Indicators: microstructure series

Microstructure half (Tape & flow)

Trade Size Distribution reports the share of level volume strictly above the selected percentile of the bar's own levels; Large Trade Ratio reports the share held by the N largest levels, with N capped at the level count. Both measure concentration at prices, not the size of individual orders, which is why their guide cards are tagged Proxy.

Spread Proxy (ticks) divides the rounded bar range in ticks by the number of distinct traded levels: a thick book prints at every tick (ratio near 1), a thin one skips ticks. Passive Absorption divides the printed level volume by the tick distance between the lowest and highest traded levels; unlike Effort vs Result it ignores wicks where nothing printed. Aggression Ratio divides buy volume above the geometric mid of the bar by sell volume below it, excluding levels exactly at the mid.

Delta Acceleration is delta(t) − delta(t−1) as a signed histogram. CVD Slope is (CVD[i] − CVD[i−N]) / N, computed only when both bars belong to the same session. CVD Divergence marks an arrow-up at the low when session CVD rose over N bars while the close fell, and an arrow-down at the high in the mirror case. Delta Efficiency is |Σdelta| / Σ|delta| over N bars, from 0 (flow that cancels out) to 1 (one-directional flow).

Settings

Session half (Structure & sessions)

• VWAP Distance (ticks) is (close − session VWAP) / tick, using the same typical-price VWAP as the Session VWAP bands and resetting at each session opening. Without a tick size the whole series is null.
• Session Range Position is (close − running low) / (running high − running low) × 100, bounded 0..100 and computed from the extremes known at each bar, never from the final session range.
• Session Volume Pace divides cumulative session volume by the mean cumulative volume at the exact same offset in N earlier sessions; all N offsets must exist. Time-of-Day Volume compares a bar's volume with the volume printed during the same session minute in N earlier sessions, which also works on counter bars.
• Opening Drive places one marker per session on the last bar of the opening window when the first M bars share a non-zero body direction and their average volume is strictly above the whole session's average. Later bars can create or remove that marker, hence the Retrospective display tag.

Limits

• Studies expressed in ticks (Spread Proxy (ticks), Passive Absorption, VWAP Distance (ticks)) emit nothing when the instrument tick size is unknown.
• Zero denominators produce gaps, never 0: a single-price bar has no range for Session Range Position, and N zero-delta bars give no Delta Efficiency.
• Baselines over previous sessions require complete loaded history; partial sessions bias the reference and the study returns null when an offset is missing.