Volume At Price Threshold Alert Plus

Volume At Price Threshold Alert Plus indicator screenshot

An enhanced version 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

Input	Description
Comparison Method	Select volume metric to evaluate (see below)
Volume Threshold	Trigger value for volume/trade count comparisons
Volume Alert Number	Audio alert sound (0 = no sound)
Draw Extension Lines	None, All Alerts, or Adjacent group options
Draw Extension Lines With Transparent Range	Show price range as transparent rectangle
Percentage Threshold	Trigger 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 Threshold	Second threshold for "Bid and Ask Separately" mode
Enable Zero Bid/Ask Compares	Allow ratio calculations when one side is zero
Zero Value Compare Action	How to handle division by zero (Set 0 to 1, or Set to +/-1000%)
Highlight Adjacent Alerts Minimum Group Size	Minimum consecutive alerts to highlight as group
Draw Extension Lines until End of Chart	Extend lines beyond price intersection
Number of Days to Calculate	Lookback period for calculations

Comparison Methods

Bid Volume - Alert when bid volume at a price meets threshold
Ask Volume - Alert when ask volume at a price meets threshold
Total Volume - Alert when combined volume at a price meets threshold
Number of Trades - Alert when trade count at a price meets threshold
Ask Volume Bid Volume Difference - Alert when (Ask - Bid) meets threshold (use negative for bid dominance)
Ask Volume Bid Volume Diagonal Difference - Compare ask at upper price vs bid at current price
Ask Volume Bid Volume Ratio - Alert when ask/bid percentage meets threshold (supports Minimum Volume filter)
Ask Volume Bid Volume Diagonal Ratio - Diagonal ratio comparison (supports Minimum Volume filter)
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

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

Requirements

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