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Volume Spikes

Volume Spikes are clusters of large orders (Volume accumulation) that are executed in a certain amount of time through a definable set of ticks.

They are defined by time (t), price in ticks (p), and the traded volume (v). The ratio calculates the traded market volume against BID and ASK. The result is a ratio that defines which side has traded more contracts.

TradeFinder draws Volume Spikes signals in real time based on predefined signal filters, which can be adjusted individually to fit any instrument. The Volume Spike signal must be set individually for each traded instrument based on its respective average liquidity and average volume measurements. To assist with fine-tuning the settings, TTW-LiquidityTracker is equipped with a unique Current Average Liquidity meter and Current Average Volume meter.

Volume Spikes in TradeFinder In this example, 420 buys and 150 sells were accumulated during the specified duration.

Example

Volume Spike example The Volume Spike signals an accumulation of 2076 sell orders and 348 buy orders that traded 14 price levels and has a ratio of 6 (rounded 2076 divided by 348).

Schematic

Volume Spike principle Volume Spikes are defined by time, price and traded volume.

Signal attributes

The professional view of the Volume Spike shows a couple of specific attributes:

  • Price level where the Volume Spike occured
  • P: The Volume Spike price change in ticks, pips, or cents.
  • R: Rounded ratio between market Bid and Ask. These values help determine a stop run's "integrity" or "value".
  • Volume of market bid and market ask

Settings

Volume Spike settings Volume Spike settings in TTW-MarketExplorer

Enable Checkbox : Enable the checkbox to enable Volume Spike Signals on the trading chart.

Trigger Volume : The selected value filters the traded market volume. Volume size depends on the volume and liquidity of the respective instrument. (Refer to "Average Volume / Liquidity").

Maximum Duration : Maximum time, in seconds, for which the "Trigger Volume" must be transacted.

Price Range : Minimum number of price levels the market must trade through to trigger the signal. Range: 1-1000.

Ratio greater / equal : Shows signals where the signal-side ratio is greater than or equal to this value. The ratio calculates the traded market volume against BID and ASK and identifies which side traded more contracts. See the volume spike sketch above.

The ratio is calculated from the signal side:

  • Buy Volume Spike: buy volume / sell volume
  • Sell Volume Spike: sell volume / buy volume

For example, if 500 contracts buy at the Ask and 100 contracts sell at the Bid, the Buy Volume Spike ratio is 500 / 100 = 5.0. If 600 contracts sell at the Bid and 200 contracts buy at the Ask, the Sell Volume Spike ratio is 600 / 200 = 3.0. A very balanced spike with 510 buys and 500 sells has a ratio of 510 / 500 = 1.02.

Ratio less / equal : Shows signals where the signal-side ratio is less than or equal to this value. Use this to include close-to-equal Volume Spikes where buy and sell volume are both active in the same window. For example, 1.5 allows the larger side to be up to 50% larger than the smaller side. Default: 1.5, disabled.

When both ratio filters are enabled, a signal passes when either filter matches:

ratio >= Ratio greater / equal
OR
ratio <= Ratio less / equal

For example, setting Ratio greater / equal to 5.0 and Ratio less / equal to 1.5 shows strongly imbalanced spikes with a ratio of at least 5.0 and close-to-equal spikes with a ratio of at most 1.5. Ratios in the middle are filtered out.

High and low ratio Volume Spikes

The ratio filters are applied before chart markers and alerts, so filtered-out signals do not trigger alerts.

Common Ratio Setups

  • Classic one-sided spikes: Enable Ratio greater / equal, disable Ratio less / equal, and set the minimum ratio to a strong imbalance such as 5.0 or 10.0.
  • Equal-volume spikes only: Disable Ratio greater / equal, enable Ratio less / equal, and use a value such as 1.2 or 1.5.
  • One-sided or equal spikes: Enable both filters. For example, 5.0 and 1.5 show strong imbalance and close equality while filtering out ratios in the middle.

Design and Layout : Click on the "Edit"-Button to change the design, symbol, color, transparency, layout, position on the chart, and size of the signals on the chart. If you choose the design style "professional", you will get additional information.

Alert Sound (Live Trading only, not available in Replay) : The audio signal sounds when a Volume Spike occurs and meets the defined conditions.

Send Telegram Notifications (Live Trading only, not available in Replay) : Enabled / Disabled allows you to notify the messenger service "Telegram".