Volume Normalization and Contract-Threshold Filtering Around Auctions

Summary

This document describes a volume indicator that combines auction-period adjustment with a contract-volume threshold. It divides volume by an auction factor to normalize the elevated activity associated with the market opening, and can filter or highlight bars when volume exceeds a user-selected contract threshold. The described output distinguishes auction-adjusted volume from total volume and marks threshold-qualified activity.

The text gives examples for shares and futures, including BBVA, FDAX, and the S&P 500, and provides indicator logic for applying the auction filter and contract threshold. These examples illustrate intended instrument-specific settings rather than measured results. The document does not supply validation, performance comparisons, or guidance for choosing thresholds, so the indicator is best understood as a visualization and volume-screening aid whose settings may need to vary by instrument.

Key ideas

• The indicator adjusts volume to account for activity during the opening auction.
• A configurable contract threshold can highlight bars with comparatively large volume.
• The described logic separates auction-adjusted volume from total volume.
• The document gives examples across shares and futures but no performance validation.
• Threshold settings are instrument dependent and are not evaluated in the text.

Tags

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