Relative Volume (often times called RVOL) is an indicator that tells traders how current trading volume is compared to past trading volume over a given period.
I was wondering if someone can point me to the right direction. I am trying to calculate the mentioned metrics and I'm a bit stuck with how to calculate the difference between a current value at time T and an average value calculated from X days before to yesterday (T-X -> T-1)
My documents look like this:
|ABC||2020/08/01 @ 08:05:00||100|
|ABC||2020/08/02 @ 08:05:00||50|
|ABC||2020/08/03 @ 08:05:00||10|
Steps I am trying to achieve:
- Calculate the average value for last X days on field Volume grouped by time component. (What is the average on Volume for the last X days every day at the time 08:05 for example) I know how to do this part.
- Calculate the difference between today's value and value acquired in step 1. I don't know how to do this part.
Is this something that Serial Differencing can help me with? Although I do not aggregate using a
date_histogram. I aggregate only using Hour and Minute time component.
Thank you for any suggestions