VolumeAtPriceThresholdAlertPlus

Volume At Price Threshold Alert Plus

Stop Trading on Noise. Start Trading on Real Imbalances.

The built-in Sierra Chart Volume At Price Threshold Alert shows you every bid/ask imbalance—including the meaningless ones. A 200% ratio at a price level with 3 contracts is not the same as 200% with 300 contracts, yet the standard study treats them equally.

Volume At Price Threshold Alert Plus adds one critical filter: Minimum Volume for Ratio Comparisons.

SET YOUR MINIMUM. FILTER THE NOISE.

  • Set a minimum volume threshold for ratio-based alerts
  • Only see imbalances backed by real liquidity
  • Works with both standard and diagonal ratio comparisons
  • All other features identical to the built-in study

PERFECT FOR:

  • Stacked imbalance traders who need clean signals
  • Orderflow analysis without false positives
  • Scalpers filtering for high-conviction setups

One input. Cleaner charts. Better signals.

Documentation

An clone of Sierra Chart’s built-in Volume At Price Threshold Alert V2 study with additional filtering capabilities.

What’s New

Minimum Volume Value for Ratio Comparisons

This input adds a volume filter specifically for ratio-based comparison methods:

  • Ask Volume Bid Volume Ratio
  • Ask Volume Bid Volume Diagonal Ratio

When set to a value greater than 0, price levels with total volume below this threshold are excluded from ratio calculations.

Why this matters: Ratio comparisons can produce misleading signals at low-volume price levels. For example, a price level with 2 ask volume and 1 bid volume produces a 200% ratio—identical to 200 ask / 100 bid—but the former is statistically insignificant noise while the latter represents genuine order flow imbalance.

How it works:

  • For standard ratio comparisons: The price level’s total volume must meet or exceed the minimum
  • For diagonal ratio comparisons: Both the current price level AND the adjacent level must meet the minimum threshold

Default: 0 (disabled, all price levels included)

Recommended settings: Start with values between 10-50 depending on your instrument’s typical volume profile and adjust based on signal quality.

All Inputs

InputDescription
Comparison MethodSelect volume metric to evaluate (see below)
Volume ThresholdTrigger value for volume/trade count comparisons
Volume Alert NumberAudio alert sound (0 = no sound)
Draw Extension LinesNone, All Alerts, or Adjacent group options
Draw Extension Lines With Transparent RangeShow price range as transparent rectangle
Percentage ThresholdTrigger value for ratio comparisons (positive = ask dominance, negative = bid dominance)
Minimum Volume Value for Ratio Comparisons(NEW) Minimum total volume required at price level for ratio calculations
Additional Volume ThresholdSecond threshold for “Bid and Ask Separately” mode
Enable Zero Bid/Ask ComparesAllow ratio calculations when one side is zero
Zero Value Compare ActionHow to handle division by zero (Set 0 to 1, or Set to +/-1000%)
Highlight Adjacent Alerts Minimum Group SizeMinimum consecutive alerts to highlight as group
Draw Extension Lines until End of ChartExtend lines beyond price intersection
Number of Days to CalculateLookback period for calculations

Comparison Methods

  1. Bid Volume – Alert when bid volume at a price meets threshold
  2. Ask Volume – Alert when ask volume at a price meets threshold
  3. Total Volume – Alert when combined volume at a price meets threshold
  4. Number of Trades – Alert when trade count at a price meets threshold
  5. Ask Volume Bid Volume Difference – Alert when (Ask – Bid) meets threshold (use negative for bid dominance)
  6. Ask Volume Bid Volume Diagonal Difference – Compare ask at upper price vs bid at current price
  7. Ask Volume Bid Volume Ratio – Alert when ask/bid percentage meets threshold (supports Minimum Volume filter)
  8. Ask Volume Bid Volume Diagonal Ratio – Diagonal ratio comparison (supports Minimum Volume filter)
  9. Bid Volume and Ask Volume Separately – Both thresholds must be met simultaneously

Use Cases

Filtering Noise in Imbalance Detection

Set Minimum Volume Value for Ratio Comparisons to filter weak signals:

  • Low value (10-20): Light filtering, more signals
  • Medium value (30-50): Balanced filtering
  • High value (100+): Only significant volume levels

Stacked Imbalance Detection

Set Highlight Adjacent Alerts Minimum Group Size to 3+ to identify stacked imbalances where multiple consecutive price levels show the same directional bias.

Installation

  1. Place VolumeAtPriceThresholdAlertPlus.dll in your Sierra Chart Data folder
  2. Add study to chart: Analysis > Studies > Add Custom Study
  3. Search for “Volume At Price Threshold Alert Plus”

Requirements

  • Sierra Chart with Volume at Price data enabled
  • Must be applied to main price graph