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Do to widespread requests and in the spirit of RT and commraderie here are
two formulas I am using for total flow rate and net flow rate. Nothing
earth shaking except the technique of a psuedo derivative. There may be
better ways to calculate this. This code may infact have errors. Bells
and whistles can be added. Any RTer is welcome to continue the development
of this, as an RT project perhaps, and share their progress, results,
trading techniques with the rest of us.
Apply the Flow Rate indicator to nyse total volume on a two minute chart.
Basically what it does is take the change in total volume five 2 minute
bars apart, set by L1. Then it divides by,ten, set by L2, to get the flow
rate in terms of shares per minute. If you look at the BMI data feed for
@NVT you find that the reporting is mostly once per minute, sometimes 2
minutes. Using five two minute bars and dividing by ten gives an average
flow rate and seems to provide the picture I was after.
What I was looking for in the rate of change of total volume was an optimum
time to enter/exit an option or futures trade. TICK is often used which
measures the issues in reference to their last trade. I needed something
for volume besides a net difference between uvol and dvol. I wanted to
know how fast volume is changing. Also I wanted to see the character of
the flow at different times during the day. There are some interesting
patterns. This idea was stimulated by an eminent tape reader by the name
of Marc Clemons who reads the tape in terms of amplitude and velocity. His
contention was that it took 1 million shares per minute to sustain a trend.
Dick Byrd brought up the issue of the differential flow rate of up volume
and down volume so the Flow Rate Net Absolute, FRNA, was thrown together.
It does something similar but provides a directional bias and can be used
in conjunction with RSI on the PRICE chart.
John Boggio suggested using RSI on the price in conjunction with the flow
rate.
{FlowRate, apply to @NVT to find shares per minute in millions}
-----------------------------------
INPUTS: L1(5),L2(10);
VALUE1=(CLOSE-CLOSE[L1])/L2;
VALUE2=AbsValue(Value1);
PLOT1(VALUE2,"");
------------------------------------
{Flow Rate Net Absolute, FRNA. Apply this to @UVOL and @DVOL to find the
net flow rate of up volume and down volume}
-------------------------------
INPUTS: L1(5),L2(10),M(3),N(4);
VALUE1=(AbsValue(CLOSE OF DATA(M) - CLOSE[L1] OF DATA(M))/L2 -
AbsValue(CLOSE OF DATA(N) - CLOSE[L1] OF DATA(N))/L2);
PLOT1(VALUE1,"");
----------------------------
Attached is a chart from 10/22.
Attachment Converted: "c:\eudora\attach\TP1022.gif"
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