[Frank]

for basic info:

http://www.openecry.com/software/sof...s_exceldde.cfm

I am just kind of learning how to do this and see where it goes but one cool thing that has potential is to link the DOM data into excel in real-time. First real use is to get a precise calculation of vwap since you can weight each price for its exact volume. Another feature is to conditionally format the DOM to change colors per any rule you want to create (there are tons of options in Excel 2007).

the rules in this attachment are to highlight all volume bars that are in the top 30% and automatically attach a box to the highest volume of the day and make it bold.

Ultimately, you could make a nice 'dashboard' in Excel to aggregate whatever you want -- ie, diff't markets etc...

[Frank]

Thought I would just post what I have been working on -- this is still early in exploring this Excel link feature but I think it has potential. This is a screenshot of an excel 'Dashboard' that summarizes some market information for me. Again, this is real-time linked and can sit on an adjacent monitor to help interpret price action in that chaotic time near the open.

on left is a table and graph to show how volume is beginning vs the previous day.

in the middle is some basic market information --- and on the right are some 30-min charts.

this screenshot is from Friday -- you can see volume was low and selling dried up after violating the previous days low.

more to come but this is really cool feature in OEC (though this is not exactly easy to set-up -- you need some good understanding of Excel -- ie, 'look-up functions etc...).

[brownsfan019]

Frank - that's impressive!!!

[Frank]

example of this.

today price was pushing up bullishly, closing above 24-hr vwap on opening 15-min bar and kept creeping up -- there were no sellers but volume was tracking average to down -- then at 6:55am (9:55am EST) buyers came in aggressively as price pushed up to the April high at 885.75...

[Frank]

Bretts blog post today is on this intraday volume idea:

TraderFeed: Using Relative Volume to Identify When Markets Slow Down




"I mentioned yesterday how the trade was a difficult one. The above chart draws upon the relative volume concept to show, half-hour by half-hour, how participation in the market compared to 2009 norms. What we see is that, from 11 AM CT forward, the volume in the ES market (blue bars) fell well below their median values for that time period in 2009 (red bars). Recall that volume is closely correlated with volatility: that shift tells us that, unless relative volume picks up, the market is going to move much less as the day unfolds. This is a very helpful alert that can help traders avoid overtrading a narrow, slow, choppy market.

Interestingly, the period of waning volume also corresponded to the drying up of selling pressure that I posted. Notice how correlating what is happening in volume with what is happening in NYSE TICK can give us some clues as to *who* is gaining and losing participation: buyers, sellers, or both. This was useful information as the day unfolded, as we were unable to sustain afternoon lows."

his chart is clearly done in excel --- wonder if he has it linked in real-time???

[Eiger]

Very nice work, Frank.

[Frank]

this volume indicator is really a nice complement and I really think its one thing (along with an analysis of range) that can be so much better viewed in a custom-created Excel dashboard than in a chart window....

note that the chart below is using west coast time (3 hours earlier than EST)

[Frank]

just a screenshot