Comparing Volume from the Same Time of Day

[jdrobinson81]

Hi,

I'm trying to build an indicator which gathers volume data to compare to the closing bar, but the catch is that I only want to compare volume from the same time of day. Since volume varies throughout the day, I don't want to compare a bar in an after hours session to a regular market session because the comparison is not valid.

i.e. volume at 12 AM should be compared to volume in prior session at 12 AM

I tried to do it like this, but it didn't work. I need to get an array of volumes with 30 or more elements from the same time of day. The main problem seems to be an inability to grab Time[i] for N bars back.

double[] volume = new double[30];

if (CurrentBar > 30)
{
for (int i = 0; i < 30; i++)
{
if (Volume[i] > 0 && Time[i].ToShortTimeString() == Time[0].ToShortTimeString())
{
volume[i] = Volume[i];
}
}
}

[praiz]

How about doing a simple date subtract? I am assuming you want the volume 24 hours ago.

VOL()[CurrentBar - Bars.GetBar(Time[0].AddHours(-24))] will get you the volume from the bar 24 hours ago. Will not work on Mondays or if you do not load more than a day's worth of historical data.

Hope it helps.

[jdrobinson81]

Thank you!

I got your solution to work. This code will look back the required number of bars to get 30 data points and only compares volume from the same time of day. Only negative is that I have to load quite a bit of data for it to work.

if (CurrentBar > (380 / BarsPeriod.Value)*31)
{
for (int i = 1; i < 1000; i++)
{
if (VOL()[CurrentBar - Bars.GetBar(Time[0].AddHours(-24*i))] > 0)
{
volume[counter] = VOL()[CurrentBar - Bars.GetBar(Time[0].AddHours(-24*i))];
counter = counter + 1;

if (counter == 30)
{
break;
}
}
}