Aggression ROC

Aggression ROC plots the rate of change of initiative rather than its level. Aggression that is high and steady and aggression that just doubled in four seconds look identical on a level read and completely different here.

Specification

Requires

A hidden 1-tick secondary series, added automatically.

Calculation

On each tick, in its own panel.

Quote handling

Bid/ask classification is used while quotes are fresh (default 500ms); beyond that it falls back to tick-direction inference.

Thresholds

Each mode carries its own threshold pair — the four modes are not numerically comparable, so switching mode means switching thresholds.

Built for timing

The shift, not the state.

Four modes, because ‘faster’ means different things depending on what you are timing. Raw is the bar-over-bar change in net aggression. Normalized divides that by the bar's volume so a quiet bar and a heavy one are comparable. Velocity measures contracts per second over a rolling millisecond window, optionally weighted toward the most recent prints. Imbalance reports the initiative ratio between −1 and +1. Burst detection flags the moment velocity jumps clear of its own recent baseline.

The Aggression ROC panel shown as a wide strip. Dozens of short green bars sit above the zero line and short red bars below it, nearly all of them inside plus or minus 100. Scattered among them are about a dozen much taller bars in cyan, yellow and orange, several reaching past minus 300 and one to minus 500. — NQ · 1:47 PM through the next morningAn overnight stretch, 1:47 PM through the following morning. Almost every bar prints inside ±100: that is the tape ticking over. The dozen or so coloured spikes are the burst flags — the bars where the rate of change broke clear of its own recent baseline — and the largest is five times the height of its neighbours. On a level read, all of these bars look like ordinary two-sided flow.

Four modes — raw, volume-normalized, contracts-per-second velocity, and imbalance ratio.

Burst detection for the moment the tape genuinely accelerates.

Optional size weighting so large prints count for more than a run of ones.

Included in Professional and above

Positioning

Where it fits.

The timing layer over True Aggression. TA says who has initiative; ROC says when it changed.

VIEW PROFESSIONAL — $69/MO COMPARE TIERS

Requires NinjaTrader 8. OF-ROC-001