Comparing Volume by Trading Session with Session Averages

Summary

This indicator divides chart volume into as many as four user-configured time sessions. It accounts for a time-zone offset and session start and finish times, then colors volume columns by session. An optional color treatment distinguishes bars according to whether price closed above or below its open. A general simple moving average of volume can be shown alongside the session-colored columns.

For each session, the script also calculates an average volume across a chosen number of prior full sessions and plots that value during the active session. This gives traders a way to compare current activity with that session’s own historical baseline, rather than relying only on a market-wide volume average. The display includes controls for session visibility and colors, and suppresses session-average plots on very short chart intervals. The document provides no empirical evidence that volume differences predict returns; session definitions, chart timeframe, and time-zone settings affect the comparison, and the averages describe activity rather than establish a trading signal.

Key ideas

• Volume bars are grouped and colored according to up to four configurable trading sessions.
• Session boundaries are adjusted using a user-specified time-zone offset.
• The indicator can compare active-session volume with an average from prior sessions.
• A separate simple moving average provides a general volume reference.
• The document presents a visualization method, not evidence that session volume predicts price direction.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.