Traded Volume Visualization
Traded Volume Visualization
Volume Bubbles (Volume Dots)
Application
Bookmap displays transacted volume using the volume bubbles (or volume dots). Each bubble represents the aggregate volume that has been executed during a time period that is equivalent to a single-pixel slice of the user’s screen.
This time unit will change based on the level of zoom applied to your Bookmap chart: the more zoomed-in the view is the shorter the time period represented by a single-pixel slice will be and vice versa.
The size of volume bubbles is determined by the configuration (as explained below) and by an algorithm that scales the aggregated volume of executed trades at a specific pixel time unit in relation to the instrument’s average volume.
Interpretation
Users can gauge volume bubbles to gain information on the relative size of executions at specific time and price areas and which side has been more aggressive in these transactions. The precise location of the dot’s centre is determined by time (on the X-axis) and by the Volume Weighted Average Price (VWAP) of executions at the relevant time unit (the Y-axis). The identity of the aggressor side can be determined by the colour of the dot ,which is set on a gradient scale of two configurable colours representing buyers and sellers. A stronger colour represents a more aggressive action by the side associated with that colour. Users can assign the colours they want for buyers and sellers. See Colour Settings for more information.
Settings
To display or hide volume bubbles, click the studies icon above the chart and check the volume bubbles option on the studies panel.
Volume Dots Configuration Panel
Minimal Trade Size Settings
The Minimal Trade Size settings shows each transaction for the precise input amount. For example, if the setting is 100, then if a single transaction for 100 shares/lots occurs, then a volume dot will display. If a single trade for 90 occurs, then it will not display.
The Minimal Displayed Volume setting shows several transactions that occurred very quickly. So instead a one trade for 100 lots, perhaps 100 trades each for one lot unfolded. This is a typical occurrence in the HFT environment and why we have this setting. We can still capture that activity. If you set it for 100, then we are looking for a condition when 100 lots transacted very quickly. The display is based on when the 100 transactions occur within 1 vertical pixel slice on your monitor. Thus it changes based on your zoom level. If you zoom in and 100 transacted within more than 1 pixel it will not display. If you zoom out and then it's true that 100 transacted within one pixel, then the volume dot will display.
Various settings of volume bubbles can be accessed from the studies panel when clicking the Volume Bubbles item:
- Minimum accountable dot volume defines the threshold of aggregate volume equired to paint a volume dot.
- Dot size defines the scaling of the volume dots.
- Transparency sets the opacity level of the volume dots.
- Volume Dots Drawing Type defines how the classification of aggressor side will be indicated on the volume dot.
- Gradient displays the relative size of the aggressor side (buy and sell) as a scale of the 2 colors representing buyers and sellers.
- Solid displays the relative size of the buy and sell aggressor trades as a split of two solid colors.
- Pie displays the relative size of the buy and sell aggressive orders as a split pie.
- Volume Display Option
- Bubbles can be displayed in either 2-dimensional or 3-dimensional settings.
- Bubbles can be displayed as either the total volume traded per each dot or as the delta of the aggressive minus the passive transacted volume.
- Dot Clustering defines whether dots are clustered or not and the method of clustering. There are three clustering methods:
- Smart: Using an internal algorithm, Bookmap aggregates together several adjacent or overlapping dots into a single displayed dot that is positioned on the chart based on the weighted averages of the trades’ values and execution time. Use the slider to define the level of aggregation.
- Volume:Bookmap will create a volume bubble whenever the number of traded contracts reaches the number defined by the user. Thus, volume dots will have a similar size but they will appear in different frequencies depending on market activity. Note that the volume dot can represent more contracts traded than the configured number in cases where the last trade exceeds the configured volume size. For example, if the configured volume size is 100 but the volume dot is comprised of two single sequential trades for 50 and 100 contracts, the volume dot will show 150 contracts traded and not 100.
- Time: Bookmap will paint a volume dot every configurable period of time.
- Price: Bookmap will aggregate the trades (regardless of aggressor side) in a single dot as long as they occur at the same price.
- Aggregation by price: With this clustering method, all of the volume traded at the same price level is aggregated until volume starts trading at a different price level. Aggregation means that if you pause the chart and zoom in, the aggregated dots will not appear in their original locations on the chart.
Click on Apply to Bars to apply the volume bubbles clustering setting to the volume bars, or
Click on Inherit from Bars to align the volume bubbles clustering setting with that of the volume bars.
Volume Bars
Application
Bookmap also displays transacted volume using volume bars painted on the lower part of the heatmap. Each bar represents the aggregate volume that has been transacted during a time period that is equivalent to the pixel width of the bar.
This time period will change based on the pixel width configured for the bar and the level of zoom applied to your Bookmap chart: the more zoomed-in the view is the shorter the time period represented by a single-pixel slice will be, and vice versa.
Interpretation
Users can gauge the volume bars to gain information on the relative size of executions at a specific time and price and which side has been more aggressive in these transactions.
The identity of the aggressor side can be determined by the colour of the bar which is set on a gradient scale of two configurable colours representing buyers and sellers.
A stronger colour represents a more aggressive action by the side associated with that colour. Users can assign the colours they want for buyers and sellers.
See Colour Settings for more information.
Settings
- Bars Width is set to one pixel, by default. Use the settings window on the studies panel to change the width of the bars up to a max width of 15 pixels.
- Volume Bars Drawing Type defines how the classification of the aggressor side will be indicated on the volume bar. Use Gradient to display the relative size of the aggressor side (buy and sell) as a blend of the two colours representing buyers and sellers. Use Solid to display the relative size of the buy and sell aggressor trades as a split of two solid colours.
- Bars Clustering defines whether volume bars are clustered or not and the method of clustering. There are three clustering methods:
- Smart: Using an internal algorithm, Bookmap aggregates together several adjacent bars into a single bar positioned on the chart at the time-weighted averages of executions.
- Volume: Bookmap will create a volume bar every set number of contracts traded. Note that the volume bar can represent more contracts traded than the configured number in cases where the last trade exceeds the configured volume size. For example, if the configured volume size is 100 but the volume bar is comprised of two single sequential trades for 50 and 100 contracts, the volume bar will show 150 contracts traded and not 100.
- Time: Bookmap will paint a volume bar every configurable period of time.
- Aggregation by price: With this clustering method, all of the volume traded at the same price level is aggregated until volume starts trading at a different price level. Aggregation means that if you pause the chart and zoom in, the aggregated dots will not appear in their original locations on the chart.
Click on Apply to Dots to apply the volume bar clustering settings to the volume dots, or click Inherit from Dots to align the volume bars clustering setting with that of the volume dots.
In order to set the height of the volume bar display, hover with the mouse cursor over the volume bar area and drag the red line to the desired height.
The number on the right represents the max volume bar value during the displayed range.
