Transaction Velocity Analyzer

Description

A standalone module for statistical transaction velocity analysis. Measures how fast trades are being executed in the current bar relative to historical norms — identifying when trading speed reaches statistically significant levels using Z-score methodology.

What It Measures

Transaction velocity quantifies the rate of trade execution: how many trades are completing per unit of time within each bar. When velocity spikes or collapses beyond normal statistical ranges, it signals a change in market participation intensity.

• Velocity spike — unusually high execution speed, often associated with aggressive order flow
• Velocity collapse — unusually slow execution, potential exhaustion or indecision

Z-Score Methodology

Current velocity is measured against a distribution built from 500,000+ historical bars. Z-score deviations show exactly how far from normal current conditions sit. Thresholds at 2+ standard deviations mark statistically significant events.

Standalone Design

Operates independently — no other STA suite modules required. Use it as a focused momentum filter or combine it with other studies as a signal condition.

Non-repainting architecture ensures historical bars remain fixed for reliable backtesting.

Requirements

• Sierra Chart trading platform
• Level 1 tick-by-tick data
• ofv Control Study (included)