2.2.9. Projected trade volume
Informations about trade volume can help to identify consistent or speculative movements. However, the stock exchanges just inform the actual value, being important dimensioning correspondent volume to the end of day.
For final volume projection, can be used the volume negotiated until the moment. However, exists volume concentrantions in specific moments, which can distort the projected volume. This way, its important acquire sensitivity to the variations of the projected volume, in a way to interpret correctly what its mean.
In example, in the market or exchange opening, there's a bussines concentration. Thus, the projected volume based in the first minutes it is superdimensioned. This event, however, occur all days and its frequently observation is what allows to undesrtood correclty the project volume.
Also to ease the analisys, can be implemented a chart analisys of the projected volume, by using a time series through a data collector.
Example of a time chart for projected volume
(Note: 'Volume Projetado': Projected Volume; 'Hora': Hour;)
The volume projection method must consider the working time of the exchanges, including the midday interval, if exists. In case of existing interval or expressive fall of an asset negotiation during the midday interval, this must be decuted from the exchange total time, that is, accounted as an interruption on negotiations.
2.2.9.1. Function CC.VOLPROj
Access:
- Menu - Insert | Function | Calculus
 - Toolbar Default | Calculus
Description:
Returns the projected volume for an asset (exchange, future, actions etc.) based in the exchange working time. Allows to deduct the midday interval, if it exists, for volume projecting.
Call: CC.VOLPROJ ( Time Now, Volume Now, Trade Start, Trade End, Lunch Break, Noon Restart)
Argument |
Type |
Description |
Time Now |
time |
Time now using hh:mm:ss (24H) format that represents present volume.
|
Volume Now |
long integer |
Asset trade volume till now (stocks, futures, forwards etc.).
|
Trade Start |
time |
Time in hh:mm:ss (24H) format showing first moment of asset trade.
|
Trade End |
time |
Time in hh:mm:ss (24H) format showing first moment of asset trade.
|
Lunch Break |
time |
Optional. Time in hh:mm:ss (24H) format showing morning break for lunch if volume stops at that time.
|
Noon Restart |
time |
Optional. Time in hh:mm:ss (24H) format showing re-start after lunch time if volume stops at that time.
|
The result for projected volume is:
- Projected Volume: considering T the total period of trade works, deducted the midday interval, if it exist, VAtual the negotiated asset's volume until the moment tAtual from the trade begining, also deducted the interval, if it exist, have:
- Projected Volume:
Important:
If exist an expressive fall in the negotiated volume during an interval, this must be informed for that be deducted and does not occur distortions on the projected volume!
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Example using deducted interval:
This is the most commom case, where the midday interval its considered an interruption on negotiations. The volume now makes reference to the negotiated volume in trade until the time now.
- Time now 12:00:00 hs
- Volume now 200,000,000
- Trade start (begining of relevant negotiations) 10:00:00 hs
- Trade end 17:00:00 hs
- Lunch Break (interval start) 13:00:00 hs
- Noon restart(interval end) 14:00:00 hs
= CC.VOLPROJ( 12:00:00, 200000000, 10:00:00, 17:00:00, 13:00:00 , 14:00:00)
Results:
Considering the interval, the total negotiations period its 6 hours, being that after 2 hours was negotiated 200,000,000, projecting, so, for the exchange a total financial volume of 600,000,000 for 17:00.
Example not using interval:
The interval must be accounted if does not have reduction on the negotiated volume, or because the asset does not have midday interval or because other negotiation ways contribute for volume's maintenance. A simple example its of an asset negotiated in a stock exchange pitch, with midday interval but with eletronic trade which keeps the negotiated volume.
This example apply to future contracts with strong negotiation on eletronic market.
- Time now 12:00:00 hs
- Volume now 50.000
- Trade start (begining of relevant negotiations) 10:00:00 hs
- Trade end 16:00:00 hs
= CC.VOLPROJ( 12:00:00, 50000, 10:00:00, 16:00:00)
Results:
The total interval its 6 hours, by uninterrupted negotiation, projecting for the future contract a total volume of 150,000 bussines for the end of day.
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