DailyVolume on intraday study

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AntiMatter
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DailyVolume on intraday study

Postby AntiMatter » 03 Mar 2011

My study is on 1 minute data. However, I would like to know the average volume of the last 100 days, as a filter (e.g. to avoid trading those stocks with too low a volume).

The function DailyVolume (so that I could average DailyVolume[0....100]) would appear to help, but seems to return only "0".

The other alternative would be to load 100 days of 1min data, but that seems excessive! Surely there is a more elegant solution?

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TJ
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Re: DailyVolume on intraday study

Postby TJ » 03 Mar 2011

AntiMatter wrote:My study is on 1 minute data. However, I would like to know the average volume of the last 100 days, as a filter (e.g. to avoid trading those stocks with too low a volume).

The function DailyVolume (so that I could average DailyVolume[0....100]) would appear to help, but seems to return only "0".

The other alternative would be to load 100 days of 1min data, but that seems excessive! Surely there is a more elegant solution?

the following are 2 different things:

1) the average of 100 days of 1 min volume
2) the average of 100 days of daily volume

which do you have in mind?

AntiMatter
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Re: DailyVolume on intraday study

Postby AntiMatter » 03 Mar 2011

Good point,

What I really want is 2) the average of 100 days of daily volume.

However, failing that, I could probably "make do" with the other option.

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TJ
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Re: DailyVolume on intraday study

Postby TJ » 03 Mar 2011

AntiMatter wrote:Good point,

What I really want is 2) the average of 100 days of daily volume.

However, failing that, I could probably "make do" with the other option.


if you want 100 days' of analysis, you cannot avoid loading 100 days of data.

see post #4 for ideas:
Multiple time frame, Multi-Data Analysis
viewtopic.php?f=16&t=6929

AntiMatter
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Re: DailyVolume on intraday study

Postby AntiMatter » 03 Mar 2011

Thanks for the useful links.

If I am looking at a graph, and insert a study, then I can have data1(intraday) and data2(daily) and get the daily average volume.

However, I want to insert the study into my RealTimeMarketScanner (which has a long list of stocks, at a resolution of 5 minutes). Basically I want to have data from both 5 minutes and daily in the RealTimeMarketScanner....

Hmmn, looks like I have to go the route of GV/ADE then....? Was hoping to avoid that, for now ;-)


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