Introducing Volume Analysis indicator

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Introducing Volume Analysis indicator

Post by Serg » Sun Feb 17, 2019 10:51 am

Volume Analysis (VA) indicator performs online (dynamic) statistical analysis of distribution of traded volume. Each data point in the distribution is signed size (Buy: +size, Sell: -size) of a “reconstructed” trade. VA computes and displays the following properties of such distribution:
  • Average
  • Variance
  • Skewness
  • Kurtosis
These 4 measurements correspond to 1st, 2nd, 3rd, and 4th Central Moments. The link also gives some intuitive interpretations.

In addition, the indicator displays:
  • Cumulative Volume
  • Cumulative Volume Delta (CVD)
CLH9.NYMEX@RITHMIC_screenshot_20190211_091026_000-001.png (230.29 KiB) Viewed 10290 times
Like any other add-on developed with Bookmap API, VA is a jar file. Download the latest one here: Make sure you have the latest Boookmap installed (7.0.0 build 66 or above). Click Settings->Api plugins..., then click "Add", and select the jar file. For a more detailed guide on how to install an add-on, read How to import API addons into Bookmap.

Volume Analysis addon is free for all Bookmap users at least until 01-Apr-2019.

Here are some of additional features that can be developed upon requests.
  • Sliding window. Instead of session accumulated statistics, it can allow computation to be done on a sliding window:
    • By time
    • By volume traded
    • By number of trades, quotes. In general, by any monotonic non-decreasing function.
  • Reset options. Allow the statistics to be reset:
    • Manually
    • At scheduled time(s)
    • Based on trader’s own trading activity, e.g. when entering (switching into) a non-zero position or based on order executions. Options: full / partial
  • Multivariable analysis
  • Similar analysis of market depth updates
  • Filtering by size of orders (requires MBO data: CME by Rithmic)
  • UI for configuration