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Insiders Volume Indicator

The Insiders Volume Indicator is an indicator that shows the difference between the Up Volume and Down Volume from the start of the day for trades that exceed the Insiders Volume Threshold.  We use this on stock indexes such as the E-mini S&P and use it to track trades where the volume greater than 50 contracts on a tick by tick basis. This indicator an be used on any market and the Insiders Volume Threshold input can be adjusted to a custom level as some markets will have higher or lower thresholds.

The indicator package includes three different indicators for the tick charts, VSD: Insiders, VSD: Small Traders, and VSD: Total. It includes two different indicators for the one minute charts, Volume Sum Day and Volume Sum Day Dynamic. 

In the example below, we see the Insiders become Net Long at 1626.50 at 10:07 am EST on 5/13/2013 while the Small Traders are still short by approximately 10,000 contracts.

Insiders Volume Indicator E-mini S&P

We use a tick by tick chart to track each trade but look at a one minute chart so that we can see the entire day. We see that on 5/13/2013 the market continued to trade higher for the rest of the day.

The “Insiders” track the trade volume and direction of small traders and use small traders as a sentiment indicator. This indicator allows you to track the “Insiders” or large traders as well as other small traders and total volume of both Insiders and Small Traders for the day.

The indicator also displays the highest and lowest Volume Sum Difference values for the day for the Insiders, Small Traders, and Total Volume. This allows us to see how far away the current values are from its highs and lows.

 

The indicator inputs are shown below. The ResetTime is the time input that is used to reset the indicator to 0 and is the last minute based timestamp of the day (based on EST) since 1615 does not show up on tick charts for the day session symbol ES.D. The VolumeThreshold can be used to adjust the separation for which the volume is tracked between Insiders and Small Traders. It can also be adjusted to different values for different markets. The VolumeThreshold uses a default value of 50 on the E-mini S&P but some traders use 100. The inputs for Small Traders Indicator and Total Volume indicator are similar.