Supported Indicators

Relative Daily Volume

Introduction

The Relative Daily Volume indicator is an indicator that compares current cumulative volume to the cumulative volume for a given time of day, measured as a ratio. Current volume from open to current time of day / Average over the past x days from open to current time of day

To view the implementation of this indicator, see the LEAN GitHub repository.

Using RDV Indicator

To create an automatic indicators for RelativeDailyVolume, call the RDV helper method from the QCAlgorithm class. The RDV method creates a RelativeDailyVolume object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initialize method.

public class RelativeDailyVolumeAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private RelativeDailyVolume _rdv;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _rdv = RDV(_symbol, 2);
    }

    public override void OnData(Slice data)
    {
        if (_rdv.IsReady)
        {
            // The current value of _rdv is represented by itself (_rdv)
            // or _rdv.Current.Value
            Plot("RelativeDailyVolume", "rdv", _rdv);
            
        }
    }
}
class RelativeDailyVolumeAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.rdv = self.RDV(self.symbol, 2)

    def OnData(self, slice: Slice) -> None:
        if self.rdv.IsReady:
            # The current value of self.rdv is represented by self.rdv.Current.Value
            self.Plot("RelativeDailyVolume", "rdv", self.rdv.Current.Value)
            

The following reference table describes the RDV method:

RDV()1/1

            RelativeDailyVolume QuantConnect.Algorithm.QCAlgorithm.RDV (
    Symbol                            symbol,
    *Int32                            period,
    *Resolution                       resolution,
    *Func<IBaseData, TradeBar>  selector
   )
        

Creates an RelativeDailyVolume indicator for the symbol. The indicator will be automatically updated on the given resolution.

If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.

For more information about the selector argument, see Alternative Price Fields.

For more information about plotting indicators, see Plotting Indicators.

You can manually create a RelativeDailyVolume indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.

Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Update method with a TradeBar. The indicator will only be ready after you prime it with enough data.

public class RelativeDailyVolumeAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private RelativeDailyVolume _rdv;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _rdv = new RelativeDailyVolume(2);
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
        {      
            _rdv.Update(bar);
        }
    
        if (_rdv.IsReady)
        {
            // The current value of _rdv is represented by itself (_rdv)
            // or _rdv.Current.Value
            Plot("RelativeDailyVolume", "rdv", _rdv);
            
        }
    }
}
class RelativeDailyVolumeAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.rdv = RelativeDailyVolume(2)

    def OnData(self, slice: Slice) -> None:
        bar = slice.Bars.get(self.symbol)
        if bar:
            self.rdv.Update(bar)
                
        if self.rdv.IsReady:
            # The current value of self.rdv is represented by self.rdv.Current.Value
            self.Plot("RelativeDailyVolume", "rdv", self.rdv.Current.Value)
            

To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.

public class RelativeDailyVolumeAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private RelativeDailyVolume _rdv;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _rdv = new RelativeDailyVolume(2);
        RegisterIndicator(_symbol, _rdv, Resolution.Daily);
    }

    public override void OnData(Slice data)
    {
        if (_rdv.IsReady)
        {
            // The current value of _rdv is represented by itself (_rdv)
            // or _rdv.Current.Value
            Plot("RelativeDailyVolume", "rdv", _rdv);
            
        }
    }
}
class RelativeDailyVolumeAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.rdv = RelativeDailyVolume(2)
        self.RegisterIndicator(self.symbol, self.rdv, Resolution.Daily)

    def OnData(self, slice: Slice) -> None:
        if self.rdv.IsReady:
            # The current value of self.rdv is represented by self.rdv.Current.Value
            self.Plot("RelativeDailyVolume", "rdv", self.rdv.Current.Value)
            

The following reference table describes the RelativeDailyVolume constructor:

RelativeDailyVolume()1/2

            RelativeDailyVolume QuantConnect.Indicators.RelativeDailyVolume (
    *int  period
   )
        

Initializes a new instance of the RelativeDailyVolume class using the specified period.

RelativeDailyVolume()2/2

            RelativeDailyVolume QuantConnect.Indicators.RelativeDailyVolume (
    string  name,
    int     period
   )
        

Creates a new RelativeDailyVolume indicator with the specified period.

Visualization

The following image shows plot values of selected properties of RelativeDailyVolume using the plotly library.

RelativeDailyVolume line plot.

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