Support Board
Date/Time: Wed, 15 Oct 2025 22:49:50 +0000
Large Volume Trade Indicator Is Limited?
View Count: 103
| [2025-10-15 05:27:09] |
| User879463 - Posts: 2 |
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The current Large Volume Trade Indicator (LVTI) is limited to detecting individual contract sizes above a threshold. This fails to capture institutional "iceberg" or algorithm-sliced orders, where a large quantity of volume is executed in many small trades over a very short period. Goal: Signal when the total Ask Volume OR total Bid Volume exceeds 30 contracts within a period of 500 milliseconds (0.5 seconds). Example Failure: If a 50-lot institutional order is sliced into five 10-lot trades over 300ms, the LVTI misses the signal entirely. Attempts to Use Existing Studies (Failed Workarounds) I have tried the standard methods, but they fail due to calculation or drawing limitations: VAPTA V2 on 500ms Chart: Successfully aggregates volume per 0.5 second bar. However, the study does not provide the signal density required, as its internal filters suppress too many valid signals compared to simple Bid/Ask volume (this may be due to complex internal minimum volume/range filters). Overlay on 1 Minute Chart: Using the Study/Price Overlay to transfer the signal from the 500ms VAPTA V2 onto a 1 Minute chart fails visually. The overlay can only transfer a single price coordinate per 1 Minute bar, making the signal appear sparse or absent, even though the 500ms chart confirms many signals fired. Feature Request (The Required Solution) Please consider adding a new indicator or enhancing the VAPTA V2 to include the following specific functionality, which addresses the multi-timeframe visualization issue: Rolling Time Aggregation Input: A configurable input (e.g., 500 ms or 1 second) that allows the study to calculate the total Bid/Ask volume over a user-defined period, independent of the chart's main bar period. Clean Cross-Timeframe Drawing: A definitive output that allows the signal marker (Green/Red Circle) to be transferred cleanly onto a higher timeframe chart (e.g., the 1 Minute chart) without being limited to a single output value per higher timeframe bar. The drawing should accurately appear at the price and time it occurred. Thank you for considering this request. I believe this feature would significantly improve the platform's utility for advanced order flow traders. |
| [2025-10-15 05:33:31] |
| User879463 - Posts: 2 |
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Following my request for a time-aggregated volume threshold alert: I have confirmed that the desired functionality (detecting 30 contracts of Ask/Bid volume over a 500 ms rolling window and displaying all markers on a 1 minute chart) requires custom programming to bypass the native Study/Price Overlay limitations. Could you please provide a developer referral or recommend an existing ACSIL study that is capable of performing: Rolling Time-Window Volume Aggregation. Cross-Timeframe Marker Drawing (plotting multiple high-frequency signals onto a single higher-timeframe bar). |
| [2025-10-15 10:08:54] |
| Sébastien - Posts: 91 |
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It's a good idea. I also would like to see it happen. |
| [2025-10-15 12:29:02] |
| cmet - Posts: 721 |
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The current Large Volume Trade Indicator (LVTI) is limited to detecting individual contract sizes above a threshold. This fails to capture institutional "iceberg" or algorithm-sliced orders, where a large quantity of volume is executed in many small trades over a very short period.
Have been mentioning something similar to this for years. With the large volume trade indicator, using original order size is not useful. Large orders are usually only executed that way when forced. Would be more useful, in my opinion, if that study used the combined records functionality that already exists in TAS. Same time/type would be a much more accurate in terms of showing true size. It would just be a matter of plotting circle size (or whatever visual) based on those settings. Doesn't completely address your goal of overlay but would be much more flexible/accurate, again, in my opinion. Tried to build this but struggled with doing it efficiently. Date Time Of Last Edit: 2025-10-15 12:31:38
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| [2025-10-15 13:10:25] |
| twofox - Posts: 4 |
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Shameless self promotion, but have custom solutions for this if interested. See images for one example. |
 large trades.png / V - Attached On 2025-10-15 13:09:27 UTC - Size: 97.08 KB - 20 views large trades settings.png / V - Attached On 2025-10-15 13:09:32 UTC - Size: 58.6 KB - 18 views |
| [2025-10-15 15:13:07] |
| John - SC Support - Posts: 42402 |
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We have noted this as a Feature Request. We can not say when we would get to any particular request.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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