by Geoffrey Slinker
Copyright 2001,2002,2003,2004,2005,2006,2007
May 2007
March 2006
January 2004
| Accesses: |
| Maverick Development |
Volume-Price Chart
The three most common chart types for viewing stock market price data are line, bar, and candlestick charts. If volume is of interest it is typically plotted below the price chart.
I introduce two new price chart types. Slant price charts (Slant charts) and Volume-Price charts. Slant charts are equivalent to bar and candlestick charts. The Volume-Price chart has additional information which shows a volume indicator for each price in the interval.
Below (figure 1) is a typical bar chart which represents price information for some interval of time. The openning price for the interval is indicated by a hash mark on the left of the vertical line and the closing price is indicated by a hash mark on the right of the vertical line. The vertical line indicates the high/low price for the interval. Notice in figure 1 the interval that has the highest price. From this type of chart you can not tell anything other than that price was hit.
Figure 1. Traditional Bar Chart
Below (figure 2) is a typical candlestick chart which represents price information for some interval of time. The body of the candlestick, the rectangle, indicates the open and close price of the interval. In this example, if the rectangle is filled with black that indicates the openning price is higher than the closing price. The vertical line indicates the high/low price for the interval. Notice in figure 2 the interval that has the highest price. From this type of chart you can not tell anything other than that price was hit. Compare figure 1 and figure 2 and you will see they are equivalent in the data they indicate.
Figure 2. Traditional Candle Stick Chart
Slant charts indicate the same value as a bar or candlestick chart. In figure 3 you will see a vertical line which represents the range of prices during the interval. The open/close price is indicated by a black line. This line is drawn by connecting the openning price with the closing price. Notice in figure 3 the interval that has the highest price. From this type of chart you can not tell anything other than that price was hit. Compare figure 3 with figure1 and figure 2.
Figure 3. New Slant Chart
Why introduce another chart that is equivalent to the well accepted and understood bar and candlestick charts? It allows additional information to be plotted along the vertical line without confusing the hash marks of the bar chart or drawing in or over the body of a candlestick chart. Slant charts were found necessary when I was trying to plot volume-price information in the same chart along with the typical price information.
For the computer programmer there is a computational advantage to the basic slant chart. It requires only drawing two lines. One line is the drawn from the high price to the low price (the vertical line) and one line is drawn from the open price to the close price (the horizontal line).
The Slant line shows, in a very visual and clear fashion, if the openning price is higher or lower than the closing price. Bar charts show the information but it is not as pronounced as a slant chart. Candlestick charts show it very clearly with the body of the candlestick being filled (black).
The Volume-Price chart is a Slant chart with the volume for each price of the interval plotted along the vertical line. Below in figure 4 you will see some red horizontal lines that cross the vertical line. Each horizontal line indicates that there were trades at that point and the length of the line represents the volume of that trade relative to the total volume of trades for the interval.
The chart in figure 4 shows very interesting information. It shows which price during the interval had the most volume. It also shows price gaps where nothing was purchased. Notice how the interval with the highest traded price shows the gap to that price and the volume of that price!
The price volume indicators in figure 4 are calculated by:
(priceVol - minIntervalVol) / (maxIntervalVol - minIntervalVol)
Figure 4. New Volume-Price Slant Chart
Figure 5 shows the Volume and Price similar to figure 4. In figure 5 the volume is plotted with a light grey line. The volume indicator is calculated by dividing the volume for the specific price by the total volume of the interval.
Figure 5. Volume-Price Slant Chart (PriceVolume/IntervalVolume)
It has been interesting to me that with the use of computers to gather and chart trade data very little effort has been made in improving the amount of information displayed in a chart. A typical chart stores four values, the open, high, low, close, and volume. A computer can easily store much more information about an interval. Each trade price during the interval can be stored and the volume at each price can be stored as well. Volume-Price charts show additional information without cluttering the ability to read the chart.
Figure 6 shows the open and close slant along with the price at the average volume for the interval plotted with a horizontal blue line. Figure 6 is a very clean plot that shows if the average price was above or below the median price (middle of the high-low line) and if it is above or below the open-close slant line.
Figure 6. Slant Chart with Price at Average Volume
Slant charts (figure 3) show the traditional open, high, low, and close (OHLC). Also in figure 3 shows the average price during the interval by plotting a blue horizontal line.
Volume-Price charts show much more data than just OHLC. Volume-Price charts show each price that was actually traded and it shows the volume relative to the other prices during that interval.
If you would like to learn more about these charts or use them please contact Geoffrey Slinker.
Geoffrey Slinker recieved his Masters Degree in Computer Science from Brigham Young University. Mr. Slinker specialized in data visualization and object oriented programming techniques.
Feel free to contact Geoffrey at:
Following is the data for the first two bars. The bars are 15 minute bars from a day of trading for Intel. Prices are multiplied by 10.0.
15 Minute Bars Bar 1 Time Open High Low Close Volume 17862857 3089.0 3091.0 3083.0 3089.0 1589300 27 Number of Unique Prices Price Volume 3083.0 22700 3083.8984 100 3084.0 81400 3084.1016 200 3084.8984 1000 3085.0 334400 3085.0391 400 3085.0508 100 3085.1016 600 3085.5 200 3085.8984 2500 3086.0 321400 3086.0391 100 3086.1016 400 3086.8984 1700 3086.9492 200 3087.0 238000 3087.1016 4100 3087.8984 900 3087.9609 500 3088.0 191600 3088.1016 600 3089.0 111100 3089.1016 1200 3089.8984 1700 3090.0 264500 3091.0 7700 Bar 2 Time Open High Low Close Volume 17862872 3088.0 3098.0 3085.0 3086.0 1080200 31 Number of Unique Prices Price Volume 3085.0 3500 3086.0 54300 3086.1016 800 3087.0 61600 3087.0508 100 3087.1016 3500 3087.8984 100 3088.0 177300 3088.1016 6900 3088.8984 500 3089.0 113900 3089.1016 1400 3089.8984 100 3090.0 128300 3090.0508 1000 3090.1016 1000 3090.8984 1300 3091.0 134800 3091.0195 100 3091.1016 2000 3091.8984 2100 3091.9492 500 3091.9805 100 3092.0 164800 3092.0508 100 3092.1016 400 3092.8984 900 3093.0 201300 3093.1016 7200 3094.0 8300 3098.0 2000