TRB — Tick Runs Bars Indicator
Detect Market Information Before Price Moves
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Version 1.1
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TICK RUNS BARS (TRB) INDICATOR
Tick Runs Bars extends market microstructure analysis by detecting directional persistence in trading flow. Also rooted in Marcos López de Prado's Advances in Financial Machine Learning, this indicator identifies when one-sided market pressure deviates from expected levels — revealing institutional order slicing and coordinated trading activity.
The Core Insight
Institutional traders execute large orders strategically — they slice them into smaller pieces, hide volume behind iceberg orders, or use algorithmic execution to avoid moving the market. These tactics leave distinct fingerprints in the form of persistent one-directional trading runs. Tick Runs Bars detect these patterns by measuring how long one side dominates the order flow, revealing when deliberate, aggressive ordering is occurring rather than random price fluctuations.
How It Works
The indicator calculates the length of buy-run volumes and sell-run volumes separately — not netting them against each other like traditional imbalance metrics. It tracks the maximum one-sided volume accumulation (θT) against a dynamic expected threshold derived from historical buy/sell probability and average volumes. When actual directional runs exceed expectations, a new TRB bar is triggered. This reveals the "structural shape" of order flow execution — the signature of institutional players at work.
Key Features
- Detects directional persistence independent of total volume traded
- Real-time run length visualization vs. expected thresholds
- Separate tracking of buy-run vs. sell-run dominance
- Chart candle coloring by TRB membership showing order execution phases
- Min Volume Filter to isolate truly significant institutional activity
- Dashboard metrics for run intensity and one-sidedness ratio
- Configurable Expected Bar Size and EWMA parameters adapted to instrument volatility
Why Use Tick Runs Bars?
- Identify institutional order execution in real-time — before completion
- Detect hidden liquidity and iceberg order patterns through flow analysis
- Distinguish coordinated trading from random market noise
- Capture price movement from structural order imbalances, not just statistical anomalies
- Time entries/exits during periods of known institutional participation
- Apply advanced market microstructure theory to gain edge on faster timeframes
- Reduce false signals from minor retail trading spikes
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