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"