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Investor/RT Tour ( more on Technical Indicators )
Volume Breakdown (VB)
Volume Breakdown Comprehensive Overview
Video Demo of Volume Breakdown
Video Demo of Volume-Driven Functionality in Investor/RT
Video: Mixed Periodicity Delta
Video: Trendlines on Cumulative Delta Bars
Video: Zig Zag on Cumulative Delta Bars
Video: All About Cumulative Delta Bars
Video: Effective Volume Indicator - 1-Minute Cum Delta
The Formula . . . 

. . .more on Formulas 


Volume Breakdown requires the Professional version of Investor/RT.

Delta = Buy Volume - Sell Volume
Buy Volume (Ask Volume) = volume that traded at or above the ask price.
Sell Volume (Bid Volume) = volume that traded at or below the bid price.

See the Preferences section below for information on the various results and calculations that are available from within Volume Breakdown, including accumulation, statistics, and applying indicators to VB Results.
 

 
The Presentation . . . 

. . . more on Charts 

Above is a 5-minute of the S&P E-mini Futures Contract (ES #F, eSignal).  The second pane shows the per-bar Delta.  The third pane shows the accumulated Delta Bars for the day.  The bottom pane shows a 14 period triangular moving average of the per-bar Delta.

 
The Preferences . . . 

. . . more on Preferences 

  • Breakdown Volume - Volume can be broken down based on either of two methods:
    - Ask Traded vs Bid Trade Volume - Volume that trades at the ask price is considered buy volume, while volume that trades at the bid is considered sell volume
    - Up Tick vs Down Tick Volume - Volume that trades on or subsequent to an up tick is considered buy volume, while volume that trades at or subsequent to a down tick is considered sell volume.

  • Result - This list dictates what the VB indicator will compute (before applying any accumulation or statistics to it).  Result options include:
       - Delta (Buy - Sell Vol) - difference between the buy volume and the sell volume
       - Delta Bars - same as "Delta", except drawn in a candle bar format, which displays the opening de
       - Buy Volume - Volume that traded at or above the ask.
       - Sell Volume - Volume that traded at or below the bid.
       - Sell Volume (Negative) - Volume that traded at or below the bid, expressed as a negative value.  This option is there so that Buy Volume and Sell Volume histograms may be added to the same pane, but drawn on different sides of the zero line.
       - Total Volume - Total volume traded.
       - Total Trades/Ticks - Total number of trades or ticks.
       - Buy Volume % - Percent of volume within each bar which was classified as Buy Volume.
       - VWAP - Volume weighted average price of each bar. Each tick is weighted by it's volume to produce a weighted average price of all ticks within each bar.
       - Big Volume % - Percent of volume within each bar which was classified as "Big Volume". "Big Volume" is defined as any trade with a size greater than a size specified to the right of the "Consider Only Trades With Volume" checkbox. That Volume Box will be editable whenever "Big Volume %" or "Big Trade %" results are selected.
       - Big Trade % - Percent of Trades within each bar which was classified as "Big Volume". This result simply deals with the number of trades, as opposed to the size of those trades.
       - Average Size - Average size of the trades which occurred within any given bar.
       - Max Delta - The maximum delta value achieved within each bar.  This is equivalent to the high seen for each deltabar.
       - Min Delta - The minimum delta value achieved within each bar.  This is equivalent to the low seen for each deltabar.
       - Delta Momentum - Delta Momentum essentially sums up the delta values while the per bar delta remains on the same side of the zero line. When delta turns from positive to negative, the result will reset to that negative values, and the result will continue to accumulate while the deltas remain negative. When delta becomes positive, the result will reset back to that positive value, and accumulate from there while delta remains positive.
       - Delta Mom Count - Delta Mom Count works in the same way, except it simply counts how many bars delta has remained positive or negative consecutively. A value of -5 means we've had 5 consecutive negative delta bars.
       - Matching Volume - High - Amount of volume that traded on both sides (buy and sell volume) at the high of the bar.  In general, at the high of the bar, most (if not all) volume will trade at the ask (buy volume).
       - Matching Volume - Low - Amount of volume that traded on both sides (buy and sell volume) at the low of the bar.  In general, at the low of the bar, most (if not all) volume will trade at the bid (sell volume).
      - Avg Buy Size - Average size of all trades that came in on the buy/ask side.
      - Avg Sell Size - Average size of all trades that came in on the sell/bid side.
      - VWAP(Day) - Volume Weighted Average Price of all tick accumulated throughout each session.
      - VWAP(All) - Volume Weighted Average Price of all tick accumulated throughout the entire view period of the chart.
      - Delta Finish - This is the pullback of delta from it's last high or low.  If Delta last bounced off it's high before completing bar, the finish will be negative (or zero).  If Delta last bounced off it's low before completing bar, the finish will be positive (or zero).
      - Time in Bar (Secs) - Amount of time, in seconds, spent in each bar.  Especially useful for tick-based periodicities like tickbars, volume bars, range bars, PNF, Renko, etc.
      - Tick Frequency Rating (Live) - The "Tick Frequency Rating" option gives the user an indication of the frenquency of trades in combination with tick direction (buying or selling). This rating will plot on a scale from 1 to 100+ (or -1 to -100+). A value of 1 signifies that the tick came in over 5 seconds from the previous tick. A value of 100 signifies that a tick came in right on top of the previous tick (essentially at the same millisecond). Values beyond 100 signify that multiple ticks continued to come in on top of one another. Values in between 0 and 100 are plotted with a reverse logarithmic scale. In essence, the higher the values, the faster the frequency of ticks. In addition, these values are plotted as positive values on buy ticks are up ticks and as negative values on sell ticks or down ticks (depending on how VB is setup). This result only works realtime, and therefore will begin forming from the time the chart containing it is opened, or from the time it's added to a chart. It also works best in on 1 tick charts. When viewed on other periodicities, it will sum the values of all ticks within the bar.
      - Ask Size (Live Only) - Plots the ask size at the time of each tick or trade. These values only plot live (the VB will be blank when initially opening the chart and build from there). The ask size plots as a positive value.
      - Bid Size (Neg) (Live Only) - Plots the bid size at the time of each tick or trade. These values only plot live (the VB will be blank when initially opening the chart and build from there). The bid size plots as a negative value, and plots nicely in a pane along w/ Ask Size.
      - Logarithmic Pressure Ratio - LOGe (Buy Volume / Sell Volume).  Commonly a moving average is applied to this result.
      - Money Flow (Delta x Close) - Delta of the bar multiplied by the closing price of the bar.
      - Buy Trades/Ticks - Number of trades that occurred at or above the ask.
      - Sell Trades/Ticks - Number of trades that occurred at or below the bid.
      - Buy Dollar Value - A summation of the Close x Volume of each buy tick within the bar.
      - Sell Dollar Value - A summation of the Close x Volume of each sell tick within the bar.
      - Delta Change - Change in the delta from current bar.  In other words, current bars delta minus previous bars delta.  This is a good indication of the direction of delta.
      - BId Price Change - This result counts how many times the bid price changed within each bar.
      - Price Change - This result counts how many price changes occurred within each bar.
      - Bid Bar Delta - This result accumulates the buying volume and selling volume of each 1 second period.  It also accepts a volume filter which is placed in the "Consider Trades With Volume" field.  If the buy volume of any given second exceeds the volume filter supplied, it is accumulated into the buying volume of the bar.  If the sell volume of any second exceeds the filter, it is accumulated into the sell volume of the bar.  The result for each bar is the accumulated buy volume minutes the accumulated sell volume.  This result essentially applies a filter, not on every trade, but on an accumulation of the trades within each 1 second period.
     

  • Normalize - An option was added to the Volume Breakdown indicator to allow the user to "Normalize" the result. When the "Normalize" checkbox is checked, the VB Result (such as Delta) is divided by the volume and then multiplied by 100, to give in effect a positive or negative percent of total volume. For instance, a normalized delta of 34 would mean that the delta was positive, and 34% of the total volume. A result of -100 would mean that all the volume traded in that bar was sell/bid volume (negative).

  • Accumulate/Avg/Max/Min - The Accumulate option allows the user to accumulate the values computed from the Result choice throughout the day (or throughout the entire chart).  If "Days Values" is chosen, the accumulation will begin fresh each day, and accumulate throughout the day.  If "All Values" is chosen, the accumulation will start at the begin of the chart and continue throughout the chart.  In addition to "Accumulate", options are also available to compute the Average, Maximum, or Minimum value of the day (or entire chart).

  • Statistic - A Statistic (or indicator) calculation can also be applied to the Result.  Choices include.
       - None - No statistic is applied.  Just use the raw Result computed above.
       - Average
    - Average the values using the Period specified to the right.
       - Sum
    - Sum the values over the period specified to the right.
       - Maximum
    - Find the Maximum value over last n bars (n = Period)
       - Minimum
    - Find the Minimum value over last n bars (n = Period)
       - Avg (Least Square)
    - Performs a least square average using the Period specified.
       - Indicator
    - When this option is chosen, the user is then presented with a list of technical indicators from which to choose (all built-in indicators that I/RT offers).  Select the desired indicator and then click the "Setup" button just to the right to specify the indicator preferences.  This indicator will be applied to the Result to compute the final values.
       - Speed (Per Second) - divides the "result" by the number of seconds in the bar.
      - Speed (Per Tick) - divides the "result" by the number of ticks in the bar.
      - Speed (Per Unit Volume) - divides the "result" by the volume of the bar.
      - Tick Momentum (T/t) - multiplies the "result" by the number of ticks in the bar, then divides by the time (in seconds) of the bar.
      - Volume Momentum (V/t) - multiplies the "result" by the volume of the bar, then divides by the time (in seconds) of the bar.

  • Consider Only Trades with Volume (Filter) - This option gives the user the ability to apply a filter to the trades consider in the calculation.  The user can choose to consider only trades > than a given size, < than a given size, or = to a given size.

  • Draw As - Style used to draw the indicator in the chart.

 
The Description . . .
The Volume Breakdown is a powerful and flexible indicator used to gauge buying and selling pressure, and has attracted quite a bit of attention in recent months. It looks inside each bar, breaking down and classifying each tick and then accumulating the results, and further giving the user a variety of statistical measures (including all built-in technical indicators) to apply the these results. The most common use of the VB indicator is to calculate the delta (difference between the buy (ask-traded) and sell (bid-traded) volume) of each bar. Positive deltas signify more buying pressure, while negative deltas signify more selling pressure. The magnitude of the delta determines the strength of that pressure. Expect to see positive deltas during uptrends and negative deltas during downtrends, but look for delta turning negative at highs, or turning positive at lows...a sign of possible market turns and good entry/exit points.

With the VB indicator, the Delta can be computed, accumulated, and run through a variety of statistical/indicator computations.

The VB indicator is unique in that it loads tick data (when initially computing) regardless of the timeframe of the chart, in order to breakdown the volume of each trade, and calculates on each tick.  While it may take a few moments to initially add VB to a chart, or load a chart which involves VB, the VB indicator is designed to calculate very efficiently on a tick-by-tick basis, regardless of the combination of settings selected.

RTL Token . . . ( more )
The RTL Token for the Volume Breakdown indicator is VB.  A common system for trading the VB might be to look for VB turning positive after 3 negative values:

VB > 0 AND MAX(VB.1, 3) <= 0
 

Keyboard Adjustment . . .
NA

For more information on technical indicator adjustment, click here.
 

User Strategies . . . 
Here's how I use the VB indicator:

Basically, when we hit that extreme reading, this is where I start drawing a trendline on my volume breakdown indicator. We need to have one more high/low from that initial point to connect 2 points for a line. Once we get a break above or below that trendline, I put in an order to go with the direction of the momentum. Heres some examples with the chart below.
  • The first of the day was right after 9:30. I got my short signal at 12256. The pivot below at 242 was completely taken out, and quickly, so my next exit point is at 12208, VAL. 48 points.
  • The second of the day was right back after a bounce off of VAL. Short was at 12218. There was continually lower highs until 12165, or right about S1.5. 53 points.
  • The third was right after that signal to get out, and it was long right at S1.5 as it broke 12157. 12208 was the pivot to exit at. 51 points.
  • The fourth was on a retracement to VAL after it broke through it at about 12198. Id watch for S1.5 as that has been good support at 12155. 43 points.

So, 4 amazing setups, none were stopped out and it was good for 198 points. I had about 130 points off of these similar pivots for yesterday.

Chris

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If you have a User Strategy you'd like to share, please email to support@linnsoft.com