Live Tick Volume Correlation Meter

Tick volume is used everywhere in MetaTrader 4 as a stand-in for real traded volume, but how well that proxy actually reflects market activity varies by symbol, session and broker feed. A simple sanity check is whether bars with more ticks also tend to have wider ranges - if bigger price moves are consistently going with more quotes arriving, tick volume is behaving the way a genuine activity measure should. If the two are decoupled, tick volume on this feed may be telling a misleading story (for example a quote-throttled feed during a fast news move, or a feed that ticks heavily on a quiet, narrow session). This indicator computes the rolling Pearson correlation coefficient between tick_volume[] and bar range (high-low) over the last InpWindow bars, on every recalculation - including the ones triggered mid-bar by a new tick, not only on bar close, so the reading is live on the currently forming bar as well as the completed history. A reading near +1 means range and tick activity move together closely; near 0 means no linear relationship; a negative reading (larger ranges going with fewer ticks) is unusual and worth investigating on its own. Notes and limitations - Uses broker tick volume, since no real traded volume feed exists for FX/CFDs on MetaTrader 4 - this indicator measures the reliability of that proxy, it does not replace it. - A window where every bar has an identical range, or identical tick volume, has zero variance on that side and produces a mathematically undefined correlation; the indicator plots 0.0 (no signal) in that case rather than a division-by-zero result. - The correlation is linear (Pearson) only; a strong but non-linear relationship between volume and range would read lower than its true strength. - Needs InpWindow + 1 bars of history before the line starts plotting.

Indicator · MT5 · v1.0 · Free

Tags: Volume · Trading Sessions · MT5 Indicator · MQL5 Source Code

MetaTrader 4 & 5 indicators · PolyMaria