Analyzes volume by each 30 min period using intraday 30 min bars. Pro 0

Posted on 17, June 2013

in Category SID


Description for VolumeByPeriod SID 114

Analyzes volume by each 30 min period using intraday 30 min bars. Produces comma-delimited output file for export to excel.

Analyzes volume by each 30 min period using intraday 30 min bars.  Pro/sid Notes for this Trading System:

Analyzes volume by each 30 min period using intraday 30 min bars.  Pro/sid Rules for this Trading System:

Analyzes volume by each 30 min period using intraday 30 min bars.  Pro/sid Begin event logic:

 

Analyzes volume by each 30 min period using intraday 30 min bars.  Pro/sid Bar event logic:

#  Produces a comma-delimited output file for export to excel
#  Analyzes intraday 30 min bars to output volume by each period for one instrument per run.
#  In excel, you can quickly find average volume by each 30 min period and the % of volume
#  for each period individually and cumulatively.  
#  Provides a reference for heavy or light volume for use intraday.





my $i = 0;
my $VolSubTot = 0;

if (NewDay)
{
	# Accumulate from previous day
	
	# Only accumulate full days; ignore partial days
	if ($Count == 13)
	{
		
		for $i (1 .. 13)
		{
			$VolSubTot = $VolSubTot + Ago(Volume,$i);
		}
		
		$DayCount = $DayCount + 1;
		
		Output
		(	",",
			Date(Ago(DateTime,1)),",",
			$DayCount,",",
			Ago(Volume,13),",",
			Ago(Volume,12),",",
			Ago(Volume,11),",",
			Ago(Volume,10),",",
			Ago(Volume,9),",",
			Ago(Volume,8),",",
			Ago(Volume,7),",",
			Ago(Volume,6),",",
			Ago(Volume,5),",",
			Ago(Volume,4),",",
			Ago(Volume,3),",",
			Ago(Volume,2),",",
			Ago(Volume,1),",",
			$VolSubTot,",",
			Ago(Volume,13)/$VolSubTot,",",
			Ago(Volume,12)/$VolSubTot,",",
			Ago(Volume,11)/$VolSubTot,",",
			Ago(Volume,10)/$VolSubTot,",",
			Ago(Volume,9)/$VolSubTot,",",
			Ago(Volume,8)/$VolSubTot,",",
			Ago(Volume,7)/$VolSubTot,",",
			Ago(Volume,6)/$VolSubTot,",",
			Ago(Volume,5)/$VolSubTot,",",
			Ago(Volume,4)/$VolSubTot,",",
			Ago(Volume,3)/$VolSubTot,",",
			Ago(Volume,2)/$VolSubTot,",",
			Ago(Volume,1)/$VolSubTot
		);
	}
	# Initialize for today
	$Count = 0;
	$VolSubTot = 0;
}



$Count = $Count + 1;

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