Working with Futures Volume data

[zol]

Dear All,


I am having esignal On-Demand and work heavily with Volume data. There are some things I want to achieve but my knowledge of programming is near to zero.
I am aware of the daily Volume display of esignal on futures and I am sure anything can be programed by the users.

I would greatly appreciate some help with my following projects:

1. With this attached script I wish to achive that on the daily futures chart the Combined Volue of the instrument is displayed. It works so far but I want the color to be based on the close price of the continous contract compared to the previous close. That does not seem to work.

2. I would also like to have this script combined with the Cumulative Volume sript so, that the last day Volume will be calculated as the cumulative Volume of the lover timeframe, as intraday Volume is avaliable. I am aware of this as being an estimate. I am having difficulties with this task.

3. I would like to be able to see Volume on the daily spot FX charts, so that the cumulated intraday Volume is displayed for each bar. I know this is not real volume. It is not real intraday either.

I am having a hard time with scripting in general but I believe the above can be done easily to someon with experience. I wellcome any help and am greatful for it.

Kind Regards

Zol

[waynecd]

Zol,

Below I address your first request as to why the script doesn't work (see notes). The enclosed scripts are two ways to make your original script work.
I don't understand what you are asking in question 2 since the daily volume is by definition the cumulative intraday volume (at least as I understand it).
I don't trade FX so I can't test against FX charts or data. So, at least for question 1, here is my input.

//method1
var fpArray = new Array ();

function preMain() {
    
    setStudyTitle("Daily Futures Combined Volume");
    setCursorLabelName("Volume");
    setShowTitleParameters(false);
    setPlotType(PLOTTYPE_HISTOGRAM);
    setIntervalsBackfill(true);
   
     var x = 0;
    fpArray[x] = new FunctionParameter("VSymbol", FunctionParameter.STRING);
    with(fpArray[x++]){//from what I can tell you only need one symbol definition
        setDefault(getSymbol ());
    }
    var fp1 = new FunctionParameter("UpColor", FunctionParameter.COLOR);
        fp1.setName("Up Color");
        fp1.setDefault(Color.green);
    var fp2 = new FunctionParameter("DnColor", FunctionParameter.COLOR);
        fp2.setName("Down Color");
        fp2.setDefault(Color.red);
    var fp3 = new FunctionParameter("Thick", FunctionParameter.NUMBER);
        fp3.setName("Thickness");
        fp3.setDefault(3);
    var fp4 = new FunctionParameter("sOption", FunctionParameter.STRING);
        fp4.setName("Display Option");
        fp4.addOption("Based on Previous Vol Bar");
        fp4.addOption("Based on Current Price Bar");
        fp4.setDefault("Based on Current Price Bar");//note: the script only uses Price data and no volume
}

var bInit = false;
var nDisplay = 2;  // 1 = Prev Vol Bar,  2 = Cur Price Bar

function main(VSymbol, UpColor, DnColor, Thick, sOption) {
    if (isDaily() == false) {
        if (bInit == false) {
            addEntitlement("DailyFutVolume123", "This study requires a dialy interval");
            bInit = true;
        }
        return;
    }
    
    if (bInit == false) {
        setDefaultBarThickness(Thick);
        if (sOption == "Based on Previous Vol Bar") nDisplay = 1;
        else nDisplay = 2;
        bInit = true
    }
    
    var nVol_0 = close (-1, sym(VSymbol));//index values are negative
    var nVol_1 = close (0, sym(VSymbol));//use the sym() function see "close" in KB
    
    if (nDisplay == 1) {
        if (nVol_0 >= nVol_1) setBarFgColor(UpColor);
        else setBarFgColor(DnColor);
    } else {
        if (nVol_1 >= nVol_0) setBarFgColor(UpColor);
        else setBarFgColor(DnColor);
    }
    
    return nVol_0;//note: this returns the previous volume not the current vol
} 

//method2
var fpArray = new Array ();

function preMain() {
    
    setStudyTitle("Daily Futures Combined Volume");
    setCursorLabelName("Volume");
    setShowTitleParameters(false);
    setPlotType(PLOTTYPE_HISTOGRAM);
    setIntervalsBackfill(true);
   
    var x = 0;
    fpArray[x] = new FunctionParameter("VSymbol", FunctionParameter.STRING);
    with(fpArray[x++]){//from what I can tell you only need one symbol definition
        setDefault(getSymbol ());
    }
    var fp1 = new FunctionParameter("UpColor", FunctionParameter.COLOR);
        fp1.setName("Up Color");
        fp1.setDefault(Color.green);
    var fp2 = new FunctionParameter("DnColor", FunctionParameter.COLOR);
        fp2.setName("Down Color");
        fp2.setDefault(Color.red);
    var fp3 = new FunctionParameter("Thick", FunctionParameter.NUMBER);
        fp3.setName("Thickness");
        fp3.setDefault(3);
    var fp4 = new FunctionParameter("sOption", FunctionParameter.STRING);
        fp4.setName("Display Option");
        fp4.addOption("Based on Previous Vol Bar");
        fp4.addOption("Based on Current Price Bar");
        fp4.setDefault("Based on Current Price Bar");
 }
var nDisplay = 2;// 1 = Prev Vol Bar,  2 = Cur Price Bar
var bInit = false;
var Close;//added to create a series of the close for the selected "VSymbol"
function main(VSymbol, UpColor, DnColor, Thick, sOption) {
    if (isDaily() == false) {
        if (bInit == false) {
            addEntitlement("DailyFutVolume123", "This study requires a dialy interval");
            bInit = true;
        }
        return;
    }
    if (bInit == false) {
        setDefaultBarThickness(Thick);
        if (sOption == "Based on Previous Vol Bar") nDisplay = 1;
        else nDisplay = 2;
        Close = close(sym(VSymbol));//use the sym() function.  See "close" in KB
        bInit = true
    }
    
    if (nDisplay == 1) {
        if (Close.getValue(-1) >= Close.getValue(0)) setBarFgColor(UpColor);
        else setBarFgColor(DnColor);
    } else {
        if (Close.getValue(0) >= Close.getValue(-1)) setBarFgColor(UpColor);
        else setBarFgColor(DnColor);
    }
    
    return Close.getValue(-1);//note: this returns the previous volume not the current vol
} 

Wayne

[zol]

Hello Wayne

Thank you so much that you have taken the time for this. I will now have a look and try to learn so next time i can make use of your input.
Regarding the combined Volume you are right - as far as stocks go.
For FX, however, there is intraday volue provided (as tick Volume) but it is not cumulated for the daily bars.
For futures, the daily Volume data is not provided as the cumulated intraday Volume, rather as the reported daily Volume from the exchange. That comes a day later so there is a one day delay in the daily Volume data.

There is a script avaliable, which provides the cumulated intraday data on the intraday charts. Sadly, I am unable to make this information visible on the daily charts. That was somehow meant to be question 2 and 3.

I actually am able to use the 4H charts or even a chart with 1440 min timeframe. These are good enough. I also use the ETF stocks for comodities and major currencies to reveal unusual activities.

Thank you once again your help. it pushed me forward.

Kind Regards

Zol

[waynecd]

Hi Zol,

Glad to hear it.

Wayne

[futurenets]

also note that daily volume for US futures is one day behind.
also note that with FX a new day starts at 17:00 GMT-5
volume for intraday should be current

[waynecd]

Thanks,

also note that daily volume for US futures is one day behind.
also note that with FX a new day starts at 17:00 GMT-5
volume for intraday should be current

Wayne