Charting and Studies User Guide - CQG.com

Page 48
Constant Volume Bar (CVB)
CVB bars are built based on volume - tick or exchange volume when available. Time is not a
factor.
Each bar in a Constant Volume Bar chart contains a specified volume level. This volume level is
reached by accumulating the volume of each of the underlying bars. When the volume level is
reached, the next Constant Volume Bar begins to accumulate volume from the underlying bars.
When you have a custom BATS filter on the chart to process best bid/ask quotes, each quote
affects the volume output in these ways:
• Total tick volume is increased.
• Bid/Ask tick volume, filtered tick volume, filtered bid/ask tick volume are not increased.
• Trader volume, filtered trade volume, bid/ask trade volume, and filtered bid/ask trade
volume are not increased.
You can apply large trade detection to volume using the Aggressive parameter.
Suppose these limit orders are working at a single price:
Chart Types
10 lots, 1 lot, 2 lots, 1 lot, 10 lots, 100 lots
An order is placed for 1 lot and fills against the first working order, making the quantities:
9 (partially filled), 1, 2, 1, 10, 100
Next, an order is placed for 3 lots, so the order sizes become:
6, 1, 2 ,1, 10, 100
Then, an order is placed for 100 lots, so the order sizes become:
0 (filled), 0, 0, 0, 0, 20
So, the fill amounts were:
1, 3, 6, 1, 2, 1, 10, 80
Constant volume bars indicate the number of lots (104) or the number of ticks (8) depending
on the value selected in the Type parameter.
Missing from this information is any indication that an order for 100 lots was triggered.
Both lots and ticks provide information about the passive side of trading. With the aggressive
parameter turned on, the number of orders (3) is exposed, revealing the role of aggressors in
the current market.
One application of these charts is to expose more information about high spike in volume. In
this image, we notice a spike in volume at 9:10-9:20 CT, but the specific candlestick does not
provide much information before the closing price.