This is an idea that's been rattling about in my skull for the past couple days and I wanted to get a grip on it. The idea is to find out the expected volume traded for a stock in 15 minute periods throughout the day. I seem to recall some technical docs showing an expected daily volume shape for FX (e.g. EURUSD, USDGBP) and it would appear to be the same shape seen in a lot of stocks you look at (e.g. Apple, GDX). I believe this was supposedly due to some convention that a lot of businesses do large money transaction in the afternoon. (?)
I give mean and median because I'm concerned the mean will get distorted by infrequent events that will pull it up higher than it should be. In any case I'm hoping the expected volume can serve as an alert function that activates during a 15-minute period rather than looking at daily volumes. Or maybe it can be factored in to risk calculation or stop loss pips.
I'd be interested to know what people think of the validity of this idea.
2011-06-01 to 2012-07-20
Apple
2012-03-16PRINThr 09 15M 3 |__________+| avg 001,417,444 median 001,319,850
2012-03-16PRINThr 09 15M 4 |_____+_____| avg 000,929,187 median 000,826,939
2012-03-16PRINThr 10 15M 1 |____+______| avg 000,853,247 median 000,812,934
2012-03-16PRINThr 10 15M 2 |___+_______| avg 000,722,859 median 000,619,149
2012-03-16PRINThr 10 15M 3 |__+________| avg 000,652,738 median 000,551,053
2012-03-16PRINThr 10 15M 4 |__+________| avg 000,609,862 median 000,512,860
2012-03-16PRINThr 11 15M 1 |_+_________| avg 000,564,771 median 000,478,505
2012-03-16PRINThr 11 15M 2 |_+_________| avg 000,539,959 median 000,463,664
2012-03-16PRINThr 11 15M 3 |+__________| avg 000,508,562 median 000,415,784
2012-03-16PRINThr 11 15M 4 |+__________| avg 000,479,606 median 000,395,295
2012-03-16PRINThr 12 15M 1 |+__________| avg 000,486,563 median 000,399,899
2012-03-16PRINThr 12 15M 2 |+__________| avg 000,460,922 median 000,396,765
2012-03-16PRINThr 12 15M 3 |_+_________| avg 000,510,430 median 000,417,907
2012-03-16PRINThr 12 15M 4 |__+________| avg 000,622,532 median 000,491,329
2012-03-16PRINThr 13 15M 1 |______+____| avg 001,014,892 median 000,630,034
2012-03-16PRINThr 13 15M 2 |__+________| avg 000,661,318 median 000,520,006
2012-03-16PRINThr 13 15M 3 |__+________| avg 000,624,403 median 000,512,537
2012-03-16PRINThr 13 15M 4 |_+_________| avg 000,566,288 median 000,456,620
2012-03-16PRINThr 14 15M 1 |_+_________| avg 000,574,354 median 000,463,050
2012-03-16PRINThr 14 15M 2 |_+_________| avg 000,584,645 median 000,457,780
2012-03-16PRINThr 14 15M 3 |_+_________| avg 000,563,922 median 000,462,651
2012-03-16PRINThr 14 15M 4 |_+_________| avg 000,558,784 median 000,428,737
2012-03-16PRINThr 15 15M 1 |__+________| avg 000,609,071 median 000,485,752
2012-03-16PRINThr 15 15M 2 |_+_________| avg 000,601,427 median 000,526,258
2012-03-16PRINThr 15 15M 3 |__+________| avg 000,666,040 median 000,604,595
2012-03-16PRINThr 15 15M 4 |_____+_____| avg 000,943,177 median 000,934,635
ONNN (ON Semiconductor)
2012-03-20PRINThr 09 15M 3 |_+_________| avg 000,237,576 median 000,186,468
2012-03-20PRINThr 09 15M 4 |+__________| avg 000,223,283 median 000,173,341
2012-03-20PRINThr 10 15M 1 |___+_______| avg 000,259,366 median 000,189,085
2012-03-20PRINThr 10 15M 2 |_____+_____| avg 000,281,018 median 000,198,247
2012-03-20PRINThr 10 15M 3 |_____+_____| avg 000,287,848 median 000,201,619
2012-03-20PRINThr 10 15M 4 |__________+| avg 000,350,042 median 000,207,198
2012-03-20PRINThr 11 15M 1 |_________+_| avg 000,340,653 median 000,211,236
2012-03-20PRINThr 11 15M 2 |________+__| avg 000,324,139 median 000,202,714
2012-03-20PRINThr 11 15M 3 |_____+_____| avg 000,286,178 median 000,205,761
2012-03-20PRINThr 11 15M 4 |_________+_| avg 000,332,328 median 000,259,333
2012-03-20PRINThr 12 15M 1 |________+__| avg 000,321,328 median 000,245,583
2012-03-20PRINThr 12 15M 2 |________+__| avg 000,320,378 median 000,240,944
2012-03-20PRINThr 12 15M 3 |_______+___| avg 000,316,508 median 000,249,354
2012-03-20PRINThr 12 15M 4 |______+____| avg 000,300,224 median 000,245,325
2012-03-20PRINThr 13 15M 1 |________+__| avg 000,320,301 median 000,242,133
2012-03-20PRINThr 13 15M 2 |________+__| avg 000,326,379 median 000,274,737
2012-03-20PRINThr 13 15M 3 |________+__| avg 000,324,037 median 000,248,464
2012-03-20PRINThr 13 15M 4 |_______+___| avg 000,306,500 median 000,220,496
2012-03-20PRINThr 14 15M 1 |_____+_____| avg 000,285,140 median 000,193,687
2012-03-20PRINThr 14 15M 2 |__+________| avg 000,248,875 median 000,199,446
2012-03-20PRINThr 14 15M 3 |___+_______| avg 000,257,385 median 000,191,004
2012-03-20PRINThr 14 15M 4 |____+______| avg 000,275,044 median 000,190,443
2012-03-20PRINThr 15 15M 1 |_+_________| avg 000,238,376 median 000,176,720
2012-03-20PRINThr 15 15M 2 |___+_______| avg 000,257,596 median 000,219,895
2012-03-20PRINThr 15 15M 3 |__+________| avg 000,250,348 median 000,200,369
2012-03-20PRINThr 15 15M 4 |__+________| avg 000,248,569 median 000,176,774
GDX (Gold ETF)
2012-03-16PRINThr 09 15M 3 |______+____| avg 000,711,057 median 000,666,623
2012-03-16PRINThr 09 15M 4 |____+______| avg 000,599,519 median 000,538,703
2012-03-16PRINThr 10 15M 1 |____+______| avg 000,592,639 median 000,519,764
2012-03-16PRINThr 10 15M 2 |___+_______| avg 000,527,237 median 000,463,687
2012-03-16PRINThr 10 15M 3 |__+________| avg 000,489,911 median 000,417,336
2012-03-16PRINThr 10 15M 4 |__+________| avg 000,447,815 median 000,357,440
2012-03-16PRINThr 11 15M 1 |_+_________| avg 000,407,810 median 000,356,955
2012-03-16PRINThr 11 15M 2 |_+_________| avg 000,387,370 median 000,332,677
2012-03-16PRINThr 11 15M 3 |+__________| avg 000,361,327 median 000,310,327
2012-03-16PRINThr 11 15M 4 |+__________| avg 000,355,739 median 000,298,136
2012-03-16PRINThr 12 15M 1 |+__________| avg 000,342,020 median 000,298,440
2012-03-16PRINThr 12 15M 2 |+__________| avg 000,344,947 median 000,293,096
2012-03-16PRINThr 12 15M 3 |_+_________| avg 000,424,699 median 000,345,259
2012-03-16PRINThr 12 15M 4 |______+____| avg 000,720,441 median 000,429,333
2012-03-16PRINThr 13 15M 1 |___+_______| avg 000,501,190 median 000,389,802
2012-03-16PRINThr 13 15M 2 |__+________| avg 000,466,778 median 000,390,625
2012-03-16PRINThr 13 15M 3 |__+________| avg 000,457,901 median 000,372,447
2012-03-16PRINThr 13 15M 4 |__+________| avg 000,437,321 median 000,375,267
2012-03-16PRINThr 14 15M 1 |__+________| avg 000,435,395 median 000,371,273
2012-03-16PRINThr 14 15M 2 |_+_________| avg 000,428,614 median 000,349,773
2012-03-16PRINThr 14 15M 3 |_+_________| avg 000,394,675 median 000,333,577
2012-03-16PRINThr 14 15M 4 |_+_________| avg 000,384,808 median 000,325,763
2012-03-16PRINThr 15 15M 1 |_+_________| avg 000,379,693 median 000,321,267
2012-03-16PRINThr 15 15M 2 |_+_________| avg 000,400,275 median 000,312,125
2012-03-16PRINThr 15 15M 3 |___+_______| avg 000,537,801 median 000,475,631
2012-03-16PRINThr 15 15M 4 |__________+| avg 000,949,103 median 000,915,943
SPY
2012-03-16PRINThr 09 15M 3 |______+____| avg 010,816,723 median 010,800,819
2012-03-16PRINThr 09 15M 4 |____+______| avg 008,913,886 median 008,523,452
2012-03-16PRINThr 10 15M 1 |_____+_____| avg 009,854,374 median 008,692,415
2012-03-16PRINThr 10 15M 2 |___+_______| avg 007,737,873 median 006,621,353
2012-03-16PRINThr 10 15M 3 |__+________| avg 007,066,672 median 006,139,161
2012-03-16PRINThr 10 15M 4 |__+________| avg 006,785,590 median 005,885,742
2012-03-16PRINThr 11 15M 1 |_+_________| avg 006,296,436 median 005,674,478
2012-03-16PRINThr 11 15M 2 |+__________| avg 005,631,402 median 005,004,667
2012-03-16PRINThr 11 15M 3 |_+_________| avg 005,644,208 median 005,161,715
2012-03-16PRINThr 11 15M 4 |+__________| avg 005,321,792 median 004,762,634
2012-03-16PRINThr 12 15M 1 |+__________| avg 005,373,665 median 004,487,740
2012-03-16PRINThr 12 15M 2 |+__________| avg 005,131,689 median 004,304,978
2012-03-16PRINThr 12 15M 3 |+__________| avg 005,474,237 median 004,639,656
2012-03-16PRINThr 12 15M 4 |__+________| avg 007,055,652 median 006,000,617
2012-03-16PRINThr 13 15M 1 |___+_______| avg 008,475,983 median 007,541,209
2012-03-16PRINThr 13 15M 2 |_+_________| avg 006,205,333 median 005,735,625
2012-03-16PRINThr 13 15M 3 |__+________| avg 006,813,658 median 005,850,969
2012-03-16PRINThr 13 15M 4 |_+_________| avg 006,051,840 median 005,378,849
2012-03-16PRINThr 14 15M 1 |_+_________| avg 006,451,752 median 005,498,595
2012-03-16PRINThr 14 15M 2 |_+_________| avg 006,445,270 median 005,159,042
2012-03-16PRINThr 14 15M 3 |_+_________| avg 006,395,686 median 005,465,874
2012-03-16PRINThr 14 15M 4 |_+_________| avg 005,974,819 median 004,944,123
2012-03-16PRINThr 15 15M 1 |__+________| avg 006,926,707 median 005,652,126
2012-03-16PRINThr 15 15M 2 |__+________| avg 007,422,549 median 005,882,195
2012-03-16PRINThr 15 15M 3 |____+______| avg 008,877,035 median 007,986,374
2012-03-16PRINThr 15 15M 4 |__________+| avg 015,372,120 median 015,120,789
FCS (Fairchild)
2012-03-23PRINThr 09 15M 3 |+__________| avg 000,074,294 median 000,052,131
2012-03-23PRINThr 09 15M 4 |_+_________| avg 000,076,166 median 000,055,497
2012-03-23PRINThr 10 15M 1 |+__________| avg 000,073,090 median 000,053,030
2012-03-23PRINThr 10 15M 2 |_+_________| avg 000,076,560 median 000,056,204
2012-03-23PRINThr 10 15M 3 |+__________| avg 000,073,904 median 000,061,932
2012-03-23PRINThr 10 15M 4 |_____+_____| avg 000,085,043 median 000,058,920
2012-03-23PRINThr 11 15M 1 |_________+_| avg 000,095,649 median 000,056,034
2012-03-23PRINThr 11 15M 2 |____+______| avg 000,084,031 median 000,057,308
2012-03-23PRINThr 11 15M 3 |__+________| avg 000,077,618 median 000,056,158
2012-03-23PRINThr 11 15M 4 |____+______| avg 000,083,649 median 000,059,234
2012-03-23PRINThr 12 15M 1 |____+______| avg 000,084,593 median 000,060,148
2012-03-23PRINThr 12 15M 2 |________+__| avg 000,095,010 median 000,070,348
2012-03-23PRINThr 12 15M 3 |_________+_| avg 000,097,689 median 000,067,337
2012-03-23PRINThr 12 15M 4 |____+______| avg 000,084,371 median 000,060,589
2012-03-23PRINThr 13 15M 1 |________+__| avg 000,094,247 median 000,069,852
2012-03-23PRINThr 13 15M 2 |________+__| avg 000,093,311 median 000,072,481
2012-03-23PRINThr 13 15M 3 |__________+| avg 000,099,117 median 000,067,627
2012-03-23PRINThr 13 15M 4 |______+____| avg 000,087,505 median 000,061,915
2012-03-23PRINThr 14 15M 1 |_____+_____| avg 000,086,597 median 000,061,758
2012-03-23PRINThr 14 15M 2 |_______+___| avg 000,091,209 median 000,054,665
2012-03-23PRINThr 14 15M 3 |______+____| avg 000,088,997 median 000,059,388
2012-03-23PRINThr 14 15M 4 |____+______| avg 000,083,557 median 000,055,581
2012-03-23PRINThr 15 15M 1 |____+______| avg 000,082,675 median 000,060,272
2012-03-23PRINThr 15 15M 2 |__+________| avg 000,077,509 median 000,056,330
2012-03-23PRINThr 15 15M 3 |____+______| avg 000,082,909 median 000,054,318
2012-03-23PRINThr 15 15M 4 |+__________| avg 000,074,374 median 000,057,244
ADI
2012-03-16PRINThr 09 15M 3 |___+_______| avg 000,157,131 median 000,119,771
2012-03-16PRINThr 09 15M 4 |___+_______| avg 000,142,452 median 000,116,636
2012-03-16PRINThr 10 15M 1 |__+________| avg 000,141,661 median 000,119,205
2012-03-16PRINThr 10 15M 2 |__+________| avg 000,141,752 median 000,114,394
2012-03-16PRINThr 10 15M 3 |__+________| avg 000,131,459 median 000,105,712
2012-03-16PRINThr 10 15M 4 |__+________| avg 000,125,219 median 000,103,020
2012-03-16PRINThr 11 15M 1 |__+________| avg 000,132,247 median 000,104,010
2012-03-16PRINThr 11 15M 2 |__+________| avg 000,131,928 median 000,100,130
2012-03-16PRINThr 11 15M 3 |_+_________| avg 000,120,514 median 000,099,078
2012-03-16PRINThr 11 15M 4 |_+_________| avg 000,120,559 median 000,090,018
2012-03-16PRINThr 12 15M 1 |__+________| avg 000,125,242 median 000,091,855
2012-03-16PRINThr 12 15M 2 |+__________| avg 000,106,182 median 000,079,723
2012-03-16PRINThr 12 15M 3 |+__________| avg 000,097,519 median 000,081,081
2012-03-16PRINThr 12 15M 4 |+__________| avg 000,102,500 median 000,083,730
2012-03-16PRINThr 13 15M 1 |+__________| avg 000,097,776 median 000,083,051
2012-03-16PRINThr 13 15M 2 |_+_________| avg 000,108,144 median 000,083,857
2012-03-16PRINThr 13 15M 3 |_+_________| avg 000,109,571 median 000,084,394
2012-03-16PRINThr 13 15M 4 |_+_________| avg 000,115,072 median 000,085,748
2012-03-16PRINThr 14 15M 1 |_+_________| avg 000,115,730 median 000,086,777
2012-03-16PRINThr 14 15M 2 |_+_________| avg 000,122,450 median 000,096,041
2012-03-16PRINThr 14 15M 3 |__+________| avg 000,136,221 median 000,104,120
2012-03-16PRINThr 14 15M 4 |___+_______| avg 000,158,995 median 000,122,469
2012-03-16PRINThr 15 15M 1 |______+____| avg 000,207,033 median 000,152,691
2012-03-16PRINThr 15 15M 2 |__________+| avg 000,275,316 median 000,222,625
2012-03-16PRINThr 15 15M 3 |_____+_____| avg 000,194,803 median 000,159,642
2012-03-16PRINThr 15 15M 4 |____+______| avg 000,169,711 median 000,137,864
CRM (salesforce)
2012-03-19PRINThr 09 15M 3 |____+______| avg 000,102,184 median 000,087,688
2012-03-19PRINThr 09 15M 4 |____+______| avg 000,103,499 median 000,086,302
2012-03-19PRINThr 10 15M 1 |____+______| avg 000,103,172 median 000,080,961
2012-03-19PRINThr 10 15M 2 |____+______| avg 000,104,416 median 000,081,675
2012-03-19PRINThr 10 15M 3 |______+____| avg 000,116,168 median 000,072,970
2012-03-19PRINThr 10 15M 4 |_____+_____| avg 000,112,701 median 000,065,736
2012-03-19PRINThr 11 15M 1 |___+_______| avg 000,094,826 median 000,064,704
2012-03-19PRINThr 11 15M 2 |__+________| avg 000,089,734 median 000,065,180
2012-03-19PRINThr 11 15M 3 |_+_________| avg 000,083,267 median 000,065,239
2012-03-19PRINThr 11 15M 4 |_+_________| avg 000,081,585 median 000,060,300
2012-03-19PRINThr 12 15M 1 |_+_________| avg 000,080,043 median 000,058,701
2012-03-19PRINThr 12 15M 2 |+__________| avg 000,073,789 median 000,061,532
2012-03-19PRINThr 12 15M 3 |+__________| avg 000,076,481 median 000,061,783
2012-03-19PRINThr 12 15M 4 |_+_________| avg 000,081,647 median 000,070,192
2012-03-19PRINThr 13 15M 1 |_+_________| avg 000,080,761 median 000,066,618
2012-03-19PRINThr 13 15M 2 |_+_________| avg 000,084,003 median 000,069,204
2012-03-19PRINThr 13 15M 3 |___+_______| avg 000,093,288 median 000,075,425
2012-03-19PRINThr 13 15M 4 |_______+___| avg 000,124,216 median 000,091,253
2012-03-19PRINThr 14 15M 1 |________+__| avg 000,127,479 median 000,092,448
2012-03-19PRINThr 14 15M 2 |__________+| avg 000,144,946 median 000,092,702
2012-03-19PRINThr 14 15M 3 |________+__| avg 000,128,170 median 000,097,578
2012-03-19PRINThr 14 15M 4 |_______+___| avg 000,123,994 median 000,100,176
2012-03-19PRINThr 15 15M 1 |_________+_| avg 000,135,939 median 000,106,186
2012-03-19PRINThr 15 15M 2 |_______+___| avg 000,124,408 median 000,095,803
2012-03-19PRINThr 15 15M 3 |______+____| avg 000,116,695 median 000,094,669
2012-03-19PRINThr 15 15M 4 |______+____| avg 000,119,043 median 000,095,106