Percent volume by Time Of Day?

Discussion in 'Trading' started by cashonly, Nov 30, 2003.

  1. cashonly

    cashonly Bright Trading, LLC

    Does anyone know the typical average percent of volume traded on the stock market by time of day?

    For example, there are 6.5 hours in the trading day. 1 hour out of that is 15.38% of the time, but I think that an hour after the market opens, on average, much more than 15.38% of the total volume for the day has been traded.

    Does anyone know you the numbers broken down by
    15 minutes?
    30 minutes?

    For specific times of the day?


  2. Arnie


    One of these days, when I get the time, I want to program a way to find stocks that have increased vol in the 1st 30-60 minutes of trading. Maybe someone knows how to do this in Excel? In the meantime, I have gotten pretty good at identifying these just by comparing the Avg Vol to the Composite Vol. I use Mytrack for this. Generally I look for stocks with about 10% of the Avg Vol in the fist 30-40 minutes. Mytrack has a scanner that will allow you to look for stocks with increased volume also. So I can scan for stocks with say, 100,000 shares traded at 30% of Avg Vol. Another idea is to just track the vol by 10-30 min bars. If your program will let you, just look at as many intraday charts you can and average the vol in the first 2-4 ten minute bars. This will give you a good idea of the average vol in the fist few minutes of trading. I have found some pretty good movers this way, especially when they are making new i/d highs on good volume (i.e. not pulling in much during the day).
  3. cashonly

    cashonly Bright Trading, LLC

    You can probably accumulate the data in Excel over time by just taking snapshots and then just compare the values on a timed basis.

    You might also want to look at I think they have a way to configure their alerts to identify these items.

  4. cashonly

    cashonly Bright Trading, LLC

    Just Bringing this up again.

    Any ideas?
  5. You are a manager at Bright and you do not have volume numbers available ? What kind of a clown academy is that ?
    If you are just drunk again, disregard my post.

    " Does anyone know you the numbers broken down by 15 minutes ? "
    How many shots it takes to write like this ? lol
  6. maxpi


    That is the best thing about ET. It makes me realize that the competition is not that smart.
  7. cashonly

    cashonly Bright Trading, LLC

    Just in case anyone's getting lost in the last 2 people's post, This is information I'm still looking for.
  8. acrary


    I'd love to post what you're looking for. Unfortunately I use for all my historical intraday needs. I say unfortunately because they strip out the volume information from futures and cash indexes. I could take a couple of months of intraday data from the emini feed from Esignal and post the volume as a percent by time of day if that would be of any value.
  9. cashonly

    cashonly Bright Trading, LLC


    That would be excellent!

    #10     Jan 5, 2004