volume Surge?
2. Is there a way to scan for stocks whose 30 day average volume > 1Million
Thanks
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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It's different from the normal Volume Surge in that it calculates the Average Volume up to this point in the day. A normal Volume Surge is just going to compare the Average Volumes over the number of Bars specified in their settings.
The normal way to check for 30-Day Average Volume would be to add a 30-Period Simple Moving Average of Volume to a Daily Chart and then right-click on it and select Create Rule | Greater Than Value | 10000 (Volume in StockFinder is normally reported in blocks of 100 shares).
-Bruce
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Registered User
Joined: 3/10/2009
Posts: 5
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Please let me know how I can order by the highest above than average volume descending
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Drag and Drop the RealCode Indicator given in my Monday, April 27, 2009 1:34:44 PM ET post to the Watchlist and select Raw Value. Then left-click on the Watchlist Column Header to use it as a Sort. It defaults to descending order on my computer, but if that is not the case, left-click on the Watchlist Column Header again to reverse the order.
-Bruce
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 Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Bruce to plot your RC in your Monday, April 27, 2009 1:34:44 PM do I need to be on Daily chart or Intraday?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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They are both Intraday. I think they would probably degrade gracefully into a Daily Bar Interval, but then they wouldn't provide any advantages over the standard Volume Surge (while probably continuing to remain slower).
-Bruce
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Registered User
Joined: 8/19/2010
Posts: 40
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Hi Bruce,
i just implemented this indicator and want to use it in a filter, but run into some problems.
is it possible to fix the calculation basis for this indicators, no matter what the chart time frame is?
eg, i want to calculate the first indicator always on either the 5min bars or the 15min bars, so i could keep the chart on a daily and still see the id volume or use it as filter still working with daily charts.
your help is appreciated
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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You could add a Volume with Bar Interval Indicator to the Chart, adjust it to the desired Bar Interval and then replace everything below the Inherits line in the Class tab of a RealCode Indicator with the following to create the RealCode Indicator (the charted Volume with Bar Interval must be exactly called Volume with Bar Interval, it can't have a .2 or anything after it unless that is also done in the RealCode):
'# VwBI = chart.VolumewithBarInterval
'# Period = UserInput.Integer = 30
Sub New
AutoLoop = False
End Sub
Public Overrides Function Plot() As System.Single
If Period >= 2 Then
Dim Start(Period-1) As Integer
Dim DayCount As Integer = -1
Dim BarCount As Single = 0
Dim Sum(1) As Single
Dim SMA As New System.Collections.Generic.List(Of Single)
For i As Integer = 1 To VwBI.Line.Count - 1
If VwBI.Line.DateValue(i).DayOfYear <> VwBI.Line.DateValue(i - 1).DayOfYear Then
DayCount += 1
BarCount = 0
Sum(0) = 0
Sum(1) = 0
If DayCount >= Period Then
Dim j As Integer = 0
For k As Integer = Start(DayCount Mod Period) To Start((DayCount + 1) Mod Period) - 1
SMA(j) -= VwBI.Line.Value(k )
j += 1
Next
End If
Start(DayCount Mod Period) = i
End If
If DayCount >= 0 Then
If BarCount >= SMA.Count Then
SMA.Add(VwBI.Line.Value(i))
Else
SMA(BarCount) += VwBI.Line.Value(i)
End If
End If
If DayCount >= Period - 1 Then
Sum(0) += VwBI.Line.Value(i)
Sum(1) += SMA(BarCount)
If Sum(1) > 0 Then
AddToOutput(VwBI.Line.DateValue(i), Sum(0) / (Sum(1) / Period))
End If
End If
BarCount += 1
Next
End If
End Function
End Class
You should be able to Open an attached Indicator directly into a running copy of StockFinder 5 (and save it from within StockFinder 5 if desired). You could also Save it to the \My Documents\StockFinder5\(Your Username)\My Indicators\ folder and then load it like you would any other Indicator (or Copy and Paste it there from wherever it Saves if you can't specify the destination directory when Saving).Attachments:
Volume with Bar Interval.sfInd - 18 KB, downloaded 1,054 time(s).
-Bruce
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Registered User
Joined: 8/19/2010
Posts: 40
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QUOTE (Bruce_L) You could add a Volume with Bar Interval Indicator to the Chart, adjust it to the desired Bar Interval and then replace everything below the Inherits line in the Class tab of a RealCode Indicator with the following to create the RealCode Indicator (the charted Volume with Bar Interval must be exactly called Volume with Bar Interval, it can't have a .2 or anything after it unless that is also done in the RealCode):
i did that, it also works perfectly when i work on the 5min/15min/30min charts; so it shows the cummulative volume today compared to the last days.
as soon as i switch to the daily chart, it stops working and basically takes the todays volume vs the avg volume of the last x days.
so basically i would like to have the indicator calulcated like in the 5min/15min/30min chart, but displayed it on the daily chart. what i would need to do is to tell the indicator that it shall not work on the time frame which i set the chart on, but always use the time frame X.
is this possible?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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The original RealCode Indicator from my Monday, April 27, 2009 1:34:44 PM ET post behaves as you describe.
Following the directions in my Wednesday, June 01, 2011 12:56:27 PM ET post should create an Indicator with a Bar Interval which can be set in the Volume with Bar Interval Indicator (or in the Volume Surge Indicator itself if the Volume with Bar Interval Indicator is removed from the Chart after the Volume Surge Indicatar is created).Attachments:
Intraday VS with Bar Interval.sfIndRC - 8 KB, downloaded 960 time(s).
-Bruce
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Registered User
Joined: 8/19/2010
Posts: 40
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Hi Bruce,
ty, the last indicator seems to do exactly what i was looking for, unfortunately it has a "side effect" - it messes up the chart window. so altough i have set the chart window. i tried to get behind to code to use "15min" as calculation basis but "daily"/the chart setting as display basis. but it seems to be above my skill leve. not sure it is even possible.
http://i56.tinypic.com/fdtte1.jpg
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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I'm not sure if this is what you want or not, but you could output the results only on the last Bar of the data or the last Bar of a Day. To do so, change:
AddToOutput(VwBI.Line.DateValue(i), Sum(0) / (Sum(1) / Period))
To:
If isLastBar OrElse _
VwBI.Line.DateValue(i).DayOfYear <> _
VwBI.Line.DateValue(i + 1).DayOfYear Then
AddToOutput(VwBI.Line.DateValue(i), Sum(0) / (Sum(1) / Period))
End If
-Bruce
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Registered User
Joined: 1/25/2005
Posts: 39
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So if I interpret correctly (about first indicator posted on monday 27 up there) an indicator reading of 1.25 at 11:15 Am means that from 9:30 to 11:15, volume is 25% greater than volume from 9:30 to 11:15 on average for the latest XX days ?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Your interpretation is correct.
-Bruce
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