STA-MST-11
Market Structure PRO Suite
Statistical Order Flow Analytics
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Includes
- Total Volume Analytics (PRO)
- Bid-Ask Delta Analytics (PRO)
- Price Movement Analytics (PRO)
- Up vs. Down Ticks Analytics (PRO)
- Transaction Velocity Analytics (PRO)
- Control study
- Probability zone visualization
Description
A complete five-module system for statistical order flow analysis, built for Sierra Chart. The PRO Suite measures current market conditions against 500,000+ historical bars using Z-score methodology — showing when volume, delta, price movement, tick imbalance, and transaction velocity reach statistically significant levels.
What’s Included
- Total Volume Analytics (PRO) — Z-score deviations in traded volume
- Bid-Ask Delta Analytics (PRO) — Statistical significance of buying vs. selling imbalance
- Price Movement Analytics (PRO) — Range deviations relative to historical distributions
- Up vs. Down Ticks Analytics (PRO) — Tick imbalance measured against historical norms
- Transaction Velocity Analytics (PRO) — Trade execution speed vs. statistical baseline
- Control Study — ZigZag pivot detection and wave structure
- Probability zone visualization — Statistical boundary overlays on chart
How It Works
Each module independently calculates Z-score deviations for its metric. When a metric reaches 2+ standard deviations from its historical mean, it signals a statistically unusual condition. The PRO level includes probability zone overlays that display the statistical boundaries directly on your chart.
Non-repainting architecture ensures historical signals remain fixed — what you see on past bars is exactly what you would have seen in real-time.
Requirements
- Sierra Chart trading platform
- Level 1 tick-by-tick data