• Australian (ASX) Stock Market Forum

Measuring Market Index Volume

Discussion in 'Trading Strategies/Systems' started by tminus, Sep 24, 2011.

  1. tminus

    tminus

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    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. skyQuake

    skyQuake

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    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. tminus

    tminus

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    Yes you are right it's value, but I am intending it to use it like volume, with respect to Volume Spread Analysis.

    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. tech/a

    tech/a No Ordinary Duck

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    Why dont you just use XFL
    ASX 50?
     
  5. tminus

    tminus

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    Thanks, I didn't realise the ASX50 was the XFL and was available on IB.
     
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