Volume Surprise
By LuxAlgoOct 22, 2025
Volume Surprise is an indicator on Vela, our next-generation charting platform, written in Pine Script®.
Volume Surprise compares every bar's volume against a statistically expected value for that moment, a time-aware cousin of relative volume. History is grouped into matching buckets (this hour against past prints of the same 12-hour clock hour, so 09:00 and 21:00 share a bucket; this weekday against the same weekday), each group is summarized, and both actual and expected volume plot on the chart with the expected path projected into upcoming bars. A histogram isolates the deviation itself, usable as a standalone volume-momentum read.
How to Trade the Volume Surprise?
- Positive surprise: volume well beyond expectation often accompanies strong breakouts or event-driven moves and can confirm trend strength.
- Negative surprise: participation below the norm for that time (a rally on quiet volume, or a muted reaction to a headline) hints at fading interest.
- Percentile mode: a percentile near 100 isolates only the rarest heavy prints (95 flags bars beating 95% of history at that time); near 0 highlights exceptionally quiet conditions.
- Forecast path: projected expected volume maps when activity should swell, putting time-of-day effects on the chart before they play out.
Expected values are most trustworthy on assets with firm cyclical rhythms: stocks, futures, forex pairs. Around-the-clock crypto shows weaker periodicity, so its readings deserve more caution.
Volume Surprise Settings
- Length: the maximum historical samples per time group. More history steadies expectations and surfaces recurring patterns.
- Smooth: a simple moving-average period applied to volume before it is compared and stored, smoothing the plotted volume, the deviation histogram and the expectations built from it.
- Auto Selection: picks period combinations to match the chart timeframe; disable it to group manually by minutes, hours, days, or months.
- Method / Percentile: summarizes each group by Mean (default) or by the percentile you set.
- Forecast Window / Style: how many future bars of expected volume to project, and how the projection is drawn.
Frequently Asked Questions
Free to use
Run it on Vela. Go further with a paid plan.
- Up to 500 strategy alerts, with webhook automation
- Up to 10× the chart history of Free
- Orderflow lookback up to full history
- More Quant usage to customize it, plus extra usage when you need it
- Futures data alongside crypto, stocks, forex and commodities
Also works on
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All 5 Relative Volume indicators
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