TFlow (TFlow)

TFlow offers not only quote data, but also depth of market data. TFlow are built from a DOM data and consist of:

• Low that indicates the lowest bid traded at the start of the bar. If no trades occurred at the bid, this value is the highest bid.

• High that indicates the highest ask traded at the start of the bar. If no trades occurred at the ask, this value is the lowest ask.

• Bid volume (BV) that indicates the volume of the trades at the bid side accumulated over the bar.

• Ask volume (AV) that indicates the volume of the trades at the ask side, accumulated over the bar.

The current TFlow bar is closed and a new bar opened when any of the following price conditions occur (except Fixed Income):

• Last trade is greater than the bar's high.

• Last trade is lower than the bar's low.

• Best bid is greater than or equal to the bar's high and best bid is not equal to best ask.

• Best ask is less than or equal to the bar's low and best ask is not equal to best bid.

• Best bid is greater than traded bid of the current bar.

• Best ask is less than traded ask of the current bar.

• The first tick occurs in a new session.

If both best bid and best ask are updated at the same time, they are processed simultaneously.

In order to compress TFlow market data, you can aggregate TFlow in three ways: bars, range, and smoothing. Aggregated TFlow bars provide the same information as one-tick bars, but they are compressed into a single bar based on a number of bars or range.

Bar aggregation is used to highlight support and resistance levels. Setting the aggregation to three bars (aggregation = bars, aggregation level = 3) tells the system to combine every three bars into one bar.

Range Aggregation compresses market action making better use of screen real estate. Setting the aggregation to a range of five ticks (aggregation = range, aggregation = 5) tells the system to create new bar for every five ticks.

Smoothing Aggregation uses a proprietary algorithm to reduce market noise around the trendlines, allowing you the opportunity to spot key market turns.

Explanation of Volume Calculation

To set aggregation preferences

You can set aggregation preferences in two ways: using Chart Preferences or using the TFlow parameters window.

Using Chart Preferences

1. Click the Setup button and then click Chart Preferences.

2. On the Main tab, choose Bars, Range, or Smoothing in the Aggregation field.

3. Enter a value in Aggregation Level.

Using TFlow parameters

1. Right-click the chart, and then click Modify Study Parameters. The parameters window will open.

2. In the Aggregation field, choose Bars, Range, or Smoothing.

3. Set the aggregation level.

4. Click OK.

TFlow Outputs

The cursor value box, QFormulas toolbox, mouse tool tips, and tabular display all contain these outputs:

• High

• Low

• AV = Ask trade volume.

• BV = Bid trade volume.

• AV1 = Ask trade volume of previous bar.

• BV1 = Bid trade volume of previous bar.

• AvgCompr = Number of individual TFlow bars that are included in an aggregated TFlow bar based on aggregation type and aggregation level. If Aggregation = Bars, then AvgCompr = Aggregation Level.

TFlow Parameters

TFlow

Parameter	Description
MarkIt	Opens the Specify Conditions for Marking Bar window.
Vol Threshold	Values: • Percent of Average = values are percent of average volume, calculated as the arithmetic mean of total volume of all bars in the same session from the previous trading day. • Percent Rank = indicates where the bar falls relative to lookback period. If the previous day's average is not available, then Actual volume values will be displayed. • Actual • No Normalization = changes the bar color to black and removes weighted volume. Range of the bid and ask is displayed.
Aggregation	Select from: Bars = aggregates TFlow bars by number of bars set in Aggregation Level Range = aggregates TFlow bars by number of ticks set in Aggregation Level Smoothing = aggregates TFlow bars using a proprietary algorithm and number of bars set in Aggregation Level
Aggregation Level	Tells the system to create a new bar for every n bars (up to 50) or when the range exceeds n ticks.

TFLow: XL Vol, Lg Vol, Med Vol, Sm Vol

Parameter	Description
Vol Threshold	Choose how the bars should look based on their volume. For example, if the percentage of volume is greater than 90, then the bid bar is bright red and ask is bright green. Or, if the actual volume is greater than 10, but less than 50, the bid bar is dark red and the ask is dark green.
BVol	Select the color for bid volume bars for each size of bar.
AVol	Select the color for ask volume bars for each size of bar.