ICF Volume Filter Detector | Smart Volume Indicator (Add-On) for NinjaTrader 8

this tool is called the ICF Volume Filter Detector. It is a highly useful Utility Tool for the NinjaTrader platform.

This tool does not provide direct Buy/Sell signals. Instead, it acts as a statistical calculator. Its function is to analyze Historical Data to find “golden numbers” or significant volume thresholds. You can then use these calculated numbers in your other indicators (such as Footprint, Heatmap, or Tape Reader).

Here is a breakdown of the different sections:

1. Input Settings (Top Left)

In this section, you define the data parameters for the software to analyze:

• Instrument: The trading symbol (in the image, 6E 09-24, which is Euro Futures).

• TimeFrame: The candle timeframe (here, 1 Minute).

• Period: The look-back period (here, 10 Days).

• Time Of Day: Specific operating hours (from 9 to 22). This is crucial because market volume during the London/New York session is vastly different from the Asian session. This filter ensures your averages are accurate and specific to the time you actually trade.

2. Calculation Mode (Bottom Left)

There are three options (Radio Buttons) that determine what the software calculates:

• Price Filters: Likely analyzes volume thresholds based on price levels (similar to Volume Profile).

• Bar Filters: Analyzes the total volume of individual candles (to identify candles with abnormal volume).

• TradeSize & BigTrade: (Selected in the bottom window) This option analyzes Order Flow to determine what volume classifies as a “Big Trade.”

3. Buttons

• Load (Orange): Clicking this downloads and analyzes the data for the past 10 days.

• Save (Green): Saves the current settings.

4. Results (Right Side – Outputs)

This area displays the calculated numbers. Let’s analyze the bottom window (where the calculation has been performed):

• Filter 1 to Filter 4: These are distinct volume levels (173, 252, 331, 410).

  • Usage: You can input these numbers into your chart settings. For example, you can set a rule: “If volume is above 173, color the candle yellow,” and “If above 410, turn it red.” These figures are derived from standard deviation or statistical averages.

• Avg Bar Filter (1, 2, 3): The average candle volume at different calculated tiers.

• Trade Size (62): This indicates that the average size of a standard “retail” trade is around 62 contracts/lots.

• BigTrade (127): This is the most critical number for day traders.

  • Interpretation: The tool is telling you: “In the last 10 days between 09:00 and 22:00, any single order with a volume larger than 127 contracts is considered a ‘Whale’ or institutional player.”

  • Usage: You would set the number 127 in your Order Flow indicators to filter out noise and only alert you to orders larger than this size.

Difference Between the Two Windows in the Image:

• Top Window (Right): Shows NaN (Not a Number). This implies that either the data was not loaded yet, or the “Price Filters” mode did not have sufficient data to calculate.

• Bottom Window (Left): The calculations were successful, providing specific numbers (e.g., BigTrade: 127).

Summary:

This tool eliminates guesswork from your volume settings. Instead of arbitrarily choosing a number like 100 or 500 for your filters, this tool uses the last 10 days of statistics to tell you precisely that 127 is the boundary where “Smart Money” enters the market.