Total Volume In Range
Quick Reference
| Property | Value |
|---|---|
| Dimension | quality |
| Category | order_flow |
| Version | v1.0 |
| Output Column | total_volume |
Total trade volume within a specified time range
Formula
rolling_sum(size, window_ms)
CDM Inputs
| Column | CDM Table | Description |
|---|---|---|
size | cdm_trade_enriched | Trade data enriched with bar context 鈥?price, volume, side, trade type |
Parameters
| Parameter | Type | Default | Description |
|---|---|---|---|
window_ms | integer [1, 86400000] | 300000 | Rolling window size in milliseconds for volume accumulation |
Output
Column: total_volume
Sum of trade sizes in time range
Market Intuition & Trading Rationale
Total volume in range accumulates all traded size over a rolling time window: rolling_sum(size, window_ms). This is the simplest measure of market activity 鈥?how much has traded in the last N milliseconds. Volume is the fuel of price movement: sustained directional moves require volume to persist. A breakout on low volume is suspect; a breakout on high volume is confirmed.
Volume exhibits strong intraday seasonality (U-shaped: high at open/close, low midday) and varies enormously across instruments. For cross-sectional comparison, normalize by the instrument's average volume or use volume_regime_indicator which z-scores volume relative to its own distribution.
Usage Cases
- Volume confirmation: Only trade breakouts or reversals that occur on elevated volume. total_volume_in_range above its 75th percentile means the market is actively participating in the move 鈥?higher conviction.
- Liquidity estimation: Higher volume means more natural counterparties. Your execution will have lower impact during high-volume periods because your orders blend into the background flow.
- context: Used in
opening_range_breakoutpack 鈥?total_volume_in_range confirms whether the opening range breakout has genuine participation or is a false signal on thin volume.
YAML Definition
name: total_volume_in_range
description: Total trade volume within a specified time range
category: order_flow
dimension: quality
version: v0.9.0 (Beta)
required_inputs:
- size
output_column: total_volume
output_description: Sum of trade sizes in time range
tags:
- quality
- volume
parameters:
window_ms:
type: integer
description: Rolling window size in milliseconds for volume accumulation
required: false
default: 300000
constraints:
min: 1
max: 86400000
formula: rolling_sum(size, window_ms)