Dear community,
I'm currently developing a strategy where it is crucial to set entries & stops based on the volume profile.
I have read this article which shows how to get the volume profile for a particular day (
https://www.quantconnect.com/forum/discussion/7716/working-out-value-area-a-k-a-market-profile-volume-profile-from-auction-market-theory/p1).
I want to set entires/stops based on the previous x days of the accumulated volume.
For example:
As soon as price is outside of the 2nd standard deviation (based on volume) of the last ten days buy/sell a security.
If I placed an order I want to set stops based on percentiles, for instance as soon as price hits the 10% or 90% percentile (based on volume) liquidate the position.
I am trying to understand how to modify the code (Derek Melchin's code from the post) so it incorporates the functionality I need.
I hope that you can point me into the right direction.
Thank you very much
Shile Wen
Hi Mar17,
To get specific volume points over the past days, we would instead need to store the volume in a RollingWindow.
Best,
Shile Wen
Mar17
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