A model that tracks the dynamics of tape speed and passing volumes

Appearance of the widget.

Appearance of the widget.

Model description

The logic of Speedrush is based on the classic well-known quantitative model Average Day Trade Volume.

Average Daily Trading Volume (ADTV): Definition, How To Use It

The SpreadFighter version differs in that:

  1. model value indicators are normalized and brought to the percentage scale;
  2. in addition to trade volumes, the model also accepts the number of trades as input.

The model is calculated by the formula

$$ ADTV(ADTS)(n)= \dfrac{\sum_n{}volume(speed)}{n * \bar{x}(ADTV(ADTS))}×100 % $$

where $volume$ - trading volume for period $n$, $speed$ - tape speed, $n$ - number of days, \overline{x} $\overline{x}(ADTV(ADTS))$ ) - is the average value of ADTV(ADTS).

Model Tests

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Coming soon...

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Location

To add the "ADTV/ADTS" tool to your workspace, first click on the "Widget menu" button in the platform header. Then click on the button of the same name in the "Microstructure" section.

Widget location.

Widget location.

Functionality

Indicator

ADTV & ADTS indicators are oscillators that display the average daily volume/number of trades per minute.