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Volume Per Tick

Volume Per Tick

The Volume Per Tick indicator is an advanced volume analysis tool designed to uncover hidden market dynamics by analyzing the relationship between volume and price spread. By calculating the Volume Per Tick (VPT) and comparing it to historical time-specific averages, this indicator highlights exact moments of unusual market participation, absorption, and exhaustion.

🧠 Core Concepts

1. Volume Per Tick (VPT):
Traditional volume only tells you how much was traded, but VPT tells you how much effort was required to move the price. VPT is calculated by dividing the volume of a candle by its price range (High - Low).

High VPT means a lot of volume was transacted within a tight price range (heavy resistance/absorption).
Low VPT means price moved easily with very little volume (efficient movement).

2. Time-Specific Average:
Volume naturally fluctuates throughout the trading day (e.g., the open has higher volume than the lunchtime lull). This indicator calculates a dynamic historical average of VPT for the exact time of day (e.g., comparing 10:00 AM today to the average of 10:00 AM over the last 20 days). This eliminates false signals caused by natural intraday volume variations.

🎨 Color-Coded Signals

The VPT columns are color-coded to instantly identify significant shifts in order flow:

🔵 Blue (Big Increase): The current bar's VPT has surged significantly compared to the previous bar. Indicates a sudden influx of participation or a major clash between buyers and sellers.
🟢 Green (High Volume Node): The current VPT is exceptionally higher than the historical Time-Specific Average for this exact time of day. Highlights abnormal, standout volume nodes.
🟠 Orange (Big Drop): The VPT has dropped significantly compared to the previous bar. Indicates a sudden lack of interest or a highly "efficient" price move with no resistance.
⚪ Silver (Default): Normal VPT activity.

💡 Example Scenarios & Trading Use Cases

Scenario 1: Identifying Absorption at Key Levels
Absorption occurs when aggressive market orders are completely filled by passive limit orders, keeping the price range tight despite heavy volume.

The Setup: Price approaches a known resistance level.
The Signal: As price hits the level, the candle closes with a small body/tight range, but the indicator prints a massive Blue or Green VPT column.
The Meaning: The high volume (effort) resulted in very little price movement (result). If at support, sellers are aggressively selling, but strong limit buyers are absorbing all the pressure. This is a classic hallmark of accumulation and often precedes a sharp reversal away from the level.

Scenario 2: Spotting Efficient Reversals
Markets often move toward liquidity efficiently, only to violently reverse when the liquidity is tapped.

The Setup: Price makes a strong push in one direction with completely normal or low VPT (often printing Orange columns). This means the price is moving easily because there is no opposing liquidity blocking its path (an efficient move).
The Signal: Suddenly, a Blue or Green column appears, interrupting the efficient move, often resulting in a wick or rejection candle.
The Meaning: The "easy" move has abruptly hit a wall of liquidity. The sudden spike in VPT confirms that the opposing side has stepped in with heavy volume. Traders can use this sudden shift from low VPT to high VPT as a trigger to enter a reversal trade.

⚙️ Features & Alerts

Dynamic Asset Support: Automatically pulls appropriate ETF volume data for major futures indices (e.g., uses QQQ volume for NQ, SPY for ES, DIA for YM, IWM for RTY) to ensure the most accurate volume readings.
Customizable Time Windows: Set specific alert sessions (e.g., 0930-1100) to ensure you are only notified during high-probability trading hours.
Targeted Alerts: Receive real-time alerts whenever a Blue (Big Increase) or Green (High Volume Node) condition is met during your predefined session.
Testing Mode: Visualize your alert timeframes and triggers directly on the chart using background highlights and visual markers to fine-tune your strategy.

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