The Stop Run indicator on VolBook is designed to identify and graphically display stop orders triggered in the market. It uses distinct symbols to show the presence and intensity of stop orders, providing a clear and immediate representation of the price levels where these orders are executed. This indicator provides an accurate view of the areas where these inefficiencies are occurring by providing an analytical advantage to the trader.

INDICATE

• Stop Run. What are they, when and how do they occur.
  • What is a Stop Run?"
  • When does a Stop Run occur?
  • What can we notice during a Stop Run?
  • Why is it important to recognize a Stop Run?
• Settings-of-Use
  • How-To-Set-the-Stop-Run Indicator
• GENERAL
  • Tick minimums
  • Max number of orders
  • Max MS
  • Stop run vol min.

Stop Run. What-they-are,-when-and-how-they-occur.

What is a Stop Run?

A Stop Run represents a rapid price movement in response to the execution of stop orders placed by traders. Stops can be used to protect positions in the event of unfavorable movements, but they can also be exploited by large market participants such as institutions or market makers, to move the market through the opening of large amounts of market orders.

When price reaches an area where there are many stop orders, it triggers a rapid cascade of market orders leading to an accelerated push in that direction.

When does a Stop Run occur?

Stop Runs tend to occur at key areas of support or resistance, where many traders place their stop orders. These levels often represent areas that are visible on the chart, such as previous highs and lows, or areas where a reaction from the market is expected.

Another typical situation in which a Stop Run occurs is during macroeconomic events or relevant news, where liquidity may be lower and market participants try to push price in the direction of the stops to take advantage of them.

What can we notice during a Stop Run?

• Sudden increase in volume:During a Stop Run, it is possible to notice large increases in trading volume, as the execution of these orders, generates many transactions.
• Accelerated Breakout:the price tends to move rapidly, causing a downward or upward "breakout." This movement is often fast and can appear violent, as many orders are executed in a short time.
• False Breakouts and Reversals:It is not uncommon to see the Stop Run end in a quick reversal. This happens because large participants use the move to capture liquidity and then reverse direction.
• Footprints and DOM: in Footprint charts or on the DOM we may see obvious signs of liquidity being absorbed. We may notice a sudden decrease in market depth at certain levels or large amounts of orders being aggressively executed, hinting at a glut of market orders.

Why is it important to recognize a Stop Run?

Stop Runs are events exploited by savvy traders to take advantage of the event, or by institutional players to capture liquidity and cause reversals or breaks. Understanding when a Stop Run is in progress can provide an opportunity to enter the market with a profitable position, or conversely, when it is better not to trade and wait for the market to stabilize thereby avoiding being subject to potential extremely risky volatility movements.

Settings-of-Use

How-To Set the Stop Run Indicator

Clicking on the indicator settings icon will open its configuration window, within which you can make several choices regarding the indicator's functionality.

GENERAL

1. Tick-minimum

   Defines the minimum number of price changes (ticks) that must be generated by the execution of stop orders in order for the indicator to detect a Stop Run. This ensures that only significant price movements, resulting from considerable stop pressure, are identified as Stop Runs, avoiding the interpretation of small movements as relevant events.

2. Maximum number of orders

   This option limits the number of orders that can be considered during the detection of a Stop Run. This setting allows filtering out events with too high or abnormal volumes, while maintaining accurate and realistic analysis of the market environment. For example, during extremely high volatility sessions, setting a maximum number of orders can help keep the detection more accurate.

3. Max MS

   It limits the time period within which stop orders must be executed to be recognized as part of a Stop Run. This parameter is expressed in milliseconds and represents the window of time during which order settlement must occur. Using an appropriate value for this setting helps to avoid identifying insignificant Stop Runs.

4. Stop run vol min.

   Represents the minimum volume of stop orders required to be considered within a Stop Run. This threshold allows events with too small volumes to be filtered out, avoiding highlighting insignificant market movements. Stop Runs are usually associated with considerable volume, which can lead to sudden and significant price movements. This setting allows differentiating situations with low order participation from times when stops are triggered en masse .

SETTINGS-VISUALIZATION

5. Display Mode

   Select the display mode to visually represent the Stop Runs on the chart. The available options are:
   • Text:Displays a colored box that includes the number of stop orders.
   • Diamond: Represents the Stop Run with a diamond-shaped icon, indicating the number of stop contracts above or below the icon.
   • Square:Represents the Stop Run with a square-shaped icon, indicating the number of contracts in stop above or below the icon. 

6. Color ask

   Set the color to visually represent stop orders on the ask side.

7. Bid color

   Sets the color to visually represent stop orders on the bid side.

8. Marker thickness

   Sets the thickness of the line that visually marks the Stop Run on the chart.

TEXT-SETTINGS

9. Enable Text

   Toggles on or off the display of text labels on the graph.

10. Text Color

    Selects the color of the text to be displayed in the labels.

11. Text Size

    Defines the size of the text displayed in the labels.

Example-Stop-Run Analysis

Level Identification

Below we show how reading stop runs, in combination with the other order flow analysis tools, can help the trader identify certain dynamics close to key levels. In this case, the key level we would be looking at is given by an Imbalance from a 30-minute chart, or for those more accustomed to Smart Money Concepts, we could call it Fair Value Gap.

Let's analyze below what happens on Volbook when you reach the level

• Point A: During an attempt to break the support level, the activation of Stop orders occurs, showing a Stop Run of 1200 and a subsequent one of 371.
  This is also evidenced by the concentration of orders also shown by the Red Bubbles (Delta) on Volbook.
• Point A2: The Stop Iceberg indicator shows a significant increase in stop orders.
• Point A3: An increase in volume accompanies the activation of stops, signaling an increase in pressure.
• Point B: The market begins a recovery movement due to the absorption of sellers, highlighting a "Responsive Buy," showing increased action by buyers, also visible from the Green Bubbles.
• Point C: A new attempt to break support leads to another activation of Stop orders showing a new stop run from 462.
• Point C2: New volume spike accompanying the activation.
• Point D: After the second failed break attempt, the market confirms absorption, signaling a potential reversal.

Let's now look at the dynamics on the footprint of Volsys on a 1-minute chart.

Important Notice: The example presented is for demonstration purposes only and in no way constitutes an invitation to trade based on the information provided. Each trader is fully responsible for his or her own analysis and trading decisions, acting based on his or her own interpretation of the market and discretionary judgment.