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Estimating Average Volume by Hour for Liquidity Timing

Article MQL5 code base
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Summary

The script described in the document scans bars on a one-hour chart to calculate average volume per hour. It is restricted to that chart timeframe and uses the absolute value of volume in its calculation. The result is displayed in a message box, giving the user a way to compare hourly activity and identify periods that may be more liquid.

This measure could support a rule that limits trading to hours with higher typical volume, but the description does not specify the observation window, data handling, or whether volume means tick volume or traded volume. It also provides no sample output or evidence that selecting busier hours improves execution or strategy returns. The estimate is a liquidity reference, not a signal about price direction, and should be interpreted in light of the instrument and data source.

Key ideas

  • The script calculates average volume from bars on a one-hour chart.
  • It uses the absolute value of volume in the calculation and is restricted to the one-hour timeframe.
  • The displayed hourly averages can help compare activity across trading times.
  • A trader could use the estimate when considering whether to avoid low-volume periods.
  • The description does not report validation or explain the sampling window and volume data source.

Tags

ExecutionMarket microstructureStatistics

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