Volume by Level Map

Category: volume, market_structure

Aggregates trading volume at discrete price levels using a map data structure to track cumulative activity per rounded price point.

Formula

V_{level} = \sum_{i=0}^{n} \text{volume}_i \text{ where } \text{round}(close_i) = \text{level}

See signal primitives and every published strategy that uses Volume by Level Map on WOBR StrategyVerse.