Charting and Studies User Guide - CQG.com

Volume Calculation
Trade volume is associated with a bid or ask side in this way:
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• If the trade is less than or equal to the best bid, all of its volume is associated with the
bid.
• If the trade is greater than or equal to the best ask, all of its volume is associated with
the ask.
• If best bid and best ask are equal or crossed and the trade has occurred, half of its
volume is associated with the bid and half with the ask (except TFlow).
• If the trade is less than the best ask and greater than the best bid, its volume is split
between bid and ask inversely proportional to the distances to best bid/best ask, i.e. the
closer the trade is to the best bid, the higher the quantity associated with the bid.
Fractional volume is rounded to the closest integer (standard mathematics).
Filtered trade volume for a bar is calculated as the sum of the ask/bid/total volumes of
trades inside the bar, with the actual volumes greater than or equal to the given threshold.
Consecutive trades are considered as one large trade if all of the following conditions are met:
• They all happened on the same side (bid or ask).
• There were no intervening opposite side trades among them (trade that is split between
bid and ask is not considered intervening).
• They happened within 50 milliseconds of each other (TFlow only).
• No BBA updates occurred between trades.
If a large trade contains trades from several bars, its volume is assigned to the last bar.
If a trade is associated with the bid or ask side, the tick corresponding to this trade is
associated with the same side. If a trade is divided between both sides, then the corresponding
tick is divided between sides in the same proportion. Ticks assigned to bid and ask sides are
accumulated in the VolBid and VolAsk outputs.
Filtered tick volume is calculated as sum of ticks corresponding to:
• single trades, not recognized as large trades, with volume greater than or equal to the
given threshold, and
• large trades with volume greater than or equal to the given threshold.
The Volume study works with most chart types (bar, candlestick, equalized sessions, fill gap,
line, no gap, percent bar, tick, TFlow, time-based TFlow, yield, BarXData, CVBXData, and
TFXData). Total actual and tick volume are calculated for historical charts and for point and
figure charts built from bars. Total actual, bid, ask, and tick volume are calculated for point and
figure charts built from ticks.
Charting and Studies User Guide