Tick Volume Bars is an information-driven bar sampling method that creates bars based on cumulative volume reaching an adaptive threshold. Unlike time-based bars, Volume Bars adjust to market activity levels using real-time flow imbalance measurements.
Best For: Traders who care about total participation and volume distribution.
Core Metric: Tick Volume (V) - Total market activity
Version 1.0
Use Comments Section to ask for more details
Available for Video Session with Setup Guide after Purchase
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Core Concept
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Traditional Time Bars: Fixed intervals (1 min, 5 min, etc.)
- Problem: Market activity varies dramatically
- Same time period can contain 10 ticks or 10,000 ticks
Volume Bars: Variable intervals based on Volume
- Solution: Bars complete when sufficient volume accumulated
- Adapts to market activity using EWMA threshold
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Mathematical Framework
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1. Tick Classification (Tick Rule) - Each tick is classified as buy or sell based on price movement.
2. EWMA Buy Proportion - Tracks the running proportion of buy ticks using exponential weighting.
3. Adaptive Threshold Calculation - The threshold adjusts based on the dominant flow direction.
4. Volume Accumulation - Track cumulative buy and sell volumes.
5. Bar Completion Condition - A bar completes when cumulative volume reaches the adaptive threshold.
6. Delta Calculation - The delta measures order flow imbalance.
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Parameter Reference
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Core Settings
- Expected Bar Size E[T]: Target Volume per Bar
- EWMA Alpha: Smoothing factor
Fallback Mode
- Use Fallback Time-Based: Enable time-based bars ( enable sampling Volume data based on fixed time intervals)
- Fallback Minutes: Custom Time interval for data sampling
Daily Reset
- Daily Reset: Enable Volume Sampling Calculations Reset for each New Day / Session
- Reset Hour: Hour for reset
- Reset Minute: Minute for reset
- GMT Offset: Timezone offset
Volume Filter
- Enable Volume Filter: Toggle filtering - indicator will display only Filtered Volume Bars
- Min Volume: Minimum volume threshold
Visual Settings
- Show Volume Bar Labels: Toggle labels
- Show Divergence Markers: Toggle divergence markers
- Color Chart Candles: Toggle chart coloring
- Bar Transparency: Volume Bars OHLC transparency
- Bull/Bear Colors: Volume Bars Colors
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References
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- López de Prado, M. - Advances in Financial Machine Learning
- Chapter on "Information-Driven Bars"
