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 indicator for RelativeDailyVolume, call the RDVrdv helper method from the QCAlgorithm class. The RDVrdv 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 Initializeinitialize 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.add_equity("SPY", Resolution.DAILY).symbol
        self._rdv = self.rdv(self._symbol, 2)

    def on_data(self, slice: Slice) -> None:

        if self._rdv.is_ready:
            # The current value of self._rdv is represented by self._rdv.current.value
            self.plot("RelativeDailyVolume", "rdv", self._rdv.current.value)

For more information about this method, see the QCAlgorithm classQCAlgorithm class.

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 Updateupdate method. The indicator will only be ready after you prime it with enough data.

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

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

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
            _relativedailyvolume.Update(bar);

        if (_relativedailyvolume.IsReady)
        {
            // The current value of _relativedailyvolume is represented by itself (_relativedailyvolume)
            // or _relativedailyvolume.Current.Value
            Plot("RelativeDailyVolume", "relativedailyvolume", _relativedailyvolume);
        }
    }
}
class RelativeDailyVolumeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._relativedailyvolume = RelativeDailyVolume(2)

    def on_data(self, slice: Slice) -> None:
        bar = slice.bars.get(self._symbol)
        if bar:
            self._relativedailyvolume.update(bar)

        if self._relativedailyvolume.is_ready:
            # The current value of self._relativedailyvolume is represented by self._relativedailyvolume.current.value
            self.plot("RelativeDailyVolume", "relativedailyvolume", self._relativedailyvolume.current.value)

For more information about this indicator, see its referencereference.

Visualization

The following plot shows values for some of the RelativeDailyVolume indicator properties:

RelativeDailyVolume line plot.

Indicator History

To get the historical data of the RelativeDailyVolume indicator, call the IndicatorHistoryself.indicator_history method. This method resets your indicator, makes a history request, and updates the indicator with the historical data. Just like with regular history requests, the IndicatorHistoryindicator_history method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time. If you don't provide a resolution argument, it defaults to match the resolution of the security subscription. 

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

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

        var indicatorHistory = IndicatorHistory(_rdv, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(_rdv, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(_rdv, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
    }
}
class RelativeDailyVolumeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._rdv = self.rdv(self._symbol, 2)

        indicator_history = self.indicator_history(self._rdv, self._symbol, 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(self._rdv, self._symbol, timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(self._rdv, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)

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