Here is the simple prototype for finding first 1 hour cumulative volume for a given script. This helps one to visualize how the volume in the first 1 hour compare to previous trading days.
Amibroker Exploration Settings
It is recommended to explore with 1min timeframe as the code is designed to work on lower timeframes rather than higher timeframes like Daily, Weekly , Monthly.
Here is the sample exploration output showing that 1st hour volumes are higher in Bank Nifty futures on 15th December 2016 (Post FED Rate hike) reminding that participation activity is high in the first 1 hour. It also provides information on returns it made since the market open in terms of points. High Volume with a trend Indicates that high supply or demand in those zone. However extreme volumes compared to the previous sessions indicates that possibly trend is likely to be exhausted. And in contrast lower volume indicates lower interest from the market participants i.e lower supply or demand in those zone in the first 1 hour.
Amibroker Exploration AFL Code
_SECTION_BEGIN("Volume For 1st Hour"); //Cumulative Volume Monitor Start Time and End Time starttime = ParamTime( "Start Time", "09:15" ); endtime = ParamTime( "End Time", "10:15" ); Bars_so_far_today = 1 + BarsSince( Day() != Ref(Day(), -1)); StartBar = ValueWhen(TimeNum() == starttime, BarIndex()); points = ValueWhen(TimeNum() == endtime, close)- TimeFrameGetPrice("O",inDaily,0); TodayVolume = Sum(V,Bars_so_far_today); V1hour=IIf (BarIndex() >= StartBar AND TimeNum() <= endtime, TodayVolume,Null); Plot (V1hour, "Total Volume for First One Hour",colorYellow,stylehistogram); Filter = TimeNum() == endtime; AddColumn(points,"Points",1.2); AddColumn(v1hour,"Volume for 1st 1 Hour",1); _SECTION_END();