For each bar, calculates the average trading volume over the last x trading sessions during this time of day.
Plots the average for this time period of the day and overlays the current trading volume.
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For example, say you apply it to a 10 min ES chart with Length set to 20 days.
Lets look at the calculation for the 9:00-9:10 bar. The study will look at the trading volume over the last 20 days between 9:00 and 9:10. Using these last 20 days, it will calculate the average volume.
The study will then plot this average and on top of it plot the current volume.
Its then easy to see if the current trading volume is above or below the average and get a feel for the magnitude.
Volume vs. Number of Trades
The study includes a Data setting that allows the user to select the trading volume in one of two ways:
Volume - the total quantity that has turned over
Number of Trades - the number of trades transacted
Cumulate vs. Individual
The study supports two modes: individual and cumulative.
Individual: each bar is averaged independently for its time period.
Cumulative: the total trade volume is summed since the beginning of the session. This presents a view of the total traded volume since the beginning of the trading session. One could use this to total volume today vs. the average over the last x sessions.