Intraday volume pressure

1월 28일

This indicator shows the difference of bullish and bearish trading volume during intraday

The idea
Especially in "6E1!" it caught my eye, that often outside regular trading hours the price moves in one direction with thin volume and inside regular trading hours it moves back with much higher volume. It is possible, that the market closes e.g. with a plus. And over some days maybe you can see e.g. weak rising prices. But in this time the movements with high volume are going down every day. And one day - maybe within view minutes - the market rushs a level deeper.

Maybe some are manipulating the market in this way, maybe not, it doesn't matter. So my question was, can I find a way to show such divergences? I guess I can do.

How to use this indicator
Use it at your own risk! I don't take over any responsibility. You are the only one, who is responsible for your decisions. Always collect information from different independent sources!

Watch it in the daily chart - not intraday, not weekly! Of course this indicator just analyzes the past as all indicators. Everytime everything may happen that influences the market in any direction, no indicator can predict any news.

Watch it in sideways market or when the price is moving quite slow over days! An average volume pressure

• below zero shows a volume-driven bearish pressure
  
• above zero shows a volume-driven bullish pressure
  

of the last days. So there is a chance, that the market may follow the volume pressure within the next days. But of course, I cannot guarantee anything. The indicator just can give you an idea, why this will happen, when it will happens. Otherwise, the indicator indicated nothing helpfull.

Of course you also can try other securities. Maybe it will work there better or worse - difficult to say. I guess, it depends on the market.

Possible settings aside of colors

• Intraday minute bars: Default is 15 minutes, in 6E in my point of view it is a good value. If you choose a smaller value, the chart gets too noisy, the results are getting too small. With a bigger timeframe some moves are hidden in bigger candles, the results are getting a large spread
  
• Average over days: Default is 5 days - so one week. In 6E in my point of view it is a good value. A smaller value is too noisy. A bigger value reacts too slow. Often 6E has a trend over weeks. Sometimes it changes within some days - the indicator may help. But sometimes the market changes with a buying or selling climax. Such a case this indicator cannot recognize. But with the 5 days average maybe you get a change in the indicator within one or two days. Anyway, it is always a good idea to learn recognizing climaxes otherwise.
  

How the indicator works
It uses the function request.security_lower_tf to get the intraday candles. The volume of intraday up-candles is added to the intraday summary volume. The volume of down candles is substracted from the intraday summary volume.

In the oscillator area I plot a green bar on a day with a higher close than open and a red bar on a day with a lower close than open. The bar has a positive value, if the volume pressure is positive and a negative value if the volume pressure is negative. So it happens, that a green bar has a negative value or a red bar has a positive value.

The average is calculated with a floating sum. Once we have enough days calculated, I devide the floating sum by the length of the "Average over days" and plot the result. Then I substract the first value of the queue and I remove it.