TE Relative Volume at Time Time of Day Participation Percentile
TE Relative Volume at Time measures participation relative to what is normal for the same time of day.
Raw volume alone has little context. A volume print that is unusually large at midday may be routine near the open. This indicator keeps the exchange-reported volume unchanged, then ranks it against historical observations from the same intraday time slot.
TIME-OF-DAY RELATIVE VOLUME
The trading day is divided into slots one chart timeframe wide:
k = floor(minutes since exchange midnight / timeframe minutes)
For the current slot, the indicator retains the previous M observations and calculates:
p_tod = (count(V_i < V) + 0.5 × count(V_i = V)) / n
This estimates where the current bar's volume sits relative to previous bars occurring at the same time of day.
Default M = 20 sessions.
The mid-rank convention gives half-weight to ties so repeated low-volume values are not incorrectly classified as extreme observations.
UNCONDITIONAL VOLUME PERCENTILE
The same calculation is also performed over the last N closed bars without time-of-day conditioning:
p_plain = P(V ≤ v)
Default N = 480 bars.
Both readings are displayed so the user can see when a conventional trailing volume percentile is being influenced by the normal intraday volume curve.
RELATIVE VOLUME MULTIPLE
The familiar RVOL multiple is also included:
RVOL = current volume / reference volume for this slot
The default reference is the median of the previous M observations at the same time of day.
Median is used by default because volume distributions can be heavily affected by unusually large observations. Mean is also available for users who prefer the conventional average-based calculation.
SESSION PACE
The indicator separately measures how active the entire session has been so far.
C_t = sum of closed-bar volume since the start of the trading day
The current cumulative volume is ranked against cumulative volume at the same point in previous sessions.
This keeps two questions separate:
How unusual is this individual bar?
How unusual is the session's total participation so far?
PARTICIPATION STATES
The governing percentile is classified into five states:
COMPRESSED: 0-20
SUBDUED: 20-40
BASELINE: 40-60
ELEVATED: 60-80
EXPANDED: 80-100
These states describe participation relative to history. They are not bullish or bearish.
STATE STABILITY
Two mechanisms reduce unnecessary state changes.
Hysteresis requires the percentile to move beyond a band boundary by a configurable margin before changing state.
Dwell requires a candidate state to persist for a configurable number of confirmed bars before publication.
Defaults:
Hysteresis: 5 percentile points
Dwell: 2 confirmed bars
The session-pace measurement uses hysteresis but not dwell because cumulative volume does not experience the same short-lived reversals as individual bars.
NO VOLUME DATA
Some symbols do not provide meaningful volume.
If the script determines that the symbol is not reporting usable volume, it displays NO VOLUME DATA rather than generating a percentile from missing or substituted values.
Missing volume is not inserted into the historical sample.
READOUT
The panel can display:
Current bar volume
Relative-volume multiple
Time-of-day percentile
Unconditional percentile
Session-pace percentile
Cumulative session volume
Reference volume for the current time slot
Published participation state
The volume columns can also be colored by the current participation state.
WHAT IT DOES NOT DO
It does not predict price direction.
It does not identify buyers or sellers.
It does not confirm breakouts.
It does not provide entries, stops or targets.
EXPANDED means participation was unusually high for that time of day. It does not mean price is trending or that the next bar will also have high volume.
All published state changes and alerts are based on confirmed bars. The script uses zero request.security() calls.
TE Relative Volume at Time is designed to answer a more precise question than conventional RVOL: not simply "is volume high?" but "is volume unusual for this market at this specific point in its trading day?"
Raw volume alone has little context. A volume print that is unusually large at midday may be routine near the open. This indicator keeps the exchange-reported volume unchanged, then ranks it against historical observations from the same intraday time slot.
TIME-OF-DAY RELATIVE VOLUME
The trading day is divided into slots one chart timeframe wide:
k = floor(minutes since exchange midnight / timeframe minutes)
For the current slot, the indicator retains the previous M observations and calculates:
p_tod = (count(V_i < V) + 0.5 × count(V_i = V)) / n
This estimates where the current bar's volume sits relative to previous bars occurring at the same time of day.
Default M = 20 sessions.
The mid-rank convention gives half-weight to ties so repeated low-volume values are not incorrectly classified as extreme observations.
UNCONDITIONAL VOLUME PERCENTILE
The same calculation is also performed over the last N closed bars without time-of-day conditioning:
p_plain = P(V ≤ v)
Default N = 480 bars.
Both readings are displayed so the user can see when a conventional trailing volume percentile is being influenced by the normal intraday volume curve.
RELATIVE VOLUME MULTIPLE
The familiar RVOL multiple is also included:
RVOL = current volume / reference volume for this slot
The default reference is the median of the previous M observations at the same time of day.
Median is used by default because volume distributions can be heavily affected by unusually large observations. Mean is also available for users who prefer the conventional average-based calculation.
SESSION PACE
The indicator separately measures how active the entire session has been so far.
C_t = sum of closed-bar volume since the start of the trading day
The current cumulative volume is ranked against cumulative volume at the same point in previous sessions.
This keeps two questions separate:
How unusual is this individual bar?
How unusual is the session's total participation so far?
PARTICIPATION STATES
The governing percentile is classified into five states:
COMPRESSED: 0-20
SUBDUED: 20-40
BASELINE: 40-60
ELEVATED: 60-80
EXPANDED: 80-100
These states describe participation relative to history. They are not bullish or bearish.
STATE STABILITY
Two mechanisms reduce unnecessary state changes.
Hysteresis requires the percentile to move beyond a band boundary by a configurable margin before changing state.
Dwell requires a candidate state to persist for a configurable number of confirmed bars before publication.
Defaults:
Hysteresis: 5 percentile points
Dwell: 2 confirmed bars
The session-pace measurement uses hysteresis but not dwell because cumulative volume does not experience the same short-lived reversals as individual bars.
NO VOLUME DATA
Some symbols do not provide meaningful volume.
If the script determines that the symbol is not reporting usable volume, it displays NO VOLUME DATA rather than generating a percentile from missing or substituted values.
Missing volume is not inserted into the historical sample.
READOUT
The panel can display:
Current bar volume
Relative-volume multiple
Time-of-day percentile
Unconditional percentile
Session-pace percentile
Cumulative session volume
Reference volume for the current time slot
Published participation state
The volume columns can also be colored by the current participation state.
WHAT IT DOES NOT DO
It does not predict price direction.
It does not identify buyers or sellers.
It does not confirm breakouts.
It does not provide entries, stops or targets.
EXPANDED means participation was unusually high for that time of day. It does not mean price is trending or that the next bar will also have high volume.
All published state changes and alerts are based on confirmed bars. The script uses zero request.security() calls.
TE Relative Volume at Time is designed to answer a more precise question than conventional RVOL: not simply "is volume high?" but "is volume unusual for this market at this specific point in its trading day?"
Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, alım satım veya diğer türden tavsiye veya öneriler anlamına gelmez ve teşkil etmez. Kullanım Koşulları bölümünde daha fazlasını okuyun.
Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, alım satım veya diğer türden tavsiye veya öneriler anlamına gelmez ve teşkil etmez. Kullanım Koşulları bölümünde daha fazlasını okuyun.