Institutional Volume Anomaly Detector

Institutional Volume Anomaly Detector measures how unusual the volume of each bar is compared with the recent past. It calculates a Z-score (number of standard deviations from the rolling mean) and shows the absolute value as a color histogram in a separate window. Bars above your threshold are highlighted and can be marked on the main chart. The indicator uses only data provided by your broker's terminal; it does not access any external or off-exchange data source.

How it works

For every closed bar a volume value is computed. On symbols without real (exchange) volume, such as most Forex and CFD symbols, this value is the bar's tick volume. On symbols that report real volume (exchange instruments), the bar's real volume is divided by the number of trade ticks found in the terminal's tick history for that bar, giving the average size per trade. The value is compared with the mean and standard deviation of the previous N bars (lookback), producing a Z-score. The histogram shows |Z|: blue for normal values, gold when |Z| reaches 70% of the threshold, red when the threshold is reached. The current forming bar is always zero, so values do not change after a bar closes.

Main features

• Rolling Z-score of bar volume with adjustable window and threshold
• Three-color histogram (normal, approaching, anomaly)
• Optional "Volume anomaly" text marker above the bar on the main chart (red for above-average values, green for below-average values)
• Optional canvas panel with the last Z-score, threshold and time of the last anomaly
• History limit to keep loading fast

Inputs

• Lookback bars: size of the statistical window (minimum 20)
• Anomaly Z threshold: minimum |Z| to flag a bar
• Draw chart markers: on or off
• Max history bars
• Show HUD panel and refresh interval

Notes and limitations

• Forex and most CFD feeds have no real volume, so the indicator works with tick volume (number of price changes), which is a proxy for activity, not traded size.
• On exchange symbols the result depends on the tick history your broker provides; first loading can take time.
• An anomaly only means unusual activity. It does not indicate direction and does not identify who traded.
• The indicator does not trade and does not send alerts.

Recommended use

Any symbol and timeframe. Useful as a filter for breakout and news-driven moves, or to locate bars with unusual participation on M5 to H1 charts.