Getting Volume for the Same Five Minute Period in Previous Days

Hi Crafty

We recommend using the SMA indicator updating with volume from 5-minute TradeBarConsolidator:

def Initialize(self):
    self.symbol = self.AddEquity("SPY", Resolution.Minute, extendedMarketHours=True).Symbol
    self.sma = SimpleMovingAverage(2688)  # we are averaging from 960 minutes per trading day * 14 days / 5 minutes = 2688 bars
    
    # Set up 5-minute bar consolidator with its handler to update indicator
    self.consolidator = TradeBarConsolidator(timedelta(minutes=5))
    self.consolidator.DataConsolidated += self.ConsolidatorHandler
    # Auto update the indicator
    self.SubscriptionManager.AddConsolidator(self.symbol, self.consolidator)
    
    # warm up the SMA indicator
    self.WarmUpIndicator(self.symbol, self.sma, timedelta(minutes=5))

def ConsolidatorHandler(self, sender, bar):
    # Update the SMA indicator value with the new input volume from consolidated bar
    self.sma.Update(bar.EndTime, bar.Volume)
    
def OnData(self, slice):
    if self.sma.IsReady:
        avg_volume = self.sma.Current.Value  # the data you need

Refer to this doc for details.

Best
Louis

Hi Crafty, I agree with Louis' answer, and would like to add on - you can also use wap to come to your figure. It's pretty easy to calculate on that way, and you can also exploit the fact that at any point of time :- price * volume = constant, which would be helpful in your calculations. Else, using an SMA indicator with 5-minute TradebarConsolidator is always a good option. Thanks.

Best,

Manav

Hey Manav/Louis,

I appreciate the response, but I don't see how that would get me the volume for the same period of the day. I don't want the average for the entire day. For instance, if I did it your way and compared the 9:30 5 min candle to the average then it would always look high/register as above average since your average would include pre/post market where volume is traditionally very low. 

What I want to get to is a flag that tells me volume, at that point in the day, is abnormally high for what that point in the day would normally show. Does this make sense?

Hi Crafty

Sorry for misunderstanding your question. That way you'd still need a 5-minute trade bar consolidator and need a dictionary to hold 390/5 = 78 manually updating indicators. I'd recommend using the EndTime as the dictionary keys, e.g. 09:35, 09:40, …

import datetime as dt

def Initialize(self):
    self.symbol = self.AddEquity("SPY", Resolution.Minute, extendedMarketHours=True).Symbol
    self.sma = {(datetime.min + timedelta(hours=9, minutes=30+i)).time(): SimpleMovingAverage(14) for i in range(5, 391, 5)}
    
    self.consolidator = TradeBarConsolidator(timedelta(minutes=5))
    self.consolidator.DataConsolidated += self.ConsolidatorHandler
    self.SubscriptionManager.AddConsolidator(self.symbol, self.consolidator)


def ConsolidatorHandler(self, sender, bar):
    endTime = bar.EndTime
    if endTime.time() in self.sma:
        self.sma[endTime.time()].Update(endTime, bar.Volume)

This made each SMA indicator would just be updated by the particular 5-minute. You'll have to call History and warm up the indicator by iterating and feeding the data into the consolidator, see how to do so in here.

Best
Louis