Percent volume by Time Of Day?

Quote from cashonly:

Yes,

That would be excellent!

Thanks
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OK, here's the numbers from 10/1/03 - 11/30/03 using the ESZ03 contract. I added the volumes into 30 min. periods with the % of daily volume per period and % of cummulative daily volume.
 

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Quote from acrary:

OK, here's the numbers from 10/1/03 - 11/30/03 using the ESZ03 contract. I added the volumes into 30 min. periods with the % of daily volume per period and % of cummulative daily volume.
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If you can do separately " % of high of the day completed" in 30 min.periods and "% of low of the day completed " in 30 min.period, in the same manner as you did for a volume, that would be a real treat for everybody who is trying to trade indexes.
Thanks,
Walter
 
Quote from acrary:

OK, here's the numbers from 10/1/03 - 11/30/03 using the ESZ03 contract. I added the volumes into 30 min. periods with the % of daily volume per period and % of cummulative daily volume.
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Thanks acrary!

This is what I was looking for. But I'm a little confused on the times. This is central time?

Also, if it is central time, do you have a number for 0845?

Cash
 
I forget where I picked this tidbit up, but typically:

By 10:30, 25% of the daily volume has been traded
By 11:15, 33% of the daily volume
By 12:15, 50% of the daily volume
By 1:15, 60% of the daily volume
By 2:15, 70% of the daily volume
By 3:15, 90% of the daily volume

Additionally, the first hour and a half, measured against the previous day's prorated total volume, gives a fair estimate of if today's volume will exceed/not exceed yesterday's volume, according to "Trading on Volume" by Donald Cassidy.
 
OK, this is my first post after 2 years of lurking. I have attached an excel summary of 5 stocks 15 min data including volume by time of day.

The columns are as follows:

Time in 15 min segments
15 min volume
15 min volume as % of 20 day average volume
HOD: when that 15 min period includes the high of the day
LOD: when that 15 min period includes the low of the day
HOD%: % of time the high falls in that time segment
HOD Cum %: % of time high has been set by that time segment
LOD%: % of time the low falls in that segment
LOD Cum %: % of time the low has been set by that time segment
Combined: % of time that the high,, low or both has been set by that time segment. Note the calculation for this is 1-((1-HODcum%)*(1-LODCum%)).
Range15: 15 min range in $
Range15%: 15 min range as a % of the 20 day average range
STDEV: standard deviation of the range for each 15 min segment compared to that time segment on all days.
Cum Range: cumulative range in $
Cum range as % of 20 day average range
Lose Zone: this is a cumulative total of whther the opposite "stretch" has been reached by that time segment. If you were to go long at a predetermined point above the open, this field shows whether the same point below the open would have been reached - in other words, if you play an ORB, this shows which time periods provide your losses.
Cum Vol: Cumulative volume by time segment.

There are some interesting things in here. For example, by 11:00, about 70% of the day's range has been eaten up.

The high or low has been set by 10:00 between 48% and 63% of the time.

33% of the day's volume has been traded by 11:00.

The stats are pretty consistent among the stocks.
 

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One of the best exercises you can do is to keep a notebook handy and jot down stats every ten or fifteen minutes. Price, volume, tick, trin, etc. After you do this long enough you will always be aware if the volume is out of line.
 
I just started looking at that yesterday for several small cap stocks. I watched their volume every hour and noticed that after 1 hour they had all three achieved close to one third of their total days volume. That's kind of my goal: see if I can get a rough estimate for total day's volume based on the first hour...
 
Great stuff. Thanks for sharing.

Quote from igrimsley:

OK, this is my first post after 2 years of lurking. I have attached an excel summary of 5 stocks 15 min data including volume by time of day.

The columns are as follows:

Time in 15 min segments
15 min volume
15 min volume as % of 20 day average volume
HOD: when that 15 min period includes the high of the day
LOD: when that 15 min period includes the low of the day
HOD%: % of time the high falls in that time segment
HOD Cum %: % of time high has been set by that time segment
LOD%: % of time the low falls in that segment
LOD Cum %: % of time the low has been set by that time segment
Combined: % of time that the high,, low or both has been set by that time segment. Note the calculation for this is 1-((1-HODcum%)*(1-LODCum%)).
Range15: 15 min range in $
Range15%: 15 min range as a % of the 20 day average range
STDEV: standard deviation of the range for each 15 min segment compared to that time segment on all days.
Cum Range: cumulative range in $
Cum range as % of 20 day average range
Lose Zone: this is a cumulative total of whther the opposite "stretch" has been reached by that time segment. If you were to go long at a predetermined point above the open, this field shows whether the same point below the open would have been reached - in other words, if you play an ORB, this shows which time periods provide your losses.
Cum Vol: Cumulative volume by time segment.

There are some interesting things in here. For example, by 11:00, about 70% of the day's range has been eaten up.

The high or low has been set by 10:00 between 48% and 63% of the time.

33% of the day's volume has been traded by 11:00.

The stats are pretty consistent among the stocks.
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