Charting and Studies User Guide - CQG.com

Constant Volume Bars Parameters
• Display
• Volume Level: Selects the volume covered by each bar.
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• Type: Select Exchange or Tick or Tick Only. For Exchange or Tick, exchange volume
is used if it’s available, otherwise ticks are used. Tick volumes are the number of price
changes that occurred during a specified time period.
• Flat Ticks: If checked, 0-plus and 0-minus ticks will be used when building the bars.
• Aggressive: If checked, large trade detection is applied to quotes. Consecutive trades
are considered one large trade if all of the following conditions are met:
o They all happened on the same side.
o There were no intervening opposite side trades among them (trade that is split
between bid and ask is not considered intervening).
o They happened within 50 milliseconds of each other (TFlow only).
o No BBA updates occurred between trades.
If consequent trades are combined into one large trade, they are considered one tick. If
trades inside one large trade were executed at different prices, then all prices are used
to construct the new OHLC of the CVB bar. Applies only to tick volume. Must be used
with flat ticks. Requires enablement.
Charting and Studies User Guide