This indicator detects and exposes hidden order volume (iceberg orders) within a bar using a proprietary algorithm.
Algo Orders can be applied to chart intervals up to and including daily and to all chart types. It applies only to single symbols (not spreads or other expressions with two or more inputs).
Display
The Algo Orders study is displayed below the chart and includes a bid and ask histogram for one of three possible outputs, selected in the Histogram parameter:
•Volume = total volume of all detected hidden orders for all price levels by trade side within the bar
•Volume Max = maximum hidden order volume detected within the bar, that is, the volume associated with the hidden order that has the highest volume within the bar
•Count = count of detected algo orders inside the bar
The ask-side histogram is represented as negative values to show bars below the zero level.
Calculation
The value of single bar is the aggregated value of detected algo orders for time stamps included in the time range of the bar. The time range starts at bar start time and ends on the start time of the next bar or on the valid close of the current session.
If the start and end time are equal within milliseconds, sometimes possible for CVB charts with small aggregations, then algo orders are assigned to the latest bar with same time stamp.
If a bar has no corresponding algo orders, “none” is shown instead of the distribution.
Outputs
Hover the mouse over a histogram bar to see study information in this format:
{formatted price}: {executed volume} - {displayed volume}
Buys are listed before sells, prices are in ascending order, and the bar time is indicated after the order list.
If the number of prices in the distribution is greater than 20, then price intervals are used distribution:
{formatted price1} - {formatted priceK}: {executed volumeB1-K} - {displayed volumeB1-K}
Prices are divided into intervals evenly with at least 2 prices per interval.
These corresponding outputs are available in the Formula Toolbox:
•AlgOrdBidCount - number of bid-side algo orders
•AlgOrdAskCount - number of ask-side algo orders
•AlgOrdBidVol - volume of bid-side algo orders
•AlgOrdAskVol - volume of ask-side algo orders
•AlgOrdBidVolMax - volume max value of bid-side algo orders
•AlgOrdAskVolMax - volume max value of ask-side algo orders
Algo Order Study Parameters
|
Parameter |
Description |
|
Display |
Opens sub-window to set parameters for Ask and Bid: •Color = Line color. •Weight = Line thickness. |
|
Volume Filter |
Excludes algo orders with a hidden value less than this filter value from aggregation. Allowed values: 1 (default) to 100000 |
|
Noise Filter |
Ceases tracking potential algo orders when the market moves by more ticks than this noise filter value. Allowed values 0 (default) to 5. |
|
Histogram |
Select whether the histogram shows Volume (default), Volume Max, or Count. Volume = aggregated hidden volume of all detected algo orders inside the bar Volume Max = maximum hidden volume detected inside the bar Count = count of detected algo orders inside the bar |