{"id":40885093,"date":"2022-02-12T19:05:08","date_gmt":"2022-02-12T13:35:08","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40885093"},"modified":"2022-02-12T19:05:14","modified_gmt":"2022-02-12T13:35:14","slug":"volume-clock-picking-an-interval","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2022\/02\/12\/volume-clock-picking-an-interval\/","title":{"rendered":"Volume Clock, picking an Interval"},"content":{"rendered":"\n<p>In our <a rel=\"noreferrer noopener\" href=\"https:\/\/stockviz.biz\/index.php\/2022\/01\/29\/volume-clock-an-introduction\/\" target=\"_blank\">brief intro to the volume clock<\/a>, we showed how you use a volume based aggregation to match the sampling frequency with information flow frequency. To further expand on that intuition, lets say that as a trader, you are used to watch the 5-minute chart. However, when markets turn volatile, you reach for the 1-minute or sometimes even the 30-second chart. Why is that?<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/volume-clock\/chrono-clock.5min.daily.png\" alt=\"\" \/><\/figure>\n\n\n\n<p>In liquid futures markets like the NIFTY, volatility is associated with increased volume. A 5-minute window captures quite a wide range of volume.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/volume-clock\/chrono-clock.5min.density.png\" alt=\"\" \/><\/figure>\n\n\n\n<p>While, on average, 10000 contracts get traded in a 5-minute interval, there are times when the market goes &#8220;berserk.&#8221; This is where the volume-clock begins to make sense. If you fix the volume at 10000, then your aggregation automatically tracks information flow without you having to zoom in and out.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/volume-clock\/volume-clock.10000.png\" alt=\"\" \/><\/figure>\n\n\n\n<p>Notice how the width of the window automatically expands and shrinks?<\/p>\n\n\n\n<p>You can choose the volume interval to aggregate based on the current clock frequency that you use to trade. <\/p>\n","protected":false},"excerpt":{"rendered":"<p>In our brief intro to the volume clock, we showed how you use a volume based aggregation to match the sampling frequency with information flow frequency. To further expand on that intuition, lets say that as a trader, you are used to watch the 5-minute chart. However, when markets turn volatile, you reach for the &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[2761],"class_list":["post-40885093","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40885093","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40885093"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40885093\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40885093"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40885093"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40885093"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}