Rolling Volume-at-Price Traces for Short-Term Order-Flow Analysis
Summary
The article extends a Volume at Price display with a rolling trace of traded volume by price and minute. It motivates the feature with short-lived moves beyond accumulation areas, such as stop-triggering spikes that quickly return. A minute-by-minute trace can show where recent activity occurred and help compare the move with Times & Trade and candlestick price action when judging whether the market is testing a level or reversing.
The implementation stores each tick’s classified buy or sell volume in a price bin and assigns it to a rotating time bucket, retaining a 30-minute window. The display overlays recent trace volume on the broader volume profile. The author discusses alternative color schemes and scaling problems: low or brief volume can become hard to see when widths are scaled to a larger maximum. The trace is an analysis aid, not a standalone signal; interpretation still requires context, and the article also describes chart-resizing and interaction fixes for its MQL5 interface.
Key ideas
- A rolling trace can show how volume at each price level changes over a recent time window.
- The example records tick volume in price bins and rotates the bins across minute-based buckets.
- Overlaying the trace on a broader Volume at Price profile can expose brief activity around accumulation zones.
- Display scaling and color choices can hide low-volume events or make active periods harder to distinguish.
- The trace should be interpreted alongside Times & Trade and price action rather than used alone.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.