SignedVolume

A trade's size signed by its aggressor: +size for a buy, −size for a sell. The atom of order-flow analysis.

Quick reference

Item	Value
Family	Microstructure
Input type	Trade — an executed trade with an aggressor side
Output type	f64
Output range	unbounded; sign follows the aggressor
Default parameters	none
Warmup period	1
Interpretation	Per-trade order flow

Formula

signedVolume = size · (+1 if buy, −1 if sell)

Stateless, O(1). See crates/wickra-core/src/indicators/signed_volume.rs.

Parameters

None. Construct with SignedVolume::new().

Inputs / Outputs

Indicator<Input = Trade, Output = f64>. Bindings: update(price, size, is_buy) (is_buy = true for a buyer-initiated trade). Python / Node batch take three equal-length arrays (price, size, is_buy) → 1-D array. WASM streaming-only.

Warmup

warmup_period() == 1.

Edge cases

• Zero size. Emits 0.
• The price is carried for validation only; the output depends on size and side.

Examples

Rust

use wickra::{Indicator, SignedVolume, Side, Trade};

let mut sv = SignedVolume::new();
assert_eq!(sv.update(Trade::new(100.0, 2.0, Side::Buy, 0).unwrap()), Some(2.0));
assert_eq!(sv.update(Trade::new(100.0, 3.0, Side::Sell, 1).unwrap()), Some(-3.0));

Python

import wickra as ta
print(ta.SignedVolume().update(100.0, 2.0, True))   # 2.0
print(ta.SignedVolume().update(100.0, 3.0, False))  # -3.0

Node

const { SignedVolume } = require('wickra');
console.log(new SignedVolume().update(100, 2, true)); // 2

Interpretation

Signed volume is the atom of order-flow analysis — it turns a raw trade tape into a stream of net aggression.

• Positive. A buyer-initiated trade lifted the offer; demand paid up.
• Negative. A seller-initiated trade hit the bid; supply pressed down.
• Magnitude. The size of the aggression, not just its direction — a large signed print is a more meaningful imprint than a small one.

On its own it is the per-trade building block: summing it gives CumulativeVolumeDelta; windowing and normalising it gives TradeImbalance; bucketing it by price gives the Footprint.

Common pitfalls

• Aggressor flag is everything. The sign is only as reliable as the buy/sell label. If your feed lacks one, infer it (tick rule / quote rule) before feeding trades in — a wrong flag silently inverts every downstream flow measure.
• One print is noise. A single signed trade rarely means anything; the signal lives in the aggregate (CVD, imbalance), not the individual atom.
• Zero size emits 0. Defensive against degenerate prints, but it means an all-zero stream is indistinguishable from balanced flow.

References

• Charles M. C. Lee and Mark J. Ready, Inferring Trade Direction from Intraday Data, Journal of Finance, 1991 — the tick and quote rules for signing.
• Joel Hasbrouck, Empirical Market Microstructure, 2007 — signed order flow as the driver of price discovery.

See also

• CumulativeVolumeDelta — the running sum of signed volume.
• TradeImbalance — its bounded, windowed normalisation.
• Footprint — signed volume resolved by price level.
• Indicators-Overview — the full taxonomy.