Introducing Volume Analysis indicator

[Serg]

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 15441 times

Installation
Like any other add-on developed with Bookmap API, VA is a jar file. Download the latest one here: https://bookmap.com/addons/VA. 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.

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

Roadmap
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