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neil.galloway
Posted : Friday, May 22, 2015 11:44:56 AM
Registered User
Joined: 5/3/2011
Posts: 7

I would like to be able to pro-rate the volume for the current day to estimate the daily volume.  Is this possible?

My hope was that there may be a function that indicates current time somehow and I could then use it to calculate the percentage of the trading day has been completed and divide it into the volume to get a estimated daily volume.  

The goal is to create a filter to eliminate lower liquidity stocks.  

Other suggestions to achieve this are welcome.

Is there also a way to determine the # of trades actually done in the day?  More frequent trades would be another way to look at the liquidity even if daily volume is lower.

Bruce_L
Posted : Friday, May 22, 2015 12:05:23 PM


Worden Trainer

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

There is no way to determine the time of day in the Personal Criteria Fomrmula Language.

The tick time frame will show actual trades, but the amount of tick data available is limited and there would be no way to determine the start of the trading day or time of day to automatically conduct a count even if there were not the case.

Volume Buzz does use the time of day in its calculations, but this is done on our servers and not with a PCF.

I do not have a workaround which would allow you to do what you want in TC2000.



-Bruce
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