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Technical Studies Reference


Large Volume Trade Indicator

The Large Volume Trade Indicator indicates on the chart using color-coded rectangle markers, color-coded rectangles with volume text, or circle markers, trades that are greater than a certain volume threshold.

There are several drawing modes to choose from to display these various types of markers. These markers can also be automatically sized based on their volume relative to the volume of the other markers. The larger the marker, the larger the volume relative to other volume markers on the visible chart bars. The smaller the marker, the smaller the volume relative to other volume markers on the visible chart bars.

When the study is first added to the chart or when the Volume Threshold Input setting is changed, the chart will be reloaded in order to maintain the necessary underlying data the study requires.

This study requires that the data in an Intraday Chart Data file is tick by tick. Otherwise, there are no markers displayed. Refer to Tick by Tick Data Configuration.

Only one instance of the Large Volume Trade Indicator study can be added to the chart. If there are different instances of this study added to the chart and they use different Volume Threshold Input settings, then this will cause the chart to continue to reload continuously. In this case, remove all but one instance of the study from the chart.

If you want to use different Volume Threshold Input settings, you need to open a separate chart and add the study to that chart with the Volume Threshold that you want to use.

Inputs

  • Volume Threshold: This Input specifies the volume/quantity that a trade needs to be greater than or equal to for it to be considered a large volume trade and have a marker displayed for it at the chart bar and price level where the trade occurred.

    The volume of a trade is affected by the Combine Trades into Original Summary Trade (Data Feed and Exchange Specific) setting. When that option is enabled, the volume of some trades becomes larger. Note that this option only works with Sierra Chart provided data feeds.
  • Draw Mode: This can be set to one of the following:
    • Based On Total Volume Above Threshold: This will draw a marker, at the price level beside the chart bar where there is one or more trades which equal or exceed the Volume Threshold Input setting. The color shading is based on the total volume of all of these trades.
    • Based On Max Volume Above Threshold: This will draw a marker, at the price level beside the chart bar where there is one or more trades which equal or exceed the Volume Threshold Input setting. The color shading is based on the maximum volume of a trade among those individual trades.
    • Based on Total Bid or Ask Volume Above Threshold: This will draw a marker at the price level beside the chart bar where there is one or more trades at either the Bid or the Ask which equal or exceed the Volume Threshold Input Setting. The color shading is based on the total volume of all those trades for either the bid or the ask, whichever is the greater of the two.
    • Based on Total Bid Ask Volume Above Threshold - Difference: This will draw a marker at the price level beside the chart bar where there is one or more trades at either the Bid or the Ask which equal or exceed the Volume Threshold Input setting. The displayed value and color shading is based on the Ask Bid Difference (Ask - Bid). Positive numbers are Ask Dominant and negative numbers are Bid Dominant.
    • Based on Total Bid Ask Volume Above Threshold - Diagonal Difference: This will a marker (or two) at the price level beside the chart bar where there is one ore more trades a either the Bid or the Ask which equal or exceed the Volume Threshold Input setting. The displayed value and color shading is based on the Ask Bid Diagonal Difference (Current Ask - Previous Bid or Next Ask - Current Bid). Positive numbers are Ask Dominant and negative numbers are Bid Dominant.
    • Based on Entire Bar Total Volume Above Threshold: This will draw a single marker for a bar when there is one or more trades within the entire bar which equal or exceed the Volume Threshold Input setting. The color shading is based on the total volume of all of these trades.
    • Based on Entire Bar Bid or Ask Volume Above Threshold: This will draw a single marker for a bar when there is one or more trades within the entire bar which equal or exceed the Volume Threshold Input setting. The displayed value and color shading is based on the total volume of all those trades for either the bid or the ask, whichever is the greater of the two.
    • Based on Entire Bar Bid Ask Volume Above Threshold - Difference: This will draw a single marker for a bar when there is one or more trades within the entire bar which equal or exceed the Volume Threshold Input setting. The displayed value and color shading is based on the Ask Bid Difference (Total Bar Ask - Total Bar Bid) for the entire bar.
  • Bid Dominant Color Range Minimum: This sets the color of the marker with the lowest volume among the markers which are considered Bid dominant. Bid dominant means there is more Bid Trade Volume than Ask Trade Volume at the price level for trades above the Volume Threshold. The Bid dominant volumes are colored from this color to the Bid Dominant Color Range Maximum color based upon their volume within the overall range of volumes which have markers, as determined by the Input for Marker/Color Size Based On.
  • Bid Dominant Color Range Maximum: This sets the color of the marker with the highest volume among the markers which are considered Bid dominant. Bid dominant means there is more Bid Trade Volume than Ask Trade Volume at the price level for trades at or above the Volume Threshold. The Bid dominant volumes are colored from the Bid Dominant Color Range Minimum color to the Bid Dominant Color Range Maximum color based upon their volume within the overall range of volumes which have markers, as determined by the Input for Marker/Color Size Based On.
  • Ask Dominant Color Range Minimum: This sets the color of the marker with the lowest volume among the markers which are considered Ask dominant. Ask dominant means there is more Ask Trade Volume than Bid Trade Volume at the price level for trades at or above the Volume Threshold. The Ask dominant volumes are colored from this color to the Ask Dominant Color Range Maximum color based upon their volume within the overall range of volumes which have markers, as determined by the Input for Marker/Color Size Based On.
  • Ask Dominant Color Range Maximum: This sets the color of the marker with the highest volume among the markers which are considered Ask dominant. Ask dominant means there is more Ask Trade Volume than Bid Trade Volume at the price level for trades at or above the Volume Threshold. The Ask dominant volumes are colored from the Ask Dominant Color Range Minimum color to the Ask Dominant Color Range Maximum color based upon their volume within the overall range of volumes which have markers, as determined by the Input for Marker/Color Size Based On.
  • Indicator Size (1 to 100): When Automatic Indicator Size is set to No, then this Input sets the size of the markers in pixels.
  • Text Size: When the Draw Volume Text Input is set to include the volume text, this Input sets the text size in font Points.
  • Automatic Indicator Size: When this Input is set to Yes, the markers displayed on the chart indicating large volume trades at a price level are automatically sized based on the volume. A marker will be larger for higher volumes and smaller for smaller volumes. The sizing is dependent upon the input for Marker Color/Size Based On.

    When the Draw Mode is set to one one of the Difference options, then the marker sizing is independent for the Ask and the Bid markers. That is, the Ask values markers size (positive numbers) are determined from the range of 0 to Largest Positive Value and the Bid values markers size (negative numbers) are determined from the the range of 0 to Largest Negative Value.
  • Minimum Automatic Indicator Size: This Input sets the Minimum size for the markers in pixels. This input applies in all cases, therefore if this value is greater than the Indicator Size then this Input will define the size of the markers.
  • Maximum Automatic Indicator Size: When Automatic Indicator Size is set to Yes, then this Input indicates the maximum size for the markers in pixels.
  • Use Transparent Draw Style: When this Input is set to Yes and Draw Volume Text is set to None, then the rectangle and circle markers will be drawn transparent. The level of the transparency is set through the Transparency Level for Fill Styles setting on the Subgraphs tab of the Study Settings window for the study.
  • Marker Color/Size Based On: The choices for the setting are All Loaded Chart Bars or Visible Bars Only. When this is set to All Loaded Chart Bars, then the marker coloring and sizing is based upon the maximum and minimum volumes throughout all chart bars loaded. This produces a very stable result for coloring and sizing of the markers. When this is set to Visible Bars Only, then the marker coloring and sizing is based upon the maximum and minimum volumes for the visible chart bars only.
  • Percentage above Median for Maximum Volume in Chart: This Input only applies when Marker Color/Size Based On is set to All Loaded Chart Bars. In this particular case, the median volume among all of the chart bars is determined. This volume is the volume defined by the Draw Mode Input. Once this median is calculated, 50 percent above the median, is the maximum volume for the chart. 50 percent below the median is the minimum volume for the chart. This Input controls the percentage above the median for what is considered the maximum volume for coloring and sizing the markers. For example, if you want 40 percent above the median to be considered the maximum volume, then set this to 40. The range for this setting is 1 to 50 percent.

    When the Draw Mode is set to one of the Difference options, then this setting only applies to the Ask values and establishes the largest volume to be used for coloring and sizing the markers with the Minimum value automatically set to 0.
  • Percentage above Median for Minimum Volume in Chart: This Input only applies when Marker Color/Size Based On is set to All Loaded Chart Bars. In this particular case, the median volume among all of the chart bars is determined. This volume is the volume defined by the Draw Mode Input. Once this median is calculated, 50 percent above the median, is the maximum volume for the chart. 50 percent below the median is the minimum volume for the chart. This Input controls the percentage below the median for what is considered the minimum volume for coloring and sizing the markers. For example, if you want 40 percent below the median to be considered the minimum volume, then set this to 40. The range for this setting is 1 to 50 percent.

    When the Draw Mode is set to one of the Difference options, then this setting only applies to the Bid values and establishes the largest volume to be used for coloring and sizing the markers with the Minimum value automatically set to 0.
  • Marker Alignment: This sets the location of the Marker relative to the bar that it is associated with. The following options are available:
    • Left: This places the Marker on the Left side of the bar.
    • Right: This places the Marker on the Right side of the bar.
    • Center: This places the Marker in the Center of the bar.
    • Left Candlestick Body: This places the Marker completely to the Left of the bar such that it does not touch the bar it is associated with. This may, however, cause the Marker to appear in the bar to the immediate left.
    • Right Candlestick Body: This places the Marker completely to the Right of the bar such that it does not touch the bar it is associated with. This may, however, cause the Marker to appear in the bar to the immediate right.
  • Entire Bar Marker Vertical Alignment: When the Draw Mode is set to one of the Entire Bar options, then this sets the vertical location of the marker. The following options are available:
    • High of Bar: This places the marker at the High of the bar.
    • Center of Bar: This places the marker at the vertical center of the bar ((High - Low) / 2 + Low).
    • Low of Bar: This places the marker at the Low of the bar.
  • Entire Bar Marker Vertical Offset in Ticks: This is how far from the Vertical Alignment position that the marker is drawn in ticks. Positive numbers move the placement up (higher prices) in the chart and negative numbers move the placement down (lower prices) in the chart.
  • Bid Text Color: This sets the color of the text that is drawn when the marker is considered Bid dominant and when the Draw Volume Text Input is set to either Transparent or With Background.
  • Ask Text Color: This sets the color of the text that is drawn when the marker is considered Ask dominant and when the Draw Volume Text Input is set to either Transparent or With Background.
  • Marker Style: This sets the style of the marker that is used. The following options are available:
    • Square: The markers are drawn as squares.
    • Circle: The markers are drawn as circles.
    • None: The markers are not drawn.

    When the Draw Mode is set to Based on Total Bid Ask Volume Above Threshold - Diagonal Difference it is possible to have both Diagonal Bid and Diagonal Ask values at the same price level. When this occurs, two markers are drawn, one for the Diagonal Bid and one for the Diagonal Ask. Additionally, the Diagonal Bid and Diagonal Ask markers are drawn offset from the standard centered position so that the Diagonal Bid markers are in their own column and the Diagonal Ask markers are in their own column.
  • Draw Volume Text: This controls whether the volume number is drawn or not. The following options are available:
    • None: The numbers are not drawn.
    • Transparent: This draws the numbers without a background.
    • With Background: This draws the numbers with a background.

    It is not supported to display Text with this study and at the same time have transparent circles or rectangles. Therefore, to have transparent circles or rectangles, this input needs to be set to None.

    When the Draw Mode is set to Based on Total Bid Ask Volume Above Threshold - Diagonal Difference and the text is displayed, it is possible to have both Diagonal Bid and Diagonal Ask values at the same price level. The text, in this case, is displayed with a vertical bar "|" separator between the values. Additionally, the Diagonal Bid and Diagonal Ask values are drawn slightly offset from the standard centered positions so that the Diagonal Bid values are in their own column and the Diagonal Ask values are in their own column.

Alert on Large Volume Trade

In order to obtain an alert when a bar has a Large Volume Trade, enter the following for the Alert Condition in the Alerts tab for this study:
SG1 > 0

When a Large Volume Trade is indicated, Subgraph 1 for the Max Trade Volume per Bar is set to the Maximum Trade Volume for that bar. Otherwise it is 0.


*Last modified Tuesday, 16th March, 2021.