Live Volume Speed and Directional Volume from Lower-Timeframe Data
Summary
This indicator uses lower-timeframe bars to maintain a rolling tape of volume observations, their timestamps, and the direction of each price change. It sums volume associated with rising and falling closes, displays their relative shares as a two-sided scale, and reports average volume speed over the sampled interval. Users can choose traded volume or price multiplied by volume, select a lower timeframe, set the history length, and adjust the display and timezone. A configurable alert-like visual flash highlights a recent lower-timeframe volume observation that exceeds a multiple of the sample average.
The script is explicitly designed for live markets: its speed calculation is based on real-time elapsed time, and the historical chart displays a notice rather than equivalent live measurements. The direction labels are inferred from changes in successive closes, so they should not be read as exchange-classified buyer-initiated and seller-initiated trades. Results also depend on lower-timeframe data availability and the chosen sampling settings. The document describes an observation and visualization tool, not an entry or exit strategy, and offers no evidence that its readings predict returns.
Key ideas
- Lower-timeframe observations are collected to estimate recent volume and its speed in live trading.
- Volume is classified as up or down according to whether successive sampled closes rise or fall.
- The widget compares directional volume totals visually and reports average, minimum, and maximum speed.
- A recent volume observation can trigger a brief visual flash when it exceeds a configurable multiple of average volume.
- The live speed display is not presented as a historical backtest measure, and close-based direction is only a proxy for trade aggressor flow.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.