Today vs Yesterday current cumulative volume comparison

• 07/03/2021 at 9:02 PM #173069
  Karen

  Good day,

  I am stuck with the task to add a comparison of:

  Current cumulative volume up to this time of today / cumulative volume up to this time of previous day

  To my screener. Is there a proper method to do that? All I came across have some limitations and/or built in data imperfections due to premarket volume.

  Thanks!

  

  Karen

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  07/04/2021 at 9:50 AM #173080
  robertogozzi

  Post your topic in the correct forum:
  _ ProRealTime Platform Support: only platform related issues.
  _ ProOrder: only strategy topics.
  _ ProBuilder: only indicator topics.
  _ ProScreener: only screener topics
  _ General Discussion: any other topics.
  _ Welcome New Members: for new forum members to introduce themselves.

  Thank you 🙂

  I moved it from ProRealTime Platform Support.

  

  robertogozzi

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  07/04/2021 at 10:01 AM #173081
  robertogozzi

  Currently, screeners have a 254-bar look back limit.
  You cannot go beyond that limit.

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  Karen

  

  robertogozzi

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  07/04/2021 at 10:13 AM #173082
  Karen

  Roberto, thank you for the clarification, it’s a very important information (and I’m sorry for mixing forums, will do better next time).

  Regarding the volume analysis – is there a way to exclude afterhours/premarket bars? If I got it right, screener will look for 254 bars irregardles whether it’s main trading session or not, and I’d like to analyze only main session data. Is there a way to do that?

   

  

  Karen

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  07/04/2021 at 11:39 AM #173089
  robertogozzi

  PRT’s settings allow plotting on a chart some premarket data, but I as far as I know there’s no way to exclude some periods.

  You have to code your screener to only account for data from a starting hhmmss to  an ending hhmmsd.

   

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  Karen

  

  robertogozzi

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  07/07/2021 at 7:08 PM #173321
  Karen

  I’ve successfully excluded premarket data by adding extra time settings like so:

  time > 093000 and time < 160000

  1	time > 093000  and time < 160000

  Still, I am desperately in need of a way to compare current cumulative volume up to this time of today with cumulative volume up to this time of previous trading day.

  I understand the 254-bar look back limitation (Roberto, thank you again), so I can see that my only option would be to use 5 minute timeframe – but I can’t figure out how to implement such a comparison. Any help would be much appreciated.

  

  Karen

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  07/07/2021 at 11:35 PM #173322
  robertogozzi

  What time? Can you make an example?

   

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  07/08/2021 at 11:55 AM #173333
  Karen

  Roberto, at any time during the trading session I’d like my screener to be able to compare the ratio of the current accumulated volume to the accumulated volume to the same time yesterday.

  For example, lets say currently it’s 9:45 am of July 7 (15 minutes into the market) and my screener is looking at BSQR. By 9:45 BSQR has 3728168 volume (I’ve summarized three 5-minute candles of volume by hand).

  Now, “yesterday”, July 6, during that same period of time, 9:30 to 9:45 – BSQR had 12168494 volume. So now my screener is aware of those numbers, and I can easily calculate “current cumulative volume up to this time of today / cumulative volume up to this time of previous day”, which will be 0.3 in this case. 

  

  Karen

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  07/08/2021 at 4:05 PM #173345
  robertogozzi

  Try this one:

  IF Time = 094500 THEN CumVol = CurVol CurVol = 0 ENDIF CurVol = CurVol + Volume SCREENER[CumVol](CumVol AS "Cum.Volume")

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  IF Time = 094500 THEN    CumVol = CurVol    CurVol = 0 ENDIF CurVol = CurVol + Volume SCREENER[CumVol](CumVol AS "Cum.Volume")

   

  

  robertogozzi

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  07/08/2021 at 8:14 PM #173354
  Karen

  Roberto, thank you very much for your help, but perhaps I didn’t explain the task correctly.

  Your code, if I get it right, counts total volume for today (with the limit of 9:45). What I am looking for, is a code for screener, which can count total volume for whatever time it is right now (but only within main trading session) and compare it with the total volume for that same exact period of yesterday’s main trading session.

  I’ve found almost identical task at this topic: https://www.prorealcode.com/topic/intraday-relative-volume-for-5min-chart/ but the screener code from that topic suffers from issues due to premarket/afterhours candles, the offset is calculated incorrectly.

  If you can suggest a way to safely exclude premarket/afterhour candles with that screener, so we can analyze exclusively main trading session – that would be brilliant.

  

  Karen

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  07/08/2021 at 11:30 PM #173361
  robertogozzi

  There you go, but you have to change the time for unwanted trading hours (mine is just an example, from 080000 through 083000):

  i = 1 CumVol = 0 WHILE i < 254 IF Time[i] <> Time THEN IF Time[i] >= 080000 AND Time[i] <= 083000 THEN CumVol = CumVol + Volume[i] ENDIF ELSE Break ENDIF i = i + 1 WEND SCREENER[CumVol](CumVol AS "Cum.Volume")

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  i      = 1 CumVol = 0 WHILE i < 254    IF Time[i] <> Time THEN       IF Time[i] >= 080000 AND Time[i] <= 083000 THEN          CumVol = CumVol + Volume[i]       ENDIF    ELSE       Break    ENDIF    i = i + 1 WEND SCREENER[CumVol](CumVol AS "Cum.Volume")

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  robertogozzi

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  07/12/2021 at 8:24 AM #173487
  Karen

  Roberto, thanks again for your help!

  Can you help me calculate the cumulative volume in a similar fashion for “yesterday”, also from 8 to 8:30 (I will use the formula on the 5 minute timeframe).

  

  Karen

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  07/12/2021 at 4:09 PM #173526
  robertogozzi

  Try this one, but I could not check if volume data is correct.

  You should also bear in mind that if the prior day spans across the 254-bar limut, results will be inaccurate.

  j = 0 i = -1 CumVol = 0 WHILE j < 253 IF (Time[j + 1] > Time[j]) AND (i < 0) THEN i = j + 1 //This is where the prior day starts ENDIF IF i >= 0 THEN IF Time[i] >= 080000 AND Time[i] <= 083000 THEN CumVol = CumVol + Volume[i] ENDIF i = i + 1 ENDIF j = j + 1 WEND SCREENER[CumVol](CumVol AS "Cum.Volume")

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  j       = 0 i       = -1 CumVol  = 0 WHILE j < 253    IF (Time[j + 1] > Time[j]) AND (i < 0) THEN       i = j + 1                               //This is where the prior day starts    ENDIF    IF i >= 0 THEN       IF Time[i] >= 080000 AND Time[i] <= 083000 THEN          CumVol = CumVol + Volume[i]       ENDIF       i = i + 1    ENDIF    j = j + 1 WEND SCREENER[CumVol](CumVol AS "Cum.Volume")

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  robertogozzi

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  07/13/2021 at 11:07 AM #173580
  robertogozzi

  Try this update:

  CumVol = 0 j = 0 i = -1 WHILE j < 253 IF Time >= 0 AND Time < Time[1] THEN CumVol = 0 i = j + 1 //This is where the prior day starts ENDIF IF i > 0 THEN IF Time[i] >= 160000 THEN IF Time[i] <= 163000 THEN CumVol = CumVol + Volume[i] ELSE i = -1 ENDIF ENDIF i = i + 1 ENDIF j = j + 1 WEND SCREENER[CumVol](CumVol AS "Cum.Volume")

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  CumVol = 0 j       = 0 i       = -1 WHILE j < 253    IF Time >= 0 AND Time < Time[1] THEN       CumVol = 0       i = j + 1                               //This is where the prior day starts    ENDIF    IF i > 0 THEN       IF Time[i] >= 160000 THEN          IF Time[i] <= 163000 THEN             CumVol = CumVol + Volume[i]          ELSE             i = -1          ENDIF       ENDIF       i = i + 1    ENDIF    j = j + 1 WEND SCREENER[CumVol](CumVol AS "Cum.Volume")

   

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