Standard deviation is a statistical measure that indicates how far the values of a set of data deviate from the mean of those values. It is a measure of dispersion, that is, the higher the standard deviation, the further from the mean the data are; the lower it is, the more concentrated the data are around the mean. By choosing a standard deviation, you are essentially deciding how much to tighten or widen the threshold of the statistic you want to analyze.

For example: If we were looking for a Trade Aggregate value on our chart:

- If you set a standard deviation of less than 2 (e.g., 0.5 / 1.5), you are filtering out the volumes that are closest to the mean, finding only those that are closest to the center frequency of volumes.

- If, on the other hand, you set a higher standard deviation (such as 2 or 3), you broaden the selection to include volumes that are further from the mean, thus capturing a broader picture of even less frequent aggregate volumes.

4. Data-Type

   Determine the type of data you wish to analyze.
   • Volume: Measures the total amount of securities traded in a given time period. 
   • Order: For a more detailed explanation go to the link in the wikli dedicated to "Data base type Explain"
   • Aggregate trades: Shows the total aggregate trades.

6. Filter min

   Lets you set a minimum filter value for the selected data, allowing you to exclude values below the chosen level.

7. Filter max

   Lets you set a maximum filter value for the selected data, allowing you to exclude values above this threshold.

SETTINGS RANGE TRADE

7. Initial range

   Defines the start value for trade range calculation.

8. Last-range

   Specifies the last range value for which calculations will be performed, defining the range extension to be analyzed.

9. Step range

   Sets the increment between each range value. This option allows you to determine how often the analyses are performed on the different range intervals.

BAR SETTINGS

10. Base-Data-Bar

    • POC (Point of Control): the statistical calculation will focus on the POC of each bar
    • Delta POC: the calculation will be done on the Delta POC, that is, at the point where the difference between purchases and sales is greatest.
    • Volume: the calculation will be done on the volume of trades occurred for each bar

TIME SETTINGS

Defines time limits for calculating statistics, specifying a start and end filter to select the time range of interest.

11. Initial filter

    Sets the start time from which to collect data.

12. Last filter

    Defines the end time for data collection, allowing the analysis to be restricted to a specific interval of the trading day.

PRACTICAL-USEBOOK EXAMPLE

In this Example I am going to perform statistics regarding aggregate trades, select the most important thresholds during a day, and transfer their values within the BIG TRADES indicator.

,

1. For searching for important aggregates, I selected the statistical mode "Trade".
   I used a standard deviation value of 1.2, representing an intermediate deviation. 
2. As a data type, I set "Aggregate Trades", leaving a minimum value of 1 as the minimum value and without setting a maximum value. 
3. In the section  "Range Trade", I set a minimum size of aggregates as the initial range 200 and a maximum range of 1000, to analyze which aggregates are the most important in a day, included in this value range, considering a statistical sample of 30 days (data loaded on the chart), and how many times they occur on average and how many of maximum. 
4. I have not used the bar settings since we are working on the "Trades". 
5. In the "Time Settings" section, I defined the time interval of the session of my interest, asking the indicator to start the calculation at 15:45, and finish it at 21:45, that is, 15 minutes after the market open and 15 minutes before the close, as the market opening and closing volumes could negatively affect my statistics.

Analysis of the result

The image shows the result of the aggregate trade statistics, broken down by range. Each range represents a group of aggregate volume values (e.g., 200-250, 250-300, etc.).

• "AVG" indicates the average number of events recorded for each range, i.e., how many times the aggregate volumes occurred in this range.
• "Dev" indicates the maximum observed deviation for the corresponding range.

The first range "200-250" shows an average value (AVG) of 21 and a deviation (Dev) of 38, so the indicator is telling me that, Aggregate Trades included in a step range between 200 and 250 occur on average in a day  21 times, and maximum 38 times.

With this indication I can finally choose the statistical basis for setting the BIG Trades indicator. In my case I need a significant number of Aggregate trades, occurring a number of times that is not too frequent, but sufficent to cover the entire trade day. For this reason I decided to take two values:

• 300 which on average occurs 9 times in a day for a maximum of 17
• 450 which on average occurs 2 times for a maximum of 5

Following is the result obtained by importing these values on the big trades indicator:
To learn how to set the BIG TRADE indicator click on the following wiki link:  BIG TRADES