High volume
Flags bars whose dollar volume is unusually high for their clock time.
It multiplies volume by the close to get dollar volume, then compares each bar with the average and spread of dollar volume at the same clock time on earlier days. It is on where the bar sits more than threshold standard deviations above that average, and its value there is how many.
How to read it
- Markers sit on bars that are unusually busy for their time of day.
- Each clock time is judged against its own history, so the busy open is not flagged just for being busy.
- A clock time needs two earlier days before it can be judged, so the first days of a range stay quiet.
What it outputs
- High volume
- On where dollar volume sits more than threshold standard deviations above its average at that clock time; the value is that z-score.
When it fires
On bars where dollar volume is more than threshold standard deviations above its average at the same clock time.
Settings
- threshold
- How many standard deviations above normal a bar must be. Higher flags only rare surges; lower flags ordinary busy bars.
Pitfalls
- Clock times are minutes of the day, so it needs a range of several days before most bars have a history to be judged against.
- Extended-hours bars are judged only against other extended-hours bars at the same minute, which are often thin.