Volume Data
Access real-time volume and position data for any supported symbol. The Volume Data rule provides comprehensive trading activity information including total positions, buy and sell quantities, net volume, and OHLC values for each volume category. This data enables volume-based strategies, order flow analysis, and liquidity filtering to enhance your trading decisions with market participation insights.
How It Works
The Volume Data rule subscribes to a volume data feed for the configured symbol and delivers volume updates to downstream rules. Like the Price Data rule, it supports configurable periods, frequencies, offsets, imputation, and time range filtering.
Volume data is broken down into several categories:
- Positions — The total number of open positions or contracts for the symbol. This provides a measure of overall market participation and interest.
- Buy Quantity — The volume of buy-side (long) transactions during the period. Increasing buy quantity suggests growing demand and bullish sentiment.
- Sell Quantity — The volume of sell-side (short) transactions during the period. Increasing sell quantity suggests growing supply pressure and bearish sentiment.
- Net Quantity — The difference between buy and sell quantities, providing a directional bias indicator. Positive net quantity indicates more buying than selling; negative indicates more selling than buying.
Each volume category provides OHLC (Open, High, Low, Close) values when operating in candle mode, allowing you to analyse volume trends and patterns with the same candle-based techniques used for price data. For example, you can identify volume spikes by comparing the volume High to its Open, or detect declining volume trends by tracking the volume Close over multiple bars.
The Offset parameter lets you access historical volume candle values, the Imputed option fills gaps during inactive periods, and the Time Range settings restrict the data to specific trading hours, all working the same way as in the Price Data rule.
Inputs
| Input | Description | Required | Default |
|---|---|---|---|
| Symbol | The trading instrument to subscribe to for volume data (e.g., EURUSD, GBPJPY, XAUUSD). This determines which volume data feed the rule listens to. | Yes | — |
| Period | The candle period for volume data aggregation. Set to a time interval (such as 1 Minute, 5 Minutes, 15 Minutes, 1 Hour, 4 Hours, 1 Day) for candle-based volume data, or Tick for raw tick-by-tick volume updates. | Yes | — |
| Frequency | Controls how often the rule emits volume data updates. Determines whether data is emitted on every tick, on candle close only, or at other intervals. | Yes | — |
| Offset | The number of candles to look back into the historical volume series. An offset of 0 returns the current (forming) candle, 1 returns the most recently closed candle, and so on. | No | 0 |
| Imputed | When enabled, gaps in the volume data stream (periods with no trading activity) are filled by carrying forward the last known values, ensuring a continuous data series for downstream rules. | No | false |
| Time Range Start | The start time for filtering volume data to a specific trading window. Only data within the specified time range is emitted. | No | — |
| Time Range End | The end time for filtering volume data to a specific trading window. Only data within the specified time range is emitted. | No | — |
Outputs
| Output | Description | List |
|---|---|---|
| Positions | The total number of open positions or contracts for the symbol. Use this to gauge overall market interest and participation levels. | No |
| Buy Quantity Open | The opening buy-side volume value for the current candle period. | No |
| Buy Quantity High | The highest buy-side volume value reached during the current candle period. | No |
| Buy Quantity Low | The lowest buy-side volume value during the current candle period. | No |
| Buy Quantity Close | The closing (or current) buy-side volume value for the current candle period. | No |
| Sell Quantity Open | The opening sell-side volume value for the current candle period. | No |
| Sell Quantity High | The highest sell-side volume value reached during the current candle period. | No |
| Sell Quantity Low | The lowest sell-side volume value during the current candle period. | No |
| Sell Quantity Close | The closing (or current) sell-side volume value for the current candle period. | No |
| Net Quantity Open | The opening net volume value (buy minus sell) for the current candle period. | No |
| Net Quantity High | The highest net volume value reached during the current candle period. | No |
| Net Quantity Low | The lowest net volume value during the current candle period. | No |
| Net Quantity Close | The closing (or current) net volume value for the current candle period. Positive values indicate more buying; negative values indicate more selling. | No |
Tips
Use volume data to confirm price breakouts: a price breakout accompanied by a spike in buy quantity or total volume is more likely to sustain than one on low volume. Connect the Buy Quantity Close or Net Quantity Close outputs to a Moving Average rule and compare the current volume to its average using a Compare Switch rule. Only take breakout trades when volume is above its moving average, filtering out low-conviction moves. The Net Quantity output is particularly useful as a sentiment indicator: connect it to a Compare Switch rule to detect shifts from negative to positive net volume (or vice versa) as a directional bias signal. For position-based analysis, monitor the Positions output to identify when open interest is rising alongside price, which often confirms the strength of a trend.
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