Intraday Tool: Emini S&P Average Volume Percentage

By Lawrence

The intraday Emini S&P Average Volume Percentage is a great filter for choosing the right day trading strategy for any particular trading day. Specific day trading techniques will be presented in their own research reports. This article is a short introduction of the average volume percentage and its basic applications.


  • What Is Average Volume Percentage
  • The Real-Time Report
  • The 3 States of The Average Volume Percentage and Their Implications
  • Boundary Cases

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  • MidKnight February 24, 2015 at 8:45 pm

    Hi LC,

    May I ask for some more clarification by what you mean about “Average Volume”. Your text calls it average volume based on …..? Your screenshot calls it “Rel Vol Pct” which maybe means relative volume percent? My current terminology has different meanings for relative volume and average volume. I tend to always think of relative volume as volume relative to average volume by time of day. Could you please clarify for me?

    With thanks,

    • Lawrence February 25, 2015 at 8:13 am

      It is relative to the average of the accumulated volume up to the same point in time of the day. There is no existing technical indicators out there doing this at all.

      It is different from average of the time of day volume, whatever the timeframe is.

      This volume indicator summarizes the intraday context into one simple reading. It is one of the more powerful filter for day trading and, surprisingly, long term swing trades. When I get to writing the special biases and trading setups it will become more obvious.

  • MidKnight March 2, 2015 at 7:38 pm

    Thx LC. I coded this up and have run some preliminary study on HSI futures.

    Futures rollover attracts a huge increase in volumes in the last couple days of a contract and often without much volatility or direction. Because HSI futures rollover monthly, I’m not sure how reliable of a tool this would be. Definitely requires more investigation on my part, but that is my initial thoughts.

    With kind regards,

    • Lawrence March 5, 2015 at 6:27 am

      I haven’t look at HSI for almost half a year.

      I did some work along the line of average volume on the n-th trading day of a contract over the last few contracts. It is much more complex to code, but it is very useful for those who trade options and need a way to anticipate volatility.

      I did not invent that method though, it was a concept introduced by optionvue, where you get to look at historical volatility in many different ways.

  • MidKnight March 10, 2015 at 9:24 pm

    Another issue I’m finding around this type of idea is that there is a huge discrepancy between real-time and historical esignal volume data for HSI futures from HKFE. The historical backfill data every day has much higher volume numbers than the real-time data. So you end up with this 5 day average that is made from the historical data and then the real-time data is much much lower than the average for no other reason that it is real-time data and not historical backfill data. No doubt you have experienced this yourself with a variety of markets – any thoughts on how one can address this?

    With thanks,

    • Lawrence March 12, 2015 at 9:21 am

      In real-time, not all orders reported have volume info if the brokerage is reporting a “cross”. That information is later updated when the transaction is confirmed. So it is like a blind spot in the real-time info. Maybe volume is not the thing to look into at all given the way HKFE operates.

  • MidKnight March 13, 2015 at 7:53 pm

    Yes, you are probably right. Back in the days when footprint charts were new I was using MarketDelta from an esignal feed on HSI futures data and found it nearly useless and even back then I noticed a large discrepancy between what was shown real-time compared with what was shown from historical data. I had hoped times had changed and this was no longer the case some 9 years later……sadly, I am wrong about that. Back to using bar range as a volume proxy again I guess 🙁

  • skippy March 14, 2015 at 4:38 pm

    Range bars as proxy? Why not constant volume bars?

  • MidKnight March 15, 2015 at 4:37 am

    Bar range is highly correlated with volume so it can often be used as a proxy when volume information is unreliable or unavailable. Note I said bar range, and not range bars…..

  • MidKnight March 16, 2015 at 9:25 pm


    Based on your experience with a large variety of data and markets – do you have any thoughts on a volume alternative that may be useful? I have considered the idea of doing this same calculation but instead with the TICK, but I lack intraday TICK information because I’m not using a cool tool like neobreadth…. 🙁

    • Lawrence March 17, 2015 at 9:28 am

      If you have access to downloaded data from HKFE, you can reconstruct the volume profile.

      Then in real-time or historical data testing, focus on reactions to the important areas of the profile as you do not have real-time volume data.

      that’s one way to deal with it.

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