Order Flow Trade Detector

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Order Flow Trade Detector

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Description
An indicator which displays significant trade volume either at a consistent bid/ask level, at price levels, or individual block trades. The marker is colored based on what percent of orders were considered buy or sell orders. Buy volume is volume that occurred at the ask or higher. Sell volume is volume that occurred at the bid or lower.

 

tog_minus        Order Flow Trade Detector Overview

Display
In the image below we can see where considerable volume has occurred per the settings that were input. The markers are plotted on the Last price, once the market has finished building.

Hovering the mouse over the trade marker will display information about the marker by default. Here there was a volume of 600 on the sell side (indicated by S: 600) and there was a volume of 310 on the buy side (indicated by the B: 310).

 

OFTD1

 

 

Using the Order Flow Trade Detector

There are 3 main modes to help indicate areas of volume that may be of interest in your order flow analysis.

1) Consistent bid/ask

2) Price

3) Block

 
1) To detect areas of significant volume that occurred while the last price jumped between a bid and ask price that stayed the same, across multiple bars, you would select Consistent bid/ask.

 

OFTD2

 

 

2) To detect large volume that occurred at a price level within the bar, you would select Price as seen in the image below.

 

OFTD3

 

 

3) To detect large volume from individual ticks, you would select Block as seen in the image below.

 

OFTD4

 

 

 

Notes: If there is an excessive amount of trade markers on the screen you will need to increase the Minimum volume for a marker to decrease the number of markers.

To plot historically requires historical tick data. See the Data by Provider section for information on what providers offer historical tick data.

May not display on Forex instruments as expected. Many Forex data providers do not provide volume or they just assign a volume of 100,000 to every tick.

 

 

tog_minus        Order Flow Trade Detector Parameters

 

Base large volume on

 

Consistent bid/ask

With this setting volume will continue to accumulate to form a marker so long as the bid and ask levels stay the same. If the bid and/or ask price changes, a new accumulation of volume will occur to create the next marker. The marker will be plotted on the Last price.

Price

With this setting volume will continue to accumulate to form a marker at each price level within a bar. Each new bar will restart accumulation of volume at each price level of the current bar.

Block

With this setting a marker will be plotted for each tick that has a volume equal or greater than the Minimum volume for a marker.

Minimum volume for marker

Indicates how much volume must occur before a marker is plotted

Maximum marker size

Indicates the diameter in pixels of the marker which has the largest volume

Base marker size on

 

Visible area

The size associated to markers will be distributed based on the volume of the markers in the visible area

Session

The size associated to markers will be distributed based on the volume of the markers in the current session

Show values on hover

When enabled and the mouse is hovered over a marker, the buy and sell volume will be displayed.

Notes: The values displayed will be for the top marker if markers overlap one another. Disabling this setting can improve performance when there is a large amount of markers on the screen.

Color for buys

Color used for volume received at the ask or more

Color for sells

Color used for volume received at the bid or less

Color for outline

Outline color of the marker

Opacity

Opacity of the marker