Daily volume formula for filtering in premarket

• 05/21/2021 at 12:46 PM #170109
  RubberToe

  I’m looking for a way to filter out low volume trading stocks from the premarket now that it has been released.  I’d like to be able to calculate volume from the premarket open.  For Nasdaq that is 5am (ADT).  Say be able to ignore stocks trading below 40000 as a starting point, and I can adjust from there.

  

  RubberToe

  Participant

  Topics: 17

  Replies: 36

  Been thanked: 1 time
  05/22/2021 at 7:29 PM #170183
  Nicolas

  condition = volume>40000 screener[condition]

  1 2	condition = volume>40000 screener[condition]

  Is that what you need?

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  05/23/2021 at 1:50 PM #170202
  RubberToe

  Maybe that is all I need?

  I thought what you just posted would trigger for one scan period (1/2/5/15/30mn) where the volume was over 40000, and then reset.  If that is a sum total from market open, that is what I need.

  I like to use this scanner to find Bollinger squeezes in the premarket on the 5 minute, but want to eliminate stocks that haven’t traded a certain total to stocks since the premarket open.

  Bollinger Band Squeeze

  timeframe (5mn) myBBW=(BollingerBandWidth[12](TypicalPrice) * 1000) timeframe(daily) adv = average[10](volume) w1 = adv > 3000000 w2 = MedianPrice >10 if w1 and w2 then screener (myBBw as "x") endif

  1 2 3 4 5 6 7 8 9 10 11 12 13

  timeframe (5mn)   myBBW=(BollingerBandWidth[12](TypicalPrice) * 1000)     timeframe(daily) adv = average[10](volume) w1 = adv > 3000000 w2 = MedianPrice >10   if w1 and w2 then screener (myBBw as "x") endif

   

  

  RubberToe

  Participant

  Topics: 17

  Replies: 36

  Been thanked: 1 time
  05/24/2021 at 11:12 AM #170248
  PeterSt

  RubberToe wrote:

  If that is a sum total from market open, that is what I need.

  Personally I would not think so. For (relevant ?) context also see  How to acces previous day ?

  Your focus should be on “what actually is a day boundary” and while I never tried with Premarket data (yet), I already had problems with normal RTH.

  So @Nicolas referred to DOpen and DClose (I only just saw his response – thank you Nicolas) but I feel that ETH functions are required here.

  But first something else seems to be wrong ? See the two attachments. Each other few seconds the Screener toggles between those two (also see the 13 vs 35 shown at the bottom line). And Yes, I use Volume in there :

  TIMEFRAME(weekly) PeriodVolumeLimit = 100000 PeriodVolume = exponentialaverage[16](Volume) OKVolume = 0 If PeriodVolume >= PeriodVolumeLimit then OKVolume = 1 endif

  1 2 3 4 5 6 7 8 9

  TIMEFRAME(weekly)   PeriodVolumeLimit = 100000 PeriodVolume = exponentialaverage[16](Volume)   OKVolume = 0 If PeriodVolume >= PeriodVolumeLimit then   OKVolume = 1 endif

  I have never looked at any screener for months, hence I did not observe them since ETH was introduced. And now I wonder whether something could be wrong in the first place …

   

   

  

  PeterSt

  Participant

  Topics: 73

  Replies: 2545

  Been thanked: 829 times
  05/24/2021 at 11:51 AM #170256
  PeterSt

  PeterSt wrote:

  Each other few seconds the Screener toggles between those two (also see the 13 vs 35 shown at the bottom line). And Yes, I use Volume in there :

  Hmm … this toggling started to happen during my last post, when I clicked the Sort column (I always have it sorted on that column, but today I found it not to be sorted).
  Because of the annoying flickering, I restarted the platform, and now all is fine ?

  I now could also check for the accuracy of the (ETH) contents, and it looks to be updating correctly.
  This doesn’t solve the volume “pre-market” quest of course.

  

  PeterSt

  Participant

  Topics: 73

  Replies: 2545

  Been thanked: 829 times
• Author
  Posts