2006 Dec 19 - Tue

Volume At Price

It is said that, through the course of the day, trading trends will revert to the level of highest volume.

The software at Ensign Software has a feature which will chart a nice bar graph of the volume-at-price distribution for visual traders.

However, for a quick and dirty indicator at a single level only, fit for automated trading, I wrote the following small class:

public class VolumeAtPrice {
	
	SortedList slVolumeAtPrice;
	public int LargestVolume = 0;
	public double PriceAtLargestVolume = 0;
	
	public VolumeAtPrice() {
		slVolumeAtPrice = new SortedList( 400 );
	}
	
	public void Add( Trade trade ) {
		if ( slVolumeAtPrice.ContainsKey( trade.Price ) ) {
			int ix = slVolumeAtPrice.IndexOfKey( trade.Price );
			int volume = (int) slVolumeAtPrice.GetByIndex( ix );
			volume += trade.Size;
			slVolumeAtPrice.SetByIndex( ix, volume );
			if ( volume > LargestVolume ) {
				LargestVolume = volume;
				PriceAtLargestVolume = trade.Price;
			}
		}
		else {
			slVolumeAtPrice.Add( trade.Price, trade.Size );
			if ( trade.Size > LargestVolume ) {
				LargestVolume = trade.Size;
				PriceAtLargestVolume = trade.Price;
			}
		}
	}
}

After updating with the latest Trade, examine PriceAtLargestVolume to see where the current highest volume trading level occurs.