Tick Volume by Price-Move Direction and Size

Summary

This indicator builds a live table of tick counts and traded volume grouped by volume-size bands and by whether price has moved up or down since the previous update. Users can adjust the volume thresholds and display colors. It shows separate buy-labeled and sell-labeled totals for the current bar and a rolling collection of bars, along with a volume-balance display and a marker when the bar’s direction differs from the balance between the two groups.

The classification is based on the direction of the price change and the volume increment multiplied by the current close; the script does not describe using bid and ask quotes to identify aggressor-side trades. Its labels should therefore be read as a directional proxy, not verified buyer-initiated or seller-initiated volume. The panel updates in real time and the displayed aggregation depends on the chart’s feed, settings, and script behavior. The document provides implementation details but no evidence that these readings predict future price movement.

Key ideas

• The indicator groups observed volume increments into configurable size bands.
• It assigns each increment to an up or down category based on the change in close price.
• The display reports tick counts and volume totals for the current bar and an accumulated bar window.
• A marker flags cases where bar direction conflicts with the relative up and down volume totals.
• The directional categories are proxies and do not establish trade aggressor side.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.