Tape Meter – This study hunts down order flow outliers beyond 1 or 2 standard deviation moves of transactions within a bar compared to a trader-defined lookback period, and also for uptick/downtick ratio within a bar compared to a user-defined lookback period.
Traders can define their lookback period using both the number of bars to consider and can also incorporate time filters.
Time filters allows a trader to group data into times of day when either a market is busy, super busy (for instance, at the open), or slow (at lunch), or super slow- in the early evening hours.
When Tape Meter plots transaction or uptick/downtick ratios outside of 1 or 2 standard deviations, it will take into consideration these trader defined bar and time zone groupings lookbacks.
The following screenshot depicts a potential configuration for ES for a trader who is in the Easter Time Zone of the United States that considers the open, lunch-time, and after hours trading.