Coding the Active Boundaries indicator

[Pascal]

I think that what you are asking is technically too difficult for non-developers to come up with an easy response.
The AB calculation is similar to a VWAP calculation. A VWAP uses the Volume to calculate the average price. (Volume weighted Average price.) AB also needs to use the number of shares that were exchanges at each price level: this is also a volume weighted average price and not a simple average price.

Below is the minute data for the company X and the Active Boundaries graph as of last night.
The best is that you try your different ideas and see which comes close to the pattern below.
The, the answer will be obvious.


Pascal

[acepsut]

Pascal,

thank you very much for your support. The txt file and the plotted AB is what I need in order to have a reference for my developement.

I will study the WVAP in details and will try to code the AB.

Regards,

Alberto

[acepsut]

I think that what you are asking is technically too difficult for non-developers to come up with an easy response.
The AB calculation is similar to a VWAP calculation. A VWAP uses the Volume to calculate the average price. (Volume weighted Average price.) AB also needs to use the number of shares that were exchanges at each price level: this is also a volume weighted average price and not a simple average price.

Below is the minute data for the company X and the Active Boundaries graph as of last night.
The best is that you try your different ideas and see which comes close to the pattern below.
The, the answer will be obvious.


Pascal

Attachment 25307

Hi Pascal,

I am working in coding the Active Boundaries, and in order to accomplish it as more correct as possible, I am asking if it is possibile to have the output of the Active Boundaries for the X company as from your previous graph.

This would help a lot.

Thanks

[acepsut]

It seems I have been succesfull with my Java implementation for the Active Boundaries indicator




Although your result it is smoother than mine (do you smooth the AB with EMA or any other filter?), the overall path seems quite similar




I am using the second method you propose at pag.110

Thanks

[Harry]

Congrats acepsut!

Harry

[acepsut]

Congrats acepsut!

Harry

Thanks Harry.

[jagin]

Hi Pascal,

i'm also working on the indicators from your excelent book 'Value In Time'. Would be possible to get a picture of Effective Volume of minute data for the company X for the comparison purpose. I would be very greatfull.

Thanks

Jarek

I think that what you are asking is technically too difficult for non-developers to come up with an easy response.
The AB calculation is similar to a VWAP calculation. A VWAP uses the Volume to calculate the average price. (Volume weighted Average price.) AB also needs to use the number of shares that were exchanges at each price level: this is also a volume weighted average price and not a simple average price.

Below is the minute data for the company X and the Active Boundaries graph as of last night.
The best is that you try your different ideas and see which comes close to the pattern below.
The, the answer will be obvious.


Pascal

Attachment 25307

[John Snow]

Hi Pascal,

i'm also working on the indicators from your excelent book 'Value In Time'. Would be possible to get a picture of Effective Volume of minute data for the company X for the comparison purpose. I would be very greatfull.

Thanks

Jarek

do you have the codes for all the indicators yet(LEV , Active Boundaries)?