Relative Volume (RVOL)

• 09/30/2019 at 10:47 AM #108884
  Stocks008

  Good day,

  I am trying to incorporate relative volume in my trading but I have no idea how to create the indicator. Below is a link that describes Rvol and how to calculate it. I haven’t seen this indicator in previous topics as well, maybe I missed it.

  Can you please help with creating it?

  thank you,

   

  https://stockbeep.com/how-to-calculate-relative-volume-rvol-for-intraday-trading

  

  Stocks008

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  09/30/2019 at 10:56 AM #108889
  Nicolas

  Relative volume is a ratio of the current period volume compared to the average of the last 5 days.

  That could be coded like this:

  rvol = volume/average[5](volume) return rvol

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  rvol = volume/average[5](volume)   return rvol

   

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  04/08/2020 at 8:21 PM #125329
  pompboss

  Hello Nicolas

  Thanks for the code 🙂

  However do you think it’s possible to create the indicator as described in the article posted above? (https://stockbeep.com/how-to-calculate-relative-volume-rvol-for-intraday-trading)

  “Current cumulative volume up to this time of day /  Average cumulative volume up to this time of day”

  where the numerator is the current volume, and the denominator is the average over let’s says 5 days of the volume, but only up to the current index bar (and not the volume at the close of the day, which is less relevant during trading hours).

  I am a fresher, I did try wrapping my mind around this, but without any results I am afraid :s I also saw a similar post on the forum, but unfortunately it was left unanswered (https://www.prorealcode.com/topic/relative-volume-for-intraday-trading/).  And I read the posts in french but none was of help in this particular matter (https://www.prorealcode.com/topic/pro-ratisation-de-volume/).

  That’s why getting your help/guidance would be great! 🙂

  Thanks,

  

  pompboss

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  04/09/2020 at 9:42 AM #125379
  Nicolas

  That sounds possible with variables arrays with ProRealTime v11. At least for an indicator, but I don’t know about a screener.

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  04/09/2020 at 10:11 AM #125382
  Nicolas

  But do you want :

  Current volume for this time of day / Average volume for this time of day

  or

  Current cumulative volume up to this time of day /  Average cumulative volume up to this time of day

  ?

  

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  04/09/2020 at 1:03 PM #125418
  pompboss

  Hello Nicolas,

  it would be the first proposal: Current volume for this time of day / Average volume for this time of day

  

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  04/10/2020 at 10:02 AM #125548
  Nicolas

  Here are 2 versions. First one is the Relative Volume, second one is the actual volume and the average volume for the X chosen period, in red.

  RELATIVE VOLUME

  Period = 5 //X days averaging period intraindex = intradaybarindex $ivol[intraindex] = volume $gvol[barindex] = volume $gintraindex[barindex] = intraindex count = 0 sum = 0 for i = barindex downto 0 do if $gintraindex[i]=intraindex then //found same intraday bar sum=sum+$gvol[i] count=count+1 endif if count=period then break endif next avg = sum/period rvol = $ivol[intraindex] / avg return rvol style(histogram)//$ivol[intraindex], avg coloured(255,0,0)

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  Period = 5 //X days averaging period   intraindex = intradaybarindex $ivol[intraindex] = volume   $gvol[barindex] = volume $gintraindex[barindex] = intraindex   count = 0 sum = 0 for i = barindex downto 0 do if $gintraindex[i]=intraindex then //found same intraday bar sum=sum+$gvol[i] count=count+1 endif if count=period then break endif next   avg = sum/period rvol = $ivol[intraindex] / avg   return rvol style(histogram)//$ivol[intraindex], avg coloured(255,0,0)

  current volume and average for X periods

  Period = 5 //X days averaging period intraindex = intradaybarindex $ivol[intraindex] = volume $gvol[barindex] = volume $gintraindex[barindex] = intraindex count = 0 sum = 0 for i = barindex downto 0 do if $gintraindex[i]=intraindex then //found same intraday bar sum=sum+$gvol[i] count=count+1 endif if count=period then break endif next avg = sum/period rvol = $ivol[intraindex] / avg return $ivol[intraindex], avg coloured(255,0,0)

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  Period = 5 //X days averaging period   intraindex = intradaybarindex $ivol[intraindex] = volume   $gvol[barindex] = volume $gintraindex[barindex] = intraindex   count = 0 sum = 0 for i = barindex downto 0 do if $gintraindex[i]=intraindex then //found same intraday bar sum=sum+$gvol[i] count=count+1 endif if count=period then break endif next   avg = sum/period rvol = $ivol[intraindex] / avg   return $ivol[intraindex], avg coloured(255,0,0)

   

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  04/14/2020 at 10:25 AM #126053
  pompboss

  Hello Nicolas,

  Thank you so much, your reply was very helpful.

  There is a small correction I think:

  Line 11: wrong loop

  for i = barindex downto 0 do

  1	for i = barindex downto 0 do

  it should be:

  line 11: correct loop

  for i = (barindex - 1) downto 0 do

  1	for i = (barindex - 1) downto 0 do

  In order not to take the current bar into the averaging (and take only the previous ones). I did the calculation by hand to verify this should be working

   

   

   

  

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  04/14/2020 at 10:34 AM #126056
  pompboss

  I also gave a trial at the cumulative volume, based on your code. It seems to be working as well, nonetheless it would be great to have your feedback 🙂

  cumulative relative volume

  Period = 5 //X days averaging period NbC = NoofCandlesInOnePeriod // No of Candles in one period. intraindex = intradaybarindex $ivol[intraindex] = volume $gvol[barindex] = volume $gintraindex[barindex] = intraindex n = 0 count = 0 sum = 0 cvol = 0 for i = (barindex - 1) downto 0 do if $gintraindex[i]=intraindex then //found same intraday bar n = i while ( n > (barindex - (intraindex + NbC + count*NbC)) AND (n >= 0) ) sum=sum+$gvol[n] n = n - 1 WEND count=count+1 endif if count=period then break endif next i = 0 for i = intraindex downto 0 do cvol = cvol + $ivol[i] next avg = sum/period rcvol = cvol/avg return rcvol

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  Period = 5 //X days averaging period NbC = NoofCandlesInOnePeriod // No of Candles in one period.   intraindex = intradaybarindex $ivol[intraindex] = volume $gvol[barindex] = volume $gintraindex[barindex] = intraindex n = 0 count = 0 sum = 0 cvol = 0   for i = (barindex - 1) downto 0  do   if $gintraindex[i]=intraindex then //found same intraday bar n = i   while ( n > (barindex - (intraindex + NbC + count*NbC)) AND (n >= 0) ) sum=sum+$gvol[n] n = n - 1 WEND   count=count+1 endif   if count=period then break endif   next   i = 0 for i = intraindex downto 0 do cvol = cvol + $ivol[i]   next   avg = sum/period rcvol = cvol/avg   return rcvol

   

  

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  04/14/2020 at 10:35 AM #126057
  pompboss

  And lastly I have been trying to run scanners based on those indicators. However I couldn’t make them work so I had a doubt: is it possible to run scanners with indicators using arrays?

  Thank you so much for your help!

  

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  07/29/2020 at 4:26 AM #140353
  viverge.manickum

  Hi Nicholas

  I am getting a syntax error for the $ signs. Please let me know as to how I can correct this since I need to use these indicators.

  Many thanks

   

  

  viverge.manickum

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  07/29/2020 at 9:34 AM #140361
  Nicolas

  variables names with a $ are variable arrays which are not supported by ProRealTime version prior to v11! 🙂

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  08/13/2021 at 11:36 AM #175232
  paulrossshepherd

  Dear Nicolas – thanks so much for your post above (#125548) where you gave the code for a relative volume indicator, which I have been using.

  Can you advise whether the code can be adapted to create a cumulative RVOL indicator, and if so how, please? For example, I’m looking to know intraday how a stock’s cumulative volume since the open compares with the average cumulative volume at the same point in the day (averaged over the previous X days/sessions). My understanding is that your code above is looking at current relative volume for the bar rather than cumulative since the open.

  Any pointers or help you could give would be very gratefully received (I’m new to PRT coding)

  Thanks, Paul

  

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  10/04/2021 at 10:36 AM #178995
  borderlineJim

  Bonjour Nicholas….

  Would it be possible to add a colour system to the bars in the relative volume indicator?

  

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  10/03/2023 at 4:31 PM #222003
  DavidZ

  Hi Nicolas, I am also looking for a way to compare the cumulative volume since the open with the average cumulative volume at the same point in the day. I tried to use Pompboss’ code, but the number of candles in one period must be specified which prevents us to use it whatever the TF is. Would it possible to improve the code? Many thanks.

  

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