Top 10 list based on Volume - Wealth Lab Forum

hhashim1

#1

5/7/2014 3:33 PM

I am new to Wealth-Lab and I need help in figuring out how to code my strategy.

I need to create an intraday strategy (10 minute) using a Top 10 list that is based on my Watch list. I have 30 symbols in my watch list and on any given day, I want to start off by having a Top 10 Active Stocks based on my static watch list. I define Active Stocks by comparing their 10 day SMA with 50 day SMA. Whichever SMA is lower is what I use to compare to the intraday volume. The top 10 from this list will be used as a base watch list for additional studies from which I could go Long or Short.

Any help would be greatly appreciated!

Eugene

#2

5/7/2014 5:11 PM

Welcome to the forums Hussain.

How exactly are you making this comparison with the intraday volume? That's not clear.

hhashim1

#3

5/7/2014 7:06 PM

Eugene,

Thanks for your prompt response and your help. I do not know how to compare in Wealth-Lab. Greater than and Less than do not work when comparing the MA's. I come from ThinkorSwim and it is basic math calculation with greater than or less than to compare. Here is what I have so far in Wealth Lab but have not figured out past that.

Here is the code that I have in ThinkorSwim that works. This will give you an understanding of what I am trying to do.

Size:

Color:

Eugene,

Thanks for your prompt response and your help. I do not know how to compare in Wealth-Lab. Greater than and Less than do not work when comparing the MA's. I come from ThinkorSwim and it is basic math calculation with greater than or less than to compare. Here is what I have so far in Wealth Lab but have not figured out past that.

[code]

protected override void Execute(){
			if ( Bars.IsIntraday )
			{
				SetScaleDaily();
				DataSeries SMA1 = SMA.Series( Volume, 10 );
				DataSeries SMA2 = SMA.Series( Volume, 50 ); 
				RestoreScale();
				SMA1 = Synchronize( SMA1 );
				SMA2 = Synchronize( SMA2 );
				
				for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
                                // Loop is for test only to debug the value. Need a better way of doing this.
				{
					if (IsLastPositionActive)
					{
						Position p = LastPosition;
						// exit
					}
					else
					{
						if( (Volume[bar] > SMA1[bar]))
						{
							//BuyAtMarket(bar + 1);
							PrintDebug("SMA10 " + Bars.Symbol + " " + Volume[bar]);							
						}
						else
						{
							PrintDebug("SMA50 " + Bars.Symbol + " " + Volume[bar]);									
						}
					}
				}
			}
		}

[/code]

Here is the code that I have in ThinkorSwim that works. This will give you an understanding of what I am trying to do.
[code]
### Day Aggregation
def vol10 = Average(volume(period = AggregationPeriod.DAY), 10);
def vol50tmp = Average(volume(period = AggregationPeriod.DAY), 50);
def dayvol = volume(period = AggregationPeriod.DAY);
def vol50;

if IsNaN(vol50tmp)
{
    vol50 = vol10;
}
else
{
    vol50 = vol50tmp;
}

def avg = if vol10 < vol50 then vol10 else vol50;

plot scan = (volume / avg) >= 0;
[/code]

Eugene

#4

5/8/2014 2:46 AM

Here's how in C# you can use the ternary operator to compare double values:

The complete code:

hhashim1

#5

5/8/2014 11:10 AM

Eugene,

Thanks for your help. This definitely gets me going in the right direction. I do have a question. How can I get the 10-day and 50-day volume averages? Seems like it is getting a 10 and 50 period average. Since I am running this strategy on a 10 minute chart, the averages are based on 10 minutes rather than daily.

Here is my updated code:

Size:

Color:

Eugene,

Thanks for your help. This definitely gets me going in the right direction. I do have a question. How can I get the 10-day and 50-day volume averages? Seems like it is getting a 10 and 50 period average. Since I am running this strategy on a 10 minute chart, the averages are based on 10 minutes rather than daily.

Here is my updated code:

[code]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			if ( Bars.IsIntraday )
			{
				SetScaleDaily();
				DataSeries smaVol10 = SMA.Series( Volume, 10 );
				DataSeries smaVol50 = SMA.Series( Volume, 50 ); 
				RestoreScale();
				smaVol10 = Synchronize( smaVol10 );
				smaVol50 = Synchronize( smaVol50 );   
				PlotSeries( VolumePane, smaVol10, Color.Red, LineStyle.Solid, 1 );
				PlotSeries( VolumePane, smaVol50, Color.Blue, LineStyle.Solid, 1 );
            
				for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
				{
					if (IsLastPositionActive)
					{
						//code your exit rules here
					}
					else
					{
						//I define Active Stocks by comparing their 10 day SMA with 50 day SMA. Whichever SMA is lower is what I use to compare to the intraday volume.
                  
						double avg = smaVol10[bar] < smaVol50[bar] ? smaVol10[bar] : smaVol50[bar];                  
						if( (Volume[bar] / avg) >= 0 )
						{
							//...
							DateTime lastDate = Date[bar];
							//DrawLabel( PricePane, "Last trading date: " + String.Format( "{0:d}", lastDate ), Color.Black );

PrintDebug(Bars.Symbol + " " + Volume[bar] / avg);
							//Cannot get the below two to display SMA values
							PrintDebug(Bars.Symbol + " SMA 10 = " + String.Format("{0:0.0%}", smaVol10));
							PrintDebug(Bars.Symbol + " SMA 50 = " + smaVol50.ToString());
							PrintDebug(String.Format( "{0:d}", lastDate.ToString() ));
							PrintDebug(" ");
						}
					}
				}
			}
			else
			{
				DrawLabel(PricePane,"For use on intraday data only");
				Abort();
			}
		}
	}
}
[/code]

Cone

#6

5/8/2014 11:43 AM

The moving average volumes are positively daily, but "Volume[bar]" is in the intraday scale because you haven't created a daily Volume series.

Do this and divide dailyVolume by avg in your test.

hhashim1

#7

5/9/2014 11:55 AM

Ok. I am now getting the daily volume and averages. But not at the right time. It seems the volume and the averages are for the previous day. What am I doing wrong?

Here is sample data and code.

Sample:
4/29/2014 3:50:00 PM
Z VAR = 1.33240832410115
Z Volume = 2247047
Z SMA 10 = 1960841.6
Z SMA 50 = 1686455.24

Size:

Color:

Ok. I am now getting the daily volume and averages. But not at the right time. It seems the volume and the averages are for the previous day. What am I doing wrong?

Here is sample data and code.

Sample:
4/29/2014 3:50:00 PM
Z VAR = 1.33240832410115
Z Volume = 2247047
Z SMA 10 = 1960841.6
Z SMA 50 = 1686455.24

[code]

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			if ( Bars.IsIntraday )
			{
				SetScaleDaily();
				DataSeries smaVol10 = SMA.Series( Volume, 10 );
				DataSeries smaVol50 = SMA.Series( Volume, 50 ); 
				DataSeries dailyVolume = Volume;
				RestoreScale();
				smaVol10 = Synchronize( smaVol10 );
				smaVol50 = Synchronize( smaVol50 );   
				dailyVolume = Synchronize( dailyVolume ); 
            
				for(int bar = GetTradingLoopStartBar(0); bar < Bars.Count - 1; bar++)
				{
					if (IsLastPositionActive)
					{
						//code your exit rules here
					}
					else
					{
						//I define Active Stocks by comparing their 10 day SMA with 50 day SMA. Whichever SMA is lower is what I use to compare to the intraday volume.
                  
						double avg = smaVol10[bar] < smaVol50[bar] ? smaVol10[bar] : smaVol50[bar];                  
						if( (dailyVolume[bar] / avg) >= 0 )
						{
							//...
							PrintDebug(" ");
							DateTime lastDate = Date[bar];
							PrintDebug(String.Format( "{0:d}", lastDate.ToString() ));
							//DrawLabel( PricePane, "Last trading date: " + String.Format( "{0:d}", lastDate ), Color.Black );

PrintDebug(Bars.Symbol + " VAR = " + dailyVolume[bar] / avg);
							PrintDebug(Bars.Symbol + " Volume = " + dailyVolume[bar]);
							PrintDebug(Bars.Symbol + " SMA 10 = " + smaVol10[bar]);
							PrintDebug(Bars.Symbol + " SMA 50 = " + smaVol50[bar]);
						}
					}
				}
			}
			else
			{
				DrawLabel(PricePane,"For use on intraday data only");
				Abort();
			}
		}
	}
}
[/code]

Eugene

#8

5/9/2014 12:46 PM

Of course you're getting them for the previous, complete day. The current session has not ended yet. And you have not mentioned before that any value should represent the today's incomplete bar that can change during the day, isn't it?

hhashim1

#9

5/9/2014 12:51 PM

Please see my first post when I mentioned I want to compare average volume to intraday volume. Anyways, is it possible to get the intraday Volume for what I am trying to accomplish?

hhashim1

#10

5/9/2014 1:15 PM

Eugene,

I found a Wiki page that has a sample code for intraday volume. However, I need to download and install the Community Indicators and Components. I am a demo user. How can I download these extensions to be able to do what I am trying?

Here is the Wiki page if you are interested.

http://www2.wealth-lab.com/WL5Wiki/CIV.ashx

Eugene

#11

5/9/2014 2:41 PM

It turned out that your specification in post #3 was misleading. Please clarify what intraday volume do you mean exactly, and which parts of the code should be modified.

hhashim1

#12

5/9/2014 4:14 PM

I want to run my strategy on a 10 minute scale and compare intraday volume(todays volume during open market) to lets say 10 day SMA. Hope this helps.

Eugene

#13

5/9/2014 5:27 PM

If it only takes replacing the Daily volume with today's incomplete volume, then instead of CIV you could simply sum all volume up to the current bar. I think this is going to do the trick:

EDIT: code updated, fixed 2 errors

Size:

Color:

If it only takes replacing the Daily volume with today's incomplete volume, then instead of CIV you could simply sum all volume up to the current bar. I think this is going to do the trick:

[b]EDIT: [/b]code updated, fixed 2 errors

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			if ( Bars.IsIntraday )
			{
				SetScaleDaily();
				DataSeries smaVol10 = SMA.Series( Volume, 10 );
				DataSeries smaVol50 = SMA.Series( Volume, 50 ); 
				RestoreScale();
				smaVol10 = Synchronize( smaVol10 );
				smaVol50 = Synchronize( smaVol50 );   
            
				DataSeries todVol = Close*0;
				ChartPane v = CreatePane(30,true,true);
				double sv = 0;
				PlotSeries(v, todVol, Color.Black, WealthLab.LineStyle.Histogram, 3 );

for(int bar = GetTradingLoopStartBar(0); bar < Bars.Count; bar++)
				{
					if (Bars.IntradayBarNumber(bar) == 0)
						sv = Volume[bar];
					else
						sv += Volume[bar];
				
					todVol[bar] = sv;
					
					if (IsLastPositionActive)
					{
						//code your exit rules here
					}
					else
					{
						//I define Active Stocks by comparing their 10 day SMA with 50 day SMA. Whichever SMA is lower is what I use to compare to the intraday volume.
                  
						double avg = smaVol10[bar] < smaVol50[bar] ? smaVol10[bar] : smaVol50[bar];                  
						if( (todVol[bar] / avg) >= 0 )
						{
							//...
							PrintDebug(" ");
							DateTime lastDate = Date[bar];
							PrintDebug(String.Format( "{0:d}", lastDate.ToString() ));
							//DrawLabel( PricePane, "Last trading date: " + String.Format( "{0:d}", lastDate ), Color.Black );

PrintDebug(Bars.Symbol + " VAR = " + todVol[bar] / avg);
							PrintDebug(Bars.Symbol + " Volume = " + todVol[bar]);
							PrintDebug(Bars.Symbol + " SMA 10 = " + smaVol10[bar]);
							PrintDebug(Bars.Symbol + " SMA 50 = " + smaVol50[bar]);
						}
					}
				}
			}
			else
			{
				DrawLabel(PricePane,"For use on intraday data only");
				Abort();
			}
		}
	}
}[/code]

hhashim1

#14

5/9/2014 5:51 PM

I can see how this should work but for whatever reason I am not getting the correct volume. I modified the code to run on just one stock (Z). Here is the sample. Today's volume for Z is 1,875,360 (excluding any after market volume). According to the debug data, the final volume is 1441747 which is incorrect. Thoughts?

Sample:
sv = 1283359
5/9/2014 3:50:00 PM
Z Volume = 1283359

sv = 1441747
5/9/2014 4:00:00 PM
Z Volume = 1441747

Size:

Color:

I can see how this should work but for whatever reason I am not getting the correct volume. I modified the code to run on just one stock (Z). Here is the sample. Today's volume for Z is 1,875,360 (excluding any after market volume). According to the debug data, the final volume is 1441747 which is incorrect. Thoughts?

[b][u]Sample[/u][/b]:
sv = 1283359
5/9/2014 3:50:00 PM
Z Volume = 1283359
 
sv = 1441747
5/9/2014 4:00:00 PM
Z Volume = 1441747

[code]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;				// You must install this extension
using Community.Indicators;				// You must install this extension

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		StrategyParameter _days;
		
		public MyStrategy()
		{
			_days = CreateParameter("Days", 10, 2, 25, 1);
		}
		protected override void Execute()
		{
			if ( Bars.IsIntraday )
			{
				
				
				DataSeries todVol = Close*0;
				double sv = 0;
				Utility u = new Utility( this );		// Intraday support functions here
			
				int startTime = 0001;
				//int stopTime = String.Format( "{0:i}", Bars);
				int stopTime = 2100;
				//PrintDebug(stopTime);
			
			
				//int days = _days.ValueInt;
				//double avgV = 0d;			
			
				// Create a cumulative volume indicator for the intraday period (Community.Indicators)
				//DataSeries civ = CIV.Series(Bars, startTime, stopTime);	
				//Abort();
				
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					//code your exit rules here
				}
				else
				{
						//code your entry rules here	
						if (Bars.IntradayBarNumber(bar) == 0)
							sv = 0;
						else
							sv += Volume[bar];
						
						PrintDebug("sv = " + sv);
            
						todVol[bar] = sv;
						DateTime lastDate = Date[bar];
						PrintDebug(String.Format( "{0:d}", lastDate.ToString() ));
						//PrintDebug(Bars.Symbol + " VAR = " + todVol[bar] / avg);
						PrintDebug(Bars.Symbol + " Volume = " + todVol[bar]);
					//	PrintDebug(Bars.Symbol + " SMA 10 = " + smaVol10[bar]);
					//	PrintDebug(Bars.Symbol + " SMA 50 = " + smaVol50[bar]);
						PrintDebug(" ");
					}
				}
			}
		}
	}
}[/code]

Eugene

#15

5/10/2014 1:03 AM

My code sums up the volume from intraday bars directly. If you're looking at the Daily volume, then you're comparing apples and oranges.

hhashim1

#16

5/10/2014 1:05 AM

Help me understand this. Why would the sum of the volume from intraday bars be different than daily volume of the same day?

Eugene

#17

5/10/2014 1:54 AM

There were two coding glitches that made it discard the first and the last bar's volume.

1. There was one error in my code above [edited], making it drop the first intraday bar's volume:

Replace it as follows and the resulting number will be correct:

2. Another error that I "borrowed" by copying and pasting your code that came unnoticed [edited] lead to excluding the last bar's volume:

Replace:

Hope this helps.

This is a question for data vendors. Explained in detail here:

43.7 - Comparing Daily Volume to Intraday Chart Bar Volume

hhashim1

#18

5/12/2014 10:26 AM

Much better now :-). I did realize that the script is not taking into account Pre-Market and Post-Market data and therefore the volume is a bit off from the total daily volume. Is there a way to include Pre and Post Market Volume? I tried looking at the QuickRef but I did not find anything for Pre and Post Market. Can you help me?

Eugene

#19

5/12/2014 11:25 AM

On your intraday setup? I'd say no, if Fidelity's static intraday data does not include pre/after-market volume.

hhashim1

#20

5/12/2014 1:09 PM

Ok Thanks. I have added the 10 day and 50 day SMA back into the script and I am now getting errors again. Here is the error I get from just the section on the bottom. I have added the top of the function to show where the calls are in the function. smaVol10 and smaVol50

Error:
Error processing symbol Z Index was out of range. Must be non-negative and less than the size of the collection.
Parameter name: index

hhashim1

#21

5/12/2014 1:38 PM

Please disregard the previous post. I think I figured out the problem. Has to do with the date range I have set. I am assuming not enough days for 50 day SMA.

hhashim1

#22

5/12/2014 3:06 PM

Eugene, now that I have the SMA's and intraday volume working, how can I put Top 10 symbols in a list and use this list as a base for the next strategy? Or can I add all of the symbols from my watch list into a list and sort the list with Sort ID? Then I can get the top 10 from this list based on the Top 10 Sort ID's.

Eugene

#23

5/13/2014 2:06 AM

For example, here's how:

Size:

Color:

For example, here's how:
[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using System.Net;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		public double GetPartialBarVolume(string symbol)
		{
			double vol = 0;
			string URI = string.Format( @"http://download.finance.yahoo.com/d/quotes.csv?s={0}&f=v&e=.csv", symbol );
			WebClient w = new WebClient();
			string v = w.DownloadString(URI);
			if (!String.IsNullOrEmpty(v))
			{
				double.TryParse(v, out vol);
				return vol;
			}
			else
				return vol;
		}
		
		protected override void Execute()
		{
			if (!Bars.IsIntraday)
			{
				DrawLabel(PricePane,"For use on intraday data only");
				Abort();
			}
			
			List<Tuple<string,double>> lst = new List<Tuple<string,double>>();
			ClearDebug();
			
			for(int n = 0; n < DataSetSymbols.Count; n++)
			{
				SetContext( DataSetSymbols[n], true );
				
				SetScaleDaily();
				DataSeries smaVol10 = SMA.Series( Volume, 10 );
				DataSeries smaVol50 = SMA.Series( Volume, 50 ); 
				RestoreScale();
				smaVol10 = Synchronize( smaVol10 );
				smaVol50 = Synchronize( smaVol50 );   
				
				double sv = 0;
				DataSeries todVol = Close*0;

for(int bar = GetTradingLoopStartBar(0); bar < Bars.Count; bar++)
				{
					if (Bars.IntradayBarNumber(bar) == 0)
						sv = Volume[bar];
					else
						sv += Volume[bar];
            
					todVol[bar] = sv;
               
					//I define Active Stocks by comparing their 10 day SMA with 50 day SMA. Whichever SMA is lower is what I use to compare to the intraday volume.
                  
					if( bar == Bars.Count-1 ) // last bar
					{
						double avg = smaVol10[bar] < smaVol50[bar] ? smaVol10[bar] : smaVol50[bar];                  
						if( (todVol[bar] / avg) >= 0 )
						{
							lst.Add( new Tuple<string,double>(Bars.Symbol, todVol[bar] / avg) );
						}
					}					
				}
			}
			RestoreContext();
			
			lst.Sort((a, b) => a.Item2.CompareTo(b.Item2));
			lst.Reverse();
			foreach (var sym in lst)
			{
				PrintDebug(sym);
			}
		}
	}
}[/code]