Estimating todays volume

Discussion in 'Trading' started by jj_jere@hotmail, Dec 28, 2001.

  1. Magna

    Magna Administrator


    Thanks for the email and the url of insight:

    It seems a bit pricey as there are many other products that cover similar ground. From the website I couldn't decipher if it's capable of what I call "on pace volume", that is, a fairly accurate algorithm that predicts the daily volume based on the (weighted) intraday volume. That would be a very useful function to me and I'm not sure which scanner allows you to program that filter.

    I've used CyberQuant (built into CyberTrader) quite a bit, it's decent, semi-flexible, missing key features and filters, better than nothing. Currently I've been testing and learning Tony Oz' scans which I find to be very good "prospecting" tools.
    #11     Jan 1, 2002
  2. Magna

    Magna Administrator

    big jdez,

    I wrote an excel spreadsheet for relative volume by using NYSE volume %'s in 1/2 hour increments and use that percentage to figure out what a stocks volume should be at a particular point in time.

    Please explain further how a breakdown of NYSE volume into 1/2 hr increments can be transferred over to individual (listed) stock's relative volume? For instance, if at a particular point in time the NYSE's vol is 400m and it's average for that time is 500m, how does the fact that it's doing 80% of it's normal volume at that moment transfer over to, say, stock ABC who's average daily volume is 300k. To further this example (and to purposely pick easy numbers), let's say the daily NYSE avg vol is 1500m. In other words, at the point in time mentioned above it's average vol is 1/3 the total daily. Do you then extrapolate by saying that at the same moment stock ABC should (?) also be doing 1/3 of it's total daily (or 100K), and since the NYSE is doing 80% of it's average then if ABC is doing over 80K it's relative volume strength is greater than the NYSE?
    #12     Jan 1, 2002
  3. yes, that's basically what I did, if @ a given time NYSE has done 70% of it's volume than I multiply that by the avg. daily volume of the particular stock. Of course, First Alert, Insight are much better.

    We have Insight @ our office but it's impractical to input a particular stock to see what it volume pace is at. Of course the best way is to look at each stocks individual stock volume "pace" history, but I was just looking for a quick and dirty way to find it.
    #13     Jan 2, 2002
  4. BigDipper


    Try writing a macro on Insight that will give, as its output, a ranking of stocks by their relative volume. Something like this:

    (today's volume(stock)/ average volume (stock)) / (today's volume(NYSE)/ average volume(NYSE))
    #14     Jan 2, 2002
  5. Has anybody compared pre market volume to regular market volume? Is there any correlation? Where can I find historical pre market data?
    Thanks jj
    #15     Jan 2, 2002
  6. I ran a quik study regarding each individual stocks volume and also using the NYSE volume as you had mentioned. The return results were about the same for each method. Have you found that using the NYSE volume helped your returns?
    #16     Jan 3, 2002
  7. I used the NYSE on one particular day and find it useful to quickly check the volume on a stock.
    Here's the spreadsheet attached.
    #17     Jan 4, 2002
  8. I see what your saying from looking at your spredsheet. I was thinking more along these lines: If the NYSE volumn today was 1.2 biillion and the average was 1 billion then we have a ratio of 1.2. Say abc's volume was 1.1 million and the average is 1 million we have a 1.1 ratio. We then take 1.1/1.2 and find the volume was less than expected.
    #18     Jan 4, 2002
  9. In looking again at your spredsheet I noticed that you have about 12% of the volume on the opening and about 22% in the first half hour. This seems high to me, how did you come up with that figure? Thanks JJ
    #19     Jan 5, 2002
  10. 22% is what percentage of trading was done on the all the NYSE by that point in time. That means that ALL of the stocks traded on the NYSE will have an AVERAGE of 22% of their stocks volume done in the first 30 minutes. Like I said, this is just a quick and dirty way for me to get an idea of what volume is like. I don't rely heavily on this info to trade.
    #20     Jan 6, 2002