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Chart of the exchange traded fund XLF with the Volume POC.

Preference #2

• Volume POC - This plots the PRICE which experienced the most volume within each bar.

• POC Volume - This plots the greatest amount of volume that occurred at any one price within each bar. POC is the term that comes from Market Profile® that refers to the price with the most interest. In this case it is referring to the single Footprint® within each bar that contained the greatest volume.

• POC Volume % - This plots the % of volume that occurred at the highest volume price within each bar. Higher percentages show that higher concentrations of volume occurred at a single price, possibly indicating large block trades, etc.
• Average Vol at Price - This plots the average volume that occurred at each Footprint® (price) within each bar. Said another way, looks at the volume traded at each price and averages them together and plots that number.
• Max Trades Price (Mode) - This plots the price that experienced the most trades. So instead of monitoring the volume it is monitoring the number of trades.
• Max Trades at Price - This plots the greatest amount of trades that occurred at any particular Fooptrint® (price) within a bar. Said another way looks to see which price within each bar has the most trades and then plots that value.
• Max Delta Price - Plots the price which experienced the greatest absolute delta. Because delta can be either negative or positive, we take the absolute value and plot the price that is associated with the greatest value.
• Max Delta at Price - Plots the greatest absolute delta achieved at any price within the bar.
• Max Buy Vol Price - Plots the price which experienced the greatest buy volume. This is determined just like the bid ask Footprint® would represent trades on the bid and ask at any particular price.
• Max Buy Vol at Price - Plots the greatest buy volume achieved at a particular price within the bar.
• Max Sell Vol Price - Plots the price which experienced the greatest sell volume. This is determined just like the bid ask Footprint® would represent trades on the bid and ask at any particular price.
• Max Sell Vol at Price - Plots the greatest sell volume achieved at a particular price within the bar.

• VWAP of Bar - Plots the volume weighted average price for each bar. This is computed based on each bars data.

• Volume of Upper X Prices - For this one first specify what you want to calculate from the drop down then select for how many prices you want to be considered. If x=3, then it would consider the 3 prices at the top of each bar and plot that value based on what was selected from the drop down. See the example above. One strategy might be to look for instances where the number of trades spikes for the top 2 or 3 prices, signifying retail traders hurriedly entering the market with small lot sizes. We all know that the public is often wrong and this could be the top of a move.

• Volume of Lower X Prices - For this one first specify what you want to calculate from the drop down then select for how many prices you want to be considered. If x=3, then it would consider the 3 prices at the bottom of each bar and plot that value based on what was selected from the drop down. See the example above. One strategy might be to look for instances where the number of trades spikes for the bottom 2 or 3 prices, signifying retail traders hurriedly entering the market with small lot sizes. We all know that the public is often wrong and this could be the bottom of a move.

• Volume of Upper X % of Range - This will provide the information based on a specified percentage instead of absolute number of prices. If x=10 then it will calculate the upper 10 percent of range (which will vary based on height of bars) for whatever value specified from the drop down.

• Volume of Lower X % of Range - This will provide the information based on a specified percentage instead of absolute number of prices. If x=25 then it will calculate the lower 25 percent of range (which will vary based on height of bars) for whatever value specified from the drop down.

• Volume Ratio (Prices) - If x=5, this will take the volume (or whatever is specified from the drop down list) of the upper 5 prices of range and divide by the volume of lower 5 prices of range and give the result. The idea is to identify if the ratio of volume, trades, delta, buy volume, or sell volume (whichever is specified from the drop down) is lopsided at the highs of the bar versus the lows of the bar. So a resulting value of 3 means there is 3 times as much volume on the higher X number of prices of the range than lower X number of prices in the range. 

• Volume Ratio (Percent) - If x=33, this will take the volume (or whatever is specified from the drop down list) of the upper 33% of prices within the range and divide by the volume of lower 33% of prices within the range and give the result. The idea is to identify if the ratio of volume, trades, delta, buy volume, or sell volume (whichever is specified from the drop down) is lopsided at the highs of the bar versus the lows of the bar. 

• Volume Diff (Prices) - If x=5, this will take the volume (or whatever is specified from the drop down list) of the upper 5 prices of range and subtract the volume of lower 5 prices of range and give the result. It will show either a positive value or negative value. A positive value would signify more volume occurred in the top x prices of the range. A negative value would signify more volume occurred in the bottom x prices of the range. The idea is to identify if there was more volume, trades, delta, buy volume, or sell volume (whichever is specified from the drop down) at the highs of the bar versus the lows of the bar. 

• Volume Diff (Percent) - If x=20, this will take the volume (or whatever is specified from the drop down list) of the upper 20 percent of range and subtract the volume of lower 20 percent of range and give the result. It will show either a positive value or negative value. A positive value would signify more volume occurred in the top x% of the range. A negative value would signify more volume occurred in the bottom x% of the range. The idea is to identify if there was more volume, trades, delta, buy volume, or sell volume (whichever is specified from the drop down) at the highs of the bar versus the lows of the bar.

• Volume Above VPOC - Plots the sum of volume which traded above (and not including) the VPOC (high volume price within bar). This is computed based on data for each bar.. 

• Volume Below VPOC - Plots the sum of volume which traded below (and not including) the VPOC (high volume price within bar). This is computed based on data for each bar.

• Volume of Max Delta Price - Plots the total volume for the price which had the greatest delta within the bar.

• Delta Above VPOC - Plots the sum of the delta which traded above (and not including) the VPOC (high volume price within bar). This is computed based on data for each bar. 

• Delta Below VPOC - Plots the sum of the delta which traded below (and not including) the VPOC (high volume price within bar). This is computed based on data for each bar. 

• Buy Vol Above VPOC - Plots the sum of the ask traded volume which traded above (and not including) the VPOC (high volume price within bar). This is computed based on data for each bar. 

• Buy Vol Below VPOC - Plots the sum of the ask traded volume which traded below (and not including) the VPOC (high volume price within bar). This is computed based on data for each bar. 

• Sell Vol Above VPOC - Plots the sum of the bid traded volume which traded above (and not including) the VPOC (high volume price within bar). This is computed based on data for each bar. 

• Sell Vol Below VPOC - Plots the sum of the bid traded volume which traded below (and not including) the VPOC (high volume price within bar). This is computed based on data for each bar.

• Delta Above Midpoint - Plots the sum of the delta for all the prices that occurred above the mid price level of the bar.
• Delta Below Midpoint - Plots the sum of the delta for all the prices that occurred below the mid price level of the bar.
• Vol of Max Delta Price - Plots the volume of the price that experienced the greatest absolute delta. So if the largest absolute value was a negative delta, that value will be used. 
• POC Delta - Description coming soon.
• POC Buy Volume - Plots the ask traded volume for the price that experienced the most volume.
• POC Sell Volume - Plots the bid traded volume for the price that experienced the most volume.
• Volume Above Open - Plots the sum of the volume for all the prices that occurred above the open price level of the bar. Open price is included.
• Volume Below Open - Plots the sum of the volume for all the prices that occurred below the open price level of the bar. Open price is included.

The preference #2 window above shows additional options in the drop down for the additional statistics listed below. There are many combinations. Notice that the drop down shows "Volume =" Simply select from the drop down list what you want computed.

For Example: Looking at the preferences window above, if you choose the statistic "Volume of Upper X Prices" and specified "Buy Volume" from the drop down list and X=3, this would sum up the buy volume (bid traded volume) of the upper 3 prices contained within each bar.

Taken from the drop down list above, these are the definitions. 
Volume would be traded volume. 
Trades is the actual number of trades. Delta is the delta, which is the net difference between trades at the ask price and the bid price. 
Buy Volume is ask traded volume. This can be seen using the bid/ask Footprint®.
Sell Volume is the bid traded volume. This can be seen using the bid/ask Footprint®.

Draw As - Controls how the data is drawn. One of the most popular is Line, Stepped.

Volume Price Statistics is unique to MarketDelta and probably the most powerful indicators in the software. It unlocks the power of intra-bar information by leveraging the information only the Footprint® can offer. We envision this allowing traders and system developers to come up with all sorts of new ways to create signals in custom indicators. All the current options are listed above under STATISTIC. If you have ideas for more please let us know and we will consider adding them for the benefit of all.

Click the "Full Screen" button or click here to view the Hi-Res version.

The RTL token for Volume Price Statistics is VPS. Each of the statistics mentioned above can be accessed using the VPS token in RTL to create powerful new ways to create signals and test for new patterns. A signal that looks for the POC Volume to be greater than 1000 would use the following syntax:

VPS > 1000

Examples found in blog and video library.