ChartIQ | September 22, 2020

Studies for Institutional Traders: A ChartIQ Use Case

Written by Eugene Sorenson

The Problem? Finding Average Volume.

At Cosaic, we are committed to coming up with new ways to work, and to provide software that solves your most difficult problems. Our ChartIQ 8.0 release includes two new studies we’ve built specifically for institutional traders, helping them solve the problem of analyzing intraday volume activity.

As any trader knows, there is a volume smile — due to heavy volume in the morning with a dip mid-day. As the close comes in, the volume rises as traders make new decisions and execute trades on the close. But how can a trader currently analyze and average the volume during the day and project how much volume remains to be traded? If you do a simple average, you get a flat line, which doesn’t help you create a clear picture. That’s why we’ve created the Projected Volume at Time and Projected Aggregate Volume studies.

What is Projected Volume at Time?

Simply put, Projected Volume at Time (PVAT) is a combination of many averages. For example, what is the volume that trades between 9:30 and 9:40 every day for the past ten days, or what is the volume between 9:40 and 9:50 every day for the past ten days?

With the PVAT study, in a ten minute chart, you see an average for each ten minute segment throughout the day. This allows institutional traders to project average volume for each time segment and projection in the future. It also includes an alert that lets traders know when there is unusual volume activity.

It’s a fantastic tool for individual traders, but critical for institutional traders who are trying to execute a large order.

The Projected Volume at Time study displays two lines:

Volume — Vertical bars showing today’s volume for each intraday time segment (standard volume panel).

Average Volume at Time — An overlay of average volume for each time segment based on trading in the past N days. That is, for a 30-minute chart with lookback = 10, the study retrieves and averages the volume for 9:30-10:00, 10:00-10:30, 10:30-11:00, etc. for the past 10 days.

Figure. PVAT study showing trading volume bar graph and moving average line.

Projected Aggregate Volume

The Projected Volume at Time study is complimented by a second study for institutional traders. Projected Aggregate Volume (PAV) is an aggregation of the day’s trading volume up to the current time along, with a projection of the aggregate volume for the remainder of the trading day. The study reveals whether the trend in trading volume is above or below average and provides a forecast of volume for the rest of the day.

This study also has an anchor time. For example, if I get my order at 11:35, that’s my anchor time, from which the chart aggregates volume going forward from that point. Given I have 4.5 hours left in a trading day, what volume is going to be done and what is the likelihood that I can execute a trade of this size without moving price? Again, this is a great tool for an institutional trader.

The Projected Aggregate Volume study displays two lines:

Aggregate Volume — Vertical bars showing the summation of today’s volume up to the current time.

Projected Aggregate Volume — An overlay line showing the average aggregate volume based on trading in the past N days. That is, for a 30-minute chart with lookback = 10, the study retrieves and aggregates the volume for 9:30-10:00, 10:00-10:30, 10:30-11:00, etc. for the past 10 days. The projection shows how much volume trades on average for the time remaining.

Figure. PAV study showing aggregated trading volume bar graph and moving average line.

At Cosaic, we’re busy coming up with new solutions every day to help you shape a new way to work. Our Projected Volume at Time and Projected Aggregate Volume showcase the ways ChartIQ can help institutional traders make faster and better trading decisions.

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