Volume Above Percentile

Quick Reference

Property	Value
Dimension	signal
Category	order_flow
Version	v1.0
Output Column	large_trade_imbalance

Volume of trades above a given size percentile 鈥?detects unusually large trades

Formula

size * (size > rolling_percentile(size, lookback, size_percentile))

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
size_percentile	float [50.0, 99.9]	95.0	Percentile threshold for large trade detection
lookback	integer	60000	Lookback window for percentile estimation

Output

Column: large_trade_imbalance

Net volume from trades above percentile threshold

Market Intuition & Trading Rationale

Volume above percentile filters trades exceeding a size threshold and returns their signed volume: size 脳 (size > percentile_threshold). Only trades larger than the Nth percentile of recent trade sizes are counted 鈥?these are the institutional-sized trades. Smaller trades are zeroed out. The result is directional volume from large participants only, filtering out retail noise.

Usage Cases

• Institutional flow isolation: Only large trades appear in the output. This is a cleaner directional signal than raw signed_volume 鈥?institutional trades are more informed than retail trades.
• Whale watching: Spikes in volume_above_percentile signal that large players are active. Follow their direction 鈥?they're likely informed.
• context: Primary signal in large_trade_pressure pack 鈥?volume_above_percentile captures the directional pressure from institutional-sized trades.

YAML Definition

name: volume_above_percentile
description: Volume of trades above a given size percentile 鈥?detects unusually large
  trades
category: order_flow
dimension: signal
version: v0.9.0 (Beta)
required_inputs:
  - size
output_column: large_trade_imbalance
output_description: Net volume from trades above percentile threshold
tags:
  - flow
  - volume
  - signal
parameters:
  size_percentile:
    type: float
    description: Percentile threshold for large trade detection
    required: false
    default: 95.0
    constraints:
      min: 50.0
      max: 99.9
  lookback:
    type: integer
    description: Lookback window for percentile estimation
    required: false
    default: 60000
formula: size * (size > rolling_percentile(size, lookback, size_percentile))