Measuring Market Index Volume - Aussie Stock Forums

# Thread: Measuring Market Index Volume

1. ## Measuring Market Index Volume

I am inquiring about what are the down falls of calculating a volume estimate for the ASX 50 by taking the minute price and volume for each stock in the ASX50 and then adding it up.
For e.g. 10.34am BHP calculate the average price for the minute bar = (H+L+C)/3
then multiply it by the volume = 35.30 x 5300 shares = \$187,00
after adding up all the 50 companies you have a bar of \$5 million

Then you take all these bars and to produce volume chart for the ASX 50.

So far they have produced interesting results:

on Wednesday 14 September the spread was quite even.
914.png

on Thursday 15 September was unusual as the opening volumes were enormous
915.png

on Friday 16 September it followed the common afternoon lull
916.png

note I removed the 4.10pm volumes because they so much larger they made it difficult to read the other bars.
The X axis is minutes since 10.00 am

Sorry about the columns plotted using a light colour.

2. ## Re: Measuring Market Index Volume

Originally Posted by tminus
I am inquiring about what are the down falls of calculating a volume estimate for the ASX 50 by taking the minute price and volume for each stock in the ASX50 and then adding it up.
For e.g. 10.34am BHP calculate the average price for the minute bar = (H+L+C)/3
then multiply it by the volume = 35.30 x 5300 shares = \$187,00
after adding up all the 50 companies you have a bar of \$5 million

Then you take all these bars and to produce volume chart for the ASX 50.

So far they have produced interesting results:

on Wednesday 14 September the spread was quite even.
914.png

on Thursday 15 September was unusual as the opening volumes were enormous
915.png

on Friday 16 September it followed the common afternoon lull
916.png

note I removed the 4.10pm volumes because they so much larger they made it difficult to read the other bars.
The X axis is minutes since 10.00 am

Sorry about the columns plotted using a light colour.
First of all, what you're calculating is val not vol.
Yes vol is huge in the morning, fades into lunch, picks up again afterwards and runs into the close. A nice looking y=x^2 parabola

As to downfalls... why are u calculating the vol/val? It looks fine, but are you going to include special condition trades? eg portfolio crossings etc

3. ## Re: Measuring Market Index Volume

Originally Posted by skyQuake
First of all, what you're calculating is val not vol.
Yes you are right it's value, but I am intending it to use it like volume, with respect to Volume Spread Analysis.

As to downfalls... why are u calculating the vol/val? It looks fine, but are you going to include special condition trades? eg portfolio crossings etc
It's mainly for day trade scalping. So using it as indicator to find when reversals might occur in the ASX50 and then finding stocks that similarly are approaching their support/resistance areas.

4. ## Re: Measuring Market Index Volume

Why dont you just use XFL
ASX 50?

5. ## Re: Measuring Market Index Volume

Originally Posted by tech/a
Why dont you just use XFL
ASX 50?
Thanks, I didn't realise the ASX50 was the XFL and was available on IB.