Volume Price Statistics (VPS)

Volume Price Statistics requires the Volume Analysis Package.

The Volume Price Statistics indicator provides the user with a variety of statistical measures based on the volume at price.

Presentation

vps

Above is a 30-minute of the S&P Mini Contract (ES #F, eSignal). The VPS indicator is plotted twice in the chart. In the upper pane, it's showing the Volume POC as a red stepped line. In the lower pane, it's showing the POC Volume as a histogram.

vpsPrefs
vpsPrefs2

Statistic

Style and color used to draw the VWAP and VWAP bands (if applicable).

  • Volume POC - The volume based POC, or price within the bar at which the most volume traded.
  • POC Volume - The volume of the POC, or the maximum volume at any price within the bar.
  • POC Volume % - The POC Volume as a percent of the total volume of the bar.
  • Avg Volume at Price - The average volume at price of all prices traded within the bar.
  • Max Trades Price (Mode) - The price at which the most trades were executed.
  • Max Trades at Price - The maximum amount of trades at any single price within the bar.
  • VWAP of Bar - The volume-weighted average price, computed using the volume and price of all trades within the bar.
  • Volume of Upper X Prices - The total volume of the highest x prices in the bar.
  • Volume of Lower X Prices- The total volume of the lowest x prices in the bar.
  • Volume of Upper X % of Range - The total volume of the highest x% of the range of the bar.
  • Volume of Lower X % of Range- The total volume of the lower x% of the range of the bar.
  • Volume Ratio (X Prices) - Ratio of the volume at the upper x prices divided by the volume at the lower x prices.
  • Volume Ratio (X Percent)- Ratio of the volume at the upper x% of bar divided by the volume at the lower x% of bar.
  • Volume Diff (X Prices) - Difference between the volume at the upper x prices and the volume at the lower x prices.
  • Volume Diff (X Percent)- Difference between the volume at the upper x% of bar and the volume at the lower x% of bar.

Draw as

Style, color, and size used to draw the VPS indicator within the chart.

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