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.
on Thursday 15 September was unusual as the opening volumes were enormous
on Friday 16 September it followed the common afternoon lull
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.