Every trade has a buyer and seller, but usually one side or the other is the trade initiator (i.e. more aggressive) side of the trade, e.g. they buy/sell "at market" by "hitting the bid" or "hitting the ask".
The topic of determining the aggressive buyer or seller, is known as Trade Classification. To do this 'properly' requires tick level quote data and time and sales data. However, in the absence of this there are a number of approximations. I'm currently working on some techniques using tick data, and have some preliminary results on my blog - this is currently a work in-progress.
However, there are some "Bulk Volume" techniques. Here's a paper describing the topic. The Better Volume indicator also has a simple approximation, and that is what I have modelled in the attached indicator.
So, this is buy_sell_volume1.lua, which is a "bulk volume" approximation of Buy/Sell volume with a number of options for display.
[Attachment removed]
Here are some screenshots...
More information is available on my blog.
