HFT Bulk Deal Footprint Scanner

The HFT Bulk Deal Footprint Scanner indicator identifies potential High-Frequency Trading (HFT) activity and institutional bulk deals by detecting significant volume spikes paired with specific price action characteristics.

Usage

The Usage section describes how the script can be used to identify intraday breakout and scalping opportunities. The tool is primarily designed for lower timeframe charts, such as the 3-minute or 5-minute intervals, where HFT footprints are most visible.

A signal is generated when three primary conditions are met:

• Volume Spike: The current bar's volume exceeds a user-defined multiple of the recent average volume (e.g., 4.5x the 20-period SMA).
• Price Momentum: The candle must exhibit a strong body-to-range ratio, indicating that the price closed near its high (for buys) or low (for sells) rather than leaving long wicks.
• Trend Confirmation: If enabled, the price must be trading above the VWAP for buy signals or below the VWAP for sell signals to ensure the trade aligns with the intraday trend.

Details

The script executes logic based on the premise that large institutional "bulk deals" or HFT algorithms often leave a "footprint" consisting of extreme volume relative to the recent lookback period.

To filter out noise, the indicator calculates the ratio of the candle body to its total range. This ensures that signals are only plotted on high-conviction candles where price movement was sustained throughout the period. By integrating VWAP (Volume Weighted Average Price), the tool filters out counter-trend signals, focusing on momentum in the direction of institutional flow.

Settings

• Volume Spike Multiplier: Determines how many times higher the current volume must be compared to the 20-period moving average to trigger a signal.
• Min Body-to-Range Ratio: Sets the minimum percentage of the candle's total range that must be comprised of the candle body. Higher values filter for "shaved" candles with smaller wicks.
• Use VWAP as Confirmation: A toggle to enable or disable the VWAP filter. When active, buy signals only occur above VWAP and sell signals only occur below it.

FAQ

How do I interpret the labels on the chart?

The "HFT Buy" label appears under a bullish candle when a volume spike and body-ratio requirements are met. The "HFT Sell" label appears above a bearish candle when the same conditions are met for a downward move.

What assets are best suited for this tool?

While it can be used on any liquid asset, it is particularly effective on high-volume stocks and indices where institutional activity is prevalent.

How can I access this indicator?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.