I posted an algorithm like this a while ago to get a feel for the average volume profile for a stock. It splits the day up into 15 minute bars and averages the summed volume over e.g. 50 days. As expected opening volume is often high, but midday volume is normally low.
It looks like the old code was horribly buggy, so this is the (hopefully) bug-free version.
Trading idea: detect higher-than-average volume and trade it?
Research idea: multiply with standard deviation or coefficient of variation for each period to get some sort of risk measure?
some example outputs:
SPY, for the day of 2014-10-03
09:30 |___+_______| avg 4,286,110
09:45 |__________+| avg 9,566,519
10:00 |________+__| avg 8,100,421
10:15 |___+_______| avg 4,314,017
10:30 |____+______| avg 5,199,986
10:45 |__+________| avg 3,438,832
11:00 |_+_________| avg 2,847,350
11:15 |_+_________| avg 2,589,539
11:30 |+__________| avg 1,974,574
11:45 |+__________| avg 2,000,659
12:00 |+__________| avg 2,011,643
12:15 |+__________| avg 1,810,844
12:30 |__+________| avg 3,063,876
12:45 |_+_________| avg 2,309,463
13:00 |+__________| avg 2,139,918
13:15 |_+_________| avg 2,359,781
13:30 |_+_________| avg 2,317,450
13:45 |+__________| avg 1,862,101
14:00 |_+_________| avg 2,548,634
14:15 |+__________| avg 2,020,376
14:30 |+__________| avg 1,890,426
14:45 |+__________| avg 1,982,557
15:00 |__+________| avg 3,455,738
15:15 |_+_________| avg 2,295,834
15:30 |___+_______| avg 4,348,935
15:45 |________+__| avg 7,816,491
SPY, 50 day average, 2014-10-06
09:30 |_________+_| avg 5,860,102
09:45 |______+____| avg 4,436,230
10:00 |______+____| avg 4,628,897
10:15 |____+______| avg 3,388,130
10:30 |___+_______| avg 3,202,702
10:45 |____+______| avg 3,346,618
11:00 |___+_______| avg 3,224,333
11:15 |__+________| avg 2,641,541
11:30 |__+________| avg 2,608,753
11:45 |__+________| avg 2,366,560
12:00 |_+_________| avg 2,104,312
12:15 |_+_________| avg 2,002,188
12:30 |_+_________| avg 1,924,918
12:45 |+__________| avg 1,631,829
13:00 |+__________| avg 1,830,455
13:15 |_+_________| avg 2,028,191
13:30 |_+_________| avg 2,184,216
13:45 |_+_________| avg 2,074,436
14:00 |___+_______| avg 2,940,176
14:15 |_+_________| avg 2,309,741
14:30 |_+_________| avg 2,117,535
14:45 |_+_________| avg 2,206,116
15:00 |__+________| avg 2,640,111
15:15 |__+________| avg 2,632,735
15:30 |___+_______| avg 3,298,939
15:45 |__________+| avg 6,430,079
BRK_B, 50 day average, 2014-10-06
09:30 |_______+___| avg 0,223,803
09:45 |___+_______| avg 0,118,415
10:00 |__+________| avg 0,109,785
10:15 |__+________| avg 0,098,785
10:30 |__+________| avg 0,099,232
10:45 |__+________| avg 0,099,157
11:00 |__+________| avg 0,093,092
11:15 |_+_________| avg 0,085,136
11:30 |_+_________| avg 0,080,494
11:45 |_+_________| avg 0,072,821
12:00 |+__________| avg 0,065,338
12:15 |+__________| avg 0,065,387
12:30 |+__________| avg 0,062,134
12:45 |+__________| avg 0,055,230
13:00 |+__________| avg 0,060,764
13:15 |_+_________| avg 0,072,617
13:30 |_+_________| avg 0,072,254
13:45 |_+_________| avg 0,071,514
14:00 |_+_________| avg 0,087,346
14:15 |_+_________| avg 0,078,515
14:30 |_+_________| avg 0,077,745
14:45 |_+_________| avg 0,084,571
15:00 |__+________| avg 0,094,058
15:15 |__+________| avg 0,098,075
15:30 |___+_______| avg 0,128,495
15:45 |__________+| avg 0,280,983
EWJ (iShares Japan), 200 day average, 2014-10-06
09:30 |___+_______| avg 1,464,722
09:45 |__+________| avg 1,198,196
10:00 |___+_______| avg 1,320,280
10:15 |_+_________| avg 0,996,203
10:30 |_+_________| avg 1,000,449
10:45 |__+________| avg 1,146,853
11:00 |__+________| avg 1,191,850
11:15 |_+_________| avg 1,000,609
11:30 |__+________| avg 1,099,580
11:45 |_+_________| avg 0,908,533
12:00 |_+_________| avg 0,843,027
12:15 |+__________| avg 0,766,307
12:30 |+__________| avg 0,709,156
12:45 |+__________| avg 0,659,483
13:00 |+__________| avg 0,673,392
13:15 |+__________| avg 0,679,136
13:30 |_+_________| avg 0,804,837
13:45 |_+_________| avg 0,862,784
14:00 |_+_________| avg 0,938,631
14:15 |_+_________| avg 0,811,152
14:30 |+__________| avg 0,752,432
14:45 |_+_________| avg 0,813,710
15:00 |_+_________| avg 0,869,246
15:15 |__+________| avg 1,134,589
15:30 |___+_______| avg 1,456,308
15:45 |__________+| avg 3,148,161 Those using the Research Beta Environment can produce nicer graphs.
