Intraday Volume Ratio – How to Identify significant Volume Changes

If you trade stocks or futures, volume is an essential part of the analysis process. For example, many traders are interested whether a particular instrument exhibits an unusual volume throughout the day. This could be a good starting point for further analysis. The challenge here is to compare apples to apples before drawing conclusion. In concrete terms: comparing today`s volume at the current time (for example 11 am) with the volume of the last n days at exact the same time. In this article we will show how to program the Intraday Volume Ratio indicator for this purpose.

Monitor significant Volume Changes in your Watchlist

It will display instruments with a high intraday volume ratio in a watchlist. and color the cells in question making it easy to monitor your favourite markets. In the example below you can see that the Linde stock has had a signficantly higher volume at the particular day and time.

Intraday Volume Ratio in Watchlist
Watchlist with Intraday Volume Ratio Indicator

Programming the Intraday Volume Ratio in Equilla

Now let us take a look at the Equilla code. Each new trading day, the algorithm starts counting and adding up the volume for each bar. This is done in lines 16 to 22. In order to have two different comparison types (a 3 day average of volume and just the previous day volume), we make a simple calculation in lines 25-26. The input in line 4 controls which time span you would like to compare the current volume against with. The input in line 5 is used as a threshold to control which securities should be marked as “high volume”. For example, using 1.2 means that the current volume of today is at least 20% higher than yesterday or in the last 3 days. The visualisation is simple and ist programmed in lines 31 to 40. That`s it!

Equilla Code for Intraday Volume Ratio Indicator
Equilla Code for Intraday Volume Ratio Indicator

Tip: If you missed my article on the Multi Day VWAP, please take a look at it now, might be interesting for you too.

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