Dealing with block orders

[jagin]

Hi Pascal,

Sometimes at the last minute of the day there is a large volume of shares traded. I guess they are block orders. But this high volume has a big impact how the EV looks. It is jumping up and down with big gaps.
I was thinking about to do some filtering on volume. Right now i cut off the volume which is bigger then some given threshold (calculated for every single day).

Here is the result: 32401

After filtering EV looks much better and is more readable.

Is it a good idea at all to filter the volume or is there another way to deal with it?

Regards

Jarek

P.S

PZU is from Warsaw Stock Exchange

[Pascal]

Yes, I filter block trades too.
This is what is written below the RT EV service:

"we filter out the EV minute volume bars that are higher than 5% (Volume threshold) of the total volume exchanged up to the current minute, with the price change during the corresponding minute being lower than 1% (Price change threshold)"



Pascal

[jagin]

Thanks Pascal.

I'm not subscriber of your service so i cannot see it but found it on your video with explanation.
I will go through your web pages first i think :)

Regards

Jarek


Yes, I filter block trades too.
This is what is written below the RT EV service:

"we filter out the EV minute volume bars that are higher than 5% (Volume threshold) of the total volume exchanged up to the current minute, with the price change during the corresponding minute being lower than 1% (Price change threshold)"



Pascal