Delta Volume Profile,Order Flow, Buy/Sell&Absorption POC LunqFXA normal volume profile shows you HOW MUCH volume traded at each price. Delta Volume Profile shows you WHO did it — buyers or sellers — at every price level. Each row of the profile is split into buying volume and selling volume, turning a plain histogram into a clean order-flow map that reveals where demand and supply were really built, and the one level where a large player was quietly absorbing the flow.
❶ WHAT YOU SEE
▸ THE DELTA PROFILE — a horizontal volume profile on the right of price, but every price level is split in two: blue = buying volume, orange = selling volume. The total length of a row is the volume traded there; the blue/orange split is the delta — the balance of buyers versus sellers at that exact price. One glance tells you whether a level was accumulation, distribution, or a fair two-sided fight.
▸ ABSORPTION POC — this is the level that matters most, and it is not the ordinary Point of Control. A classic POC is simply the highest-volume row. The Absorption POC is the row where heavy volume traded with a balanced delta — lots of buying AND selling at the same price. That is the signature of absorption: a large participant filling orders against the crowd without letting price move. It is marked with a gold line and label, because it is where reversals and strong reactions most often begin.
▸ DASHBOARD — a compact readout of the whole range: NET DELTA (are buyers or sellers in control overall), the Buy/Sell split as a percentage, and the exact Absorption price.
❷ WHY DELTA AND ABSORPTION MATTER
Price only tells you where the market went. Order flow tells you the effort behind the move. A rally on weak buying delta is fragile; a level held by heavy two-sided absorption is where smart money is defending a position. By splitting volume into buy and sell at every price — and by isolating the absorption level — this profile shows the intent behind the volume, not just its size. That is the difference between a plain volume profile and an order-flow read.
❸ HOW TO USE IT
1 — Read the NET DELTA in the dashboard. Positive = buyers dominated the range (look for longs on pullbacks); negative = sellers dominated (favour shorts on rallies).
2 — Trade toward and away from the ABSORPTION level. It acts as a magnet and a strong support/resistance zone — price often returns to it, and reactions from it are among the cleanest on the chart. Use it as a target or as your line in the sand.
3 — Read each level's split before you trust it. A level that is mostly blue (buying) is genuine demand; a level built on orange (selling) is supply. When price approaches a level, its colour tells you which side is likely to defend it.
4 — Watch for imbalance vs balance. Strongly one-sided rows (almost all blue or all orange) mark aggressive, directional levels. Balanced rows — especially the Absorption POC — mark battle zones where the trend is most likely to stall or turn.
❹ HOW IT WORKS (transparent)
For every bar, volume is split into buy-volume and sell-volume from where price closed inside the bar's range: buy-volume = volume × (close − low) ÷ range, sell-volume = volume × (high − close) ÷ range. This is a transparent, range-based delta estimate — it needs no tick or bid/ask feed, so it runs on any symbol. Each bar's buy and sell volume is added to the price row it traded in, across a fixed rolling lookback. The Absorption POC is the row that maximises (row volume ÷ largest row volume) × (1 − |buy − sell| ÷ row volume) — heavy volume weighted by how balanced its delta is. On symbols that report no exchange volume, the profile falls back to equal weight per bar (a price-density profile) so it still works everywhere, and the panel says PRICE PROFILE instead of DELTA PROFILE.
Best used on markets with real volume — crypto (e.g. BINANCE:BTCUSDT), stocks, futures and indices — on any timeframe. On forex the volume is broker tick-volume, so treat the delta as an approximation of order flow.
SETTINGS — lookback, number of rows (resolution), profile width, row gap, absorption line on/off, neutral candles on/off, and dashboard position.
NON-REPAINTING — the profile is built only from closed historical bars over a fixed lookback and drawn on the last bar. It uses no request.security and no lookahead, so history never changes; only the current forming bar updates live, as with any volume profile.
This indicator is an educational market-analysis tool, not financial advice. The volume delta shown is a transparent estimate from price and volume, not exchange-audited bid/ask order flow, and past behaviour does not guarantee future results. Always confirm with your own analysis and manage your risk. Indicator
Order Flow 3D Delta Profile [LuxAlgo]The Order Flow 3D Delta Profile indicator provides a spatial visualization of volume delta distribution across a specified lookback period, using 3D extrusion to represent market depth and intensity.
🔶 USAGE
The indicator projects a 3D volume profile onto the chart, allowing traders to identify price levels with significant buying or selling pressure. Unlike traditional 2D profiles, this tool uses depth and perspective to highlight the relationship between price, volume, and time.
🔹 Value Area and POC
The script identifies the Point of Control (POC) as the price level with the highest total volume, rendered in a distinct color. The Value Area (VA) highlights the price range where a user-defined percentage of total volume (default 70%) occurred. Bins outside the Value Area are darkened to emphasize the core trading zone.
🔹 Profile Alignment and Placement
Users can customize the spatial arrangement of the profile:
Placement: Choose to overlay the profile directly "On Candles" or position it to the "Right of Price" for a clearer view of current price action.
Alignment: Set the profile to "Center" to see delta split (bullish volume to the right, bearish to the left), or "Left/Right" to see unified volume bars.
🔹 3D Perspective
The "3D Options" allow for full control over the visual tilt. Adjusting the X and Y Extrusion Depths changes the angle of the "blocks," providing a pseudo-3D effect that can help distinguish overlapping price levels.
🔹 Volume Anomaly Highlights
When enabled, the indicator identifies individual candles with abnormally high volume (based on a multiplier of the average). These candles are highlighted with a glowing effect and a "3D Laser Beam" that connects the candle directly to its corresponding price level in the profile.
🔶 DETAILS
The script calculates volume distribution by dividing the high-low range of the lookback period into "Buckets." Each candle's volume within the period is assigned to a bucket based on its median price.
The 3D effect is constructed using polylines to create front, side, and top faces for every volume bin. The drawing order is dynamically managed based on the Y-tilt (drawing bottom-to-top or top-to-bottom) to ensure correct visual layering and occlusion.
🔶 SETTINGS
🔹 General
Length: The number of historical bars included in the profile calculation.
Buckets: The number of price rows (bins) used to divide the vertical range.
Value Area %: The percentage of total volume used to calculate the Value Area.
🔹 Profile Setup
Profile Alignment: Determines if volume is centered or pinned to a side.
Profile Placement: Determines the horizontal location of the profile.
Profile Width Scale: Controls the maximum horizontal width of the volume bins.
🔹 3D Options
Extrusion Depth X/Y: Controls the horizontal and vertical tilt of the 3D perspective.
Show Bounding Box: Draws a 3D wireframe around the range of the profile.
🔹 Visuals
Highlight High Vol Candles: Enables the glow and connection beams for volume anomalies.
Anomaly Threshold: The multiplier applied to average volume to identify an anomaly.
🔹 Style
POC Color: Color used for the Point of Control.
Bull/Bear Colors: Colors representing positive and negative volume delta.
Border Color: The color of the 3D block edges and bounding box.
Indicator
Orderflow Suite [martineye15]Orderflow Suite — four order-flow tools in one indicator: Cumulative Volume Delta, footprint bars, imbalance / absorption signals, and a volume profile. Each module toggles independently, so you can run the full suite or just the part you need. CVD gets its own pane; the footprint, signals and profile draw directly on the price chart, so no second script is required.
MODULES
- Cumulative Volume Delta (CVD): running buy-minus-sell volume, with Session / Day / Week / None reset anchoring and a Line, Columns or Candle display (candles show open = previous CVD, close = new CVD, wicks from the intrabar delta extremes). Optional price-CVD divergence: bearish when price makes a higher high while CVD makes a lower high, bullish when price makes a lower low while CVD makes a higher low.
- Footprint bars: the most recent bars are split into price bins, each showing aggregated buy x sell volume, shaded by its net delta, with the bar's highest-volume bin (VPOC) framed.
- Imbalance & absorption: delta-imbalance triangles when |delta| / volume passes a threshold, stacked-imbalance zones when several same-direction imbalance bars line up, plus absorption labels (heavy volume in a tight range near a swing) and exhaustion labels (a new swing high on negative delta, or a new swing low on positive delta).
- Volume profile: a volume-at-price histogram over a lookback window with POC, value-area high / low and the 70% value area, in total-volume or delta-coloured mode.
DELTA ENGINE (please read)
PulseWire does not provide a true bid/ask tick feed, so delta here is an approximation, not exchange order flow. Historical delta is estimated from lower-timeframe intrabars: an intrabar counts as buy volume when it closes above its open, sell volume when below, and is split evenly on an unchanged close. On the live bar you can optionally accumulate tick-based delta instead (uptick = buy, downtick = sell). Because PulseWire does not store ticks, realtime values built this way can differ from what the same bar shows after a chart refresh. Treat every delta value as an estimate.
ALERTS
Ten conditions: CVD bullish / bearish divergence, bullish / bearish imbalance, stacked bullish / bearish imbalance, absorption at highs / lows, and exhaustion top / bottom.
HOW TO USE
Add it to a symbol that has volume (crypto, futures or stocks — spot forex usually has no real volume, and the tool will tell you so). Intraday timeframes from about 1 minute to 1 hour work best. Turn on the modules you want, set the delta engine (lower-timeframe auto / manual, and optional realtime tick mode), and adjust the per-module thresholds and sizes. Use CVD and its divergences for momentum and non-confirmation, the footprint and profile to see where volume actually traded, and the imbalance / absorption / exhaustion signals as context around swings. Set alerts on any of the ten conditions.
WHAT MAKES IT DIFFERENT
It combines CVD, footprint, imbalance / absorption and a volume profile in a single indicator, sharing one delta engine and drawing the price-chart modules through force_overlay from a lower pane — a combined order-flow view without stacking several scripts. Drawing counts are budgeted internally so the modules together stay within PulseWire's object limits.
REPAINTING & LIMITATIONS
Confirmed-bar behaviour is stable: footprints are built on closed bars, CVD divergences use confirmed pivots (so they appear a few bars after the pivot — normal pivot lag, not repainting), and the profile is computed over completed bars. The delta approximation is the main caveat: the live bar's delta is an estimate, and if you enable realtime tick mode, the live values will not match the same bar's historical lower-timeframe values after a refresh — this is inherent to how PulseWire exposes data and is noted in the input tooltips. One-second intrabars need a plan with seconds data; without it the tool uses a one-minute fallback, and very old bars beyond the intrabar budget fall back to whole-bar classification. A symbol with no volume cannot produce delta and will show a notice instead.
This is a visual, decision-support tool. It is not a strategy, it places no orders and reports no performance statistics, and it is not financial advice. Indicator
Burst Size Flow Divergence Large vs Small CVDOverview
A single cumulative-delta line tells you net buying or selling, but hides who is doing the pushing. Burst-Size Flow Divergence splits the flow inside each bar by the size of each volume burst — small / medium / large sub-intervals — and runs a separate signed delta on each tier. The signal is the divergence between the large-burst delta and the small-burst delta: concentrated bursts leaning one way while trickle flow leans the other. It is a flow-structure read, not a signal to trade alone.
What this is — and is NOT (read this before using)
This measures activity-burst size, not per-trade size. Pine cannot see individual trades — it sees a bar's volume and, via lower-timeframe requests, the volume of each sub-interval within the bar. "Large" here means a sub-interval that printed a lot of volume relative to normal — not a large single trade, and not "institutional." Institutions deliberately slice big orders into many small child-orders, so burst size is a proxy, not proof of who is behind the flow. The classification is honest about this, and the built-in harness is there precisely to test whether the divergence carries any information rather than to assert that it does.
Why these components are ONE tool (mashup justification)
Each stage exists because the previous one is ambiguous on its own:
Intrabar bucketing. Each lower-timeframe sub-bar is classed small/medium/large by its volume against an adaptive average, so "large" means large for this symbol and session, not a fixed lot count. A fixed threshold would misclassify on every instrument and every volatility regime.
Per-tier directional imbalance. Each tier gets its own signed delta (up sub-bar → +volume, down → −volume), expressed as net ÷ gross in — what fraction of that tier was net buying versus selling. Normalising this way lets the tiers' directions be compared apples-to-apples even though the large tier moves far less total volume than the small one.
The divergence. The large-minus-small spread is the object. Three separate delta lines would just be clutter to eyeball; the disagreement between the concentrated and the trickle flow is the actual read, so the tool computes it directly.
The calibration harness. "Concentrated bursts are informed" is a hypothesis, not a law — so when the spread is strong, the harness checks forward whether price actually followed the large tier more than the unconditional base rate, and reports Hit / Base / Edge on confirmed bars. That's what turns the divergence from a story into something you can verify on your instrument.
How it works
For each chart bar the finest available sub-bars are requested. Each is signed by close-versus-open (a tick-rule aggressor proxy) and bucketed by volume against the adaptive average. Per-tier signed volume becomes a net÷gross imbalance in , the large-minus-small spread is smoothed into the oscillator, and a strong gated spread is the divergence signal.
How to use it
Read the histogram (the large-minus-small spread): green means large bursts are accumulating while small flow lags or sells; red means large bursts are distributing. The bold line is the large-tier imbalance, the faint line the small tier. A gated turn in the spread suggests concentrated flow is leading, and is marked in the pane and — optionally — on the price chart. Always check the Coverage row (how much real sub-bar resolution the current bar received) and the Edge row (whether the divergence has actually led on this instrument). It is never a standalone trigger.
Plan-adaptive & data note
Sub-bar precision auto-selects the finest your plan serves (seconds on Premium+, else 1-minute). Lower-timeframe data exists only for recent bars, so older bars fall back to whole-bar flow and the coverage read shows it. The tool needs an instrument with real volume — a cash index reports none, so use the futures. The adaptive average and the calibration harness advance only on confirmed bars, so they never drift or inflate intrabar. Edge is in-sample, no costs — a study aid, not a backtest.
Originality
The parts are public: cumulative volume delta, the close-vs-open (tick-rule) aggressor proxy, and the general idea of size-partitioned / flow-toxicity order flow. What's assembled here is the specific construction — the adaptive intrabar size-tiering, the net÷gross per-tier imbalance that makes tiers of very different volume directly comparable, the large-minus-small divergence as the headline object, and the forward-calibration harness that scores it against the base rate. This is a clean-room implementation; no third-party Pine code is reused.
Concept credits
Cumulative Volume Delta — standard order-flow technique.
Close-vs-open (tick-rule) aggressor classification — after the classic trade-sign literature (Lee & Ready).
Size-partitioned / flow-toxicity order flow (VPIN) — Easley, López de Prado & O'Hara.
Disclaimer
Research and educational tool only. Not financial advice, no recommendation, no guarantee of results. Burst size is not trade size and does not identify institutions versus retail; the up/down sign is a close-vs-open proxy for the aggressor, not the true tape. Indicators describe past behaviour; they do not predict the future. Trading carries risk of loss. Test out-of-sample and make your own decisions. The author accepts no liability. Indicator
Footprint Master Pane [ZynAlgo]Overview
ZynAlgo Footprint Master Pane is an order-flow and footprint-style volume analysis indicator designed to help traders study micro-liquidity behavior inside each candlestick.
The tool displays intrabar volume-side activity as a matrix-style Footprint Profile in a separate pane. Instead of only observing open, high, low, and close movement, traders can study where buying and selling pressure appears across different price levels inside recent candles.
This can help users evaluate:
Intrabar volume concentration
Buy-side and sell-side pressure
Delta behavior inside each candle
Point of Control placement
Liquidity concentration at candle highs and lows
Potential absorption or exhaustion behavior
Chart example:
How to Read the Footprint Matrix
Each data block on the chart is displayed in this format:
Bid | Ask
Price Level
The price level represented by that row of the footprint matrix.
Bid - Left Number
Represents sell-side volume activity classified by the script for that price level.
Ask - Right Number
Represents buy-side volume activity classified by the script for that price level.
Background Color - Heatmap
The higher the volume at a price level, the stronger the heatmap intensity.
Default color logic:
Cyan: buy-side activity is dominant at that price level.
Pink: sell-side activity is dominant at that price level.
Gray: low or inactive liquidity area.
Key Highlights
POC - Point of Control
The Point of Control is the price level with the highest total trading volume within the selected candlestick.
It is displayed as the gold zone and represents the main volume concentration area for that candle.
Footer Metrics
The bottom of each footprint column displays summary data for the candle.
Delta
Delta represents the net difference between buy-side and sell-side volume activity.
A positive delta indicates that buy-side pressure is dominant. A negative delta indicates that sell-side pressure is dominant.
Total Volume
Total volume represents the combined volume activity for the entire candlestick.
Configuration Settings
1. Order Flow Engine
Intrabar Timeframe
Defines the lower timeframe used by the tool to extract intrabar volume information.
Lower intrabar timeframes can provide more detailed footprint construction, while higher intrabar timeframes may produce a smoother and lighter display.
Stack Levels - Height
Controls how many price levels each candlestick is divided into.
Higher values:
Show more footprint detail
Create a finer price-level breakdown
May increase chart processing load
Lower values:
Create a simpler footprint view
Reduce visual density
May run more smoothly on slower charts
Auto Detect Asset - Smart Grid
When enabled, the system attempts to measure the current asset's volatility and calculate an appropriate grid size automatically.
This is useful when switching between markets such as gold, crypto, forex, indices, or stocks.
Manual Tick Size
When Auto Detect Asset is disabled, users can manually define the tick or grid size.
This can be useful when a symbol requires a custom footprint scale.
2. Pane Visuals
Recent Bars to Render
Controls how many recent candles are displayed in detailed footprint form.
Limiting the number of rendered candles can help keep the chart responsive on PulseWire.
Color Customization
Users can customize the colors for:
Buy-side activity
Sell-side activity
Point of Control zone
Heatmap display
This allows the footprint pane to match different chart themes and visual preferences.
Basic Analytical Applications
1. Absorption Observation
When price approaches a key support or resistance area, footprint data can help traders study whether one side of the market is being absorbed.
For example, if a bearish candle shows positive delta and large volume near the lower part of the candle, it may suggest that sell pressure is being absorbed by buy-side participation.
2. POC Migration
Point of Control migration can help traders evaluate where value is shifting across consecutive candles.
In an uptrend, POC zones that continue to migrate higher may suggest that market participation is accepting higher prices.
3. Liquidity at Highs and Lows
Traders can inspect volume activity near candle highs and lows to study exhaustion behavior.
For example, if price reaches a new high but the top levels show very low participation, that may indicate weaker continuation pressure.
How to Use
Add the indicator to the chart.
Choose an intrabar timeframe suitable for the chart timeframe and market.
Adjust stack levels to control footprint detail.
Use the heatmap to identify price levels with stronger participation.
Monitor the POC to study where volume concentration forms inside each candle.
Compare delta and total volume to evaluate buy-side or sell-side pressure.
Combine footprint observations with market structure, support and resistance, liquidity zones, and risk planning.
Best Use Cases
This indicator may be useful for:
Order-flow style analysis
Footprint chart reading
Intrabar volume analysis
Delta observation
Point of Control tracking
Absorption study
Exhaustion analysis
Liquidity-zone confirmation
Limitations
Footprint values depend on the intrabar data available from PulseWire for the selected symbol and timeframe.
The Bid and Ask display is based on the script's volume-side classification logic and should be interpreted as analytical volume-side data.
Lower intrabar timeframes may provide more detail but can increase processing load.
A footprint imbalance does not guarantee price continuation or reversal.
The indicator does not provide automatic trade entries, exits, or position management.
Past order-flow or footprint behavior does not guarantee future results.
Important Note
This indicator is an analysis tool only. It does not provide financial advice, investment advice, or guaranteed trading results. Users are responsible for their own trading decisions and risk management.
Indicator
Indicator
Order Aggression Heatmap (Asymmetrical Volume Visualizer)Order Aggression Heatmap is a footprint-based visualization tool designed to highlight high-volume aggressive and/or asymmetrical buy/sell activity at individual price rows.
User-defined filters allow you to eliminate noise and only show the highest volume heat blocks.
Using PulseWire’s footprint data, the indicator analyzes volume at individual price rows and identifies areas where one side demonstrates a meaningful advantage over the other. Qualifying rows are displayed as heatmap blocks, with or without text, allowing traders to quickly spot volume concentrations, directional pressure, and potential areas of market response.
The indicator is intended as a supplemental order-flow visualization and can be used alongside price action, support/resistance levels, supply-demand zones, volume profiles, or other market structure tools.
How It Works
For each footprint price row, the script evaluates:
Total traded volume
Buy volume
Sell volume
Delta (buy volume minus sell volume)
Relative dominance between buyers and sellers
Rows are displayed only when user-defined thresholds are met.
The filtering process allows traders to focus on meaningful participation while reducing visual noise from lower-volume activity.
Available Filters
Minimum Row Volume
Requires a footprint row to contain at least the specified amount of traded volume before it can be displayed.
Increasing this value reduces noise and emphasizes higher-activity areas.
Minimum Absolute Delta
Requires a minimum difference between buy and sell volume.
Higher values focus on stronger directional pressure.
Aggression Ratio
Measures how dominant one side is relative to the other.
Example:
Ratio = 2.0
Buy Volume = 100
Sell Volume = 50
The row qualifies because buyers traded at least twice the volume of sellers.
Aggressive Rows Only
When enabled, only rows meeting the aggression ratio requirement are displayed.
When disabled, rows may still qualify through volume and delta thresholds alone.
Visual Features
•Heatmap-style overlays
•Custom buy and sell colors
•Optional footprint Point of Control (POC) highlighting
•Adjustable historical display window
•Adjustable heatmap persistence
•Optional row volume and delta labels
•Heat intensity can be customized through the selected color and opacity settings.
Suggested Applications
This indicator may be useful for:
•Identifying areas of concentrated participation
•Monitoring directional pressure within a move
•Comparing buyer and seller dominance at specific price levels
•Studying footprint behavior around support and resistance
•Evaluating activity near supply and demand zones
•Visualizing market response after large directional candles
Notes
This indicator uses PulseWire footprint data.
It does not use Level 2, DOM, or market-by-order data.
It does not identify individual trades or individual order sizes.
Results may vary depending on symbol, exchange data, and footprint resolution settings.
The snapshots above show the heatblocks hidden by the candles, but in use they appear in front of the candles. Indicator
Indicator
Adaptive Structural Trail Order Flow, Imbalance & RegimeAdaptive Structural Trail — Order Flow, Imbalance & Regime
What it is
Adaptive Structural Trail is a single, self-contained market-structure framework that re-clocks the chart by participation instead of time, marks the imbalances that real activity leaves behind, lets order flow decide which of those levels still matter, asks a regime filter whether trending behaviour can be trusted right now, and trails the strongest surviving level as an adaptive stop — all summarised in a plain-language dashboard that tells you, at a glance, whether the picture says ride, wait, or stand aside.
It is designed to be market-agnostic: every raw input (price, volume, and the volatility-index reference) is user-selectable, so the same logic runs on index futures, equities, FX, crypto or commodities without touching the code. Defaults are set for NIFTY index futures; change the volatility symbol and (if needed) the volume source for other instruments.
Why the components are combined (this is one tool, not a bundle)
Each layer measures a different facet of one process — activity creating structure, structure decaying or being defended, and a regime deciding whether to act. They are not independent indicators stacked for visual effect; remove any one and the others lose their meaning:
Delta clock (the substrate). A virtual bar closes only when cumulative signed volume becomes statistically significant (σ × a multiplier). Every downstream reading is therefore spaced by participation, not by the clock — a quiet 10 minutes and a violent 10 seconds are treated differently, which is the whole point.
Imbalance / fair-value-gap detection runs on those virtual bars, so a level is recorded only where genuine activity gapped price, not on arbitrary time bars.
Order-flow lifecycle (charge → decay → breaker/dead). When price returns to a level, delta adjudicates the outcome: absorbed-and-defended levels are reborn as breakers; levels that are surged through are killed. Flow decides what structure survives.
Regime gate (efficiency ratio + volatility burst). This routes everything. The trail is shown and signals arm only where trend behaviour is statistically credible; in range/transition/high-volatility states the tool deliberately stands aside.
Confidence fusion. Structure strength, cumulative-delta slope and flow toxicity (VPIN) are blended into one confidence number, which the dashboard converts into a plain instruction.
That coupling — a volume-significance clock feeding imbalance detection whose survival is adjudicated by order flow and gated by regime, fused into a single trailing level and a decision read-out — is the original contribution here.
How to use it
Add it to any liquid instrument. It is built for intraday timeframes (1–15 min is the sweet spot on index futures).
Read the dashboard top-down: the ACTION banner is the headline (e.g. LONG · ride the trail, RANGE · stand aside). Below it: bias + confidence, market state, the actual trail-stop price, order flow, flow toxicity, volatility context, and a plain "what to do" line.
Treat the coloured trail as a structure-based stop while the market state is a trend; when the state leaves trend, the trail disappears by design.
The imbalance zones show where unfilled activity sits; fresh, tapped and breaker levels are colour-coded (see the on-chart legend).
Edge-calibration panel (bottom-right): for transparency it scores past signals against a regime-matched base rate and reports EDGE = Hit − Base with a 95% confidence interval. Read the Edge column, not the raw hit-rate. This is descriptive of the past on your symbol — not a backtest and not a forward guarantee.
Key-info panel (top-left): instrument, timeframe, the live data source (see honesty note), threshold, ATR and level counts.
Honest note on data (please read)
PulseWire exposes no true tick-by-tick aggressor delta and cannot build custom bars, so delta here is a proxy: signed intrabar volume taken from the finest lower timeframe your data plan returns — 1-second where available, otherwise 1-minute — falling back to bar-shape when no lower-timeframe data exists. The live source is shown as "Delta source" in the Key-info panel, so you always know which mode is active. Non-repaint: the delta clock advances and structure/regime/signals resolve only on confirmed bars; the trail line itself updates within the forming bar as a current estimate.
Originality
The novelty is the synthesis and coupling, not any single classical block. A participation clock is used to gate imbalance detection; order flow is used to adjudicate level survival; regime is used to route the entire read; and the whole thing collapses into one trailing level plus a decision dashboard and a self-calibration panel. Every raw input is user-selectable so the framework generalises across markets.
Concept credits
This tool synthesises well-established, publicly documented ideas; credit to their originators:
Information / volume-driven bars & VPIN flow toxicity — Marcos López de Prado; Easley, López de Prado & O'Hara.
Efficiency Ratio (trend vs. noise) — Perry J. Kaufman.
Trade-side classification (tick rule) — Lee & Ready.
Market impact & absorption (square-root law) — Almgren; Tóth & Bouchaud.
Wilson score interval (small-sample proportion CI) — E. B. Wilson.
Imbalance / fair-value-gap and trailing-stop concepts are long-standing, widely used market-structure ideas. The synthesis and the Pine implementation are the author's own.
Exported outputs (for use in other scripts)
Available via input.source() in any other indicator, with clean generic names: Bias Score (signed conviction, ±10), Trail Stop, Trail Direction, Regime State, Confidence, Leading Strength, CVD Slope, Flow Toxicity, Cumulative Delta, Volatility ROC, Volatility Bias.
Disclaimer
For research and education only. This is an analytical tool — not financial advice, not a signal service, and not a guarantee of future results. No indicator has an inherent edge; validate with your own testing, apply realistic costs, and manage risk. You are solely responsible for your trading decisions. Indicator
ORDER BOOKorder book vp
order book vp is a visual trading tool designed to read volume, buy pressure, sell pressure, and important price zones directly on the chart.
it combines a visual order book panel, a volume profile, an intrabar buy / sell engine, delta tracking, poc, value area, hvn / lvn zones, quantity labels on candles, and a compact dashboard.
the goal is simple: help the trader see where volume is building, where price is reacting, where buyers dominate, where sellers dominate, and which price zones can become important decision areas.
important: pine script does not have access to real level 2 order book data or resting limit orders. this tool does not display real exchange depth. it builds an order book style view from traded volume, volume-at-price, and intrabar analysis.
this gives a clean reading of traded flow, not a promise of real exchange order book depth.
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main features
order book panel
shows a price ladder with levels around the current price. levels above price represent ask / sell pressure. levels below price represent bid / buy pressure.
fast order book effect
adds a fast reactive effect to the panel. the panel reacts to current buy / sell pressure, volume, candle body, and close position inside the candle.
volume profile
displays traded volume by price level. this helps identify where the market has exchanged the most volume.
poc
the point of control shows the price level with the highest volume inside the selected lookback window. it is often an equilibrium, reaction, or decision zone.
vah and val
vah is the upper boundary of the value area.
val is the lower boundary of the value area.
these levels help define the main area where the market built volume.
hvn and lvn
hvn means high volume node.
lvn means low volume node.
hvn zones can act as acceptance areas. lvn zones can act as rejection areas, acceleration zones, or liquidity gaps.
quantity labels
shows traded quantity on recent candles, with delta if enabled. green labels show buy dominance. red labels show sell dominance.
delta candle coloring
colors candles based on buy / sell delta dominance.
dashboard
summarizes important data: poc, vah, val, current candle buy / sell, delta, cvd, pressure, and intrabar source.
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inputs guide
intrabar timeframe
lower timeframe used to estimate buy and sell volume. the lower the timeframe, the more detailed the reading. for example, on a 15 minute chart, using 1 minute gives a finer intrabar view.
lookback
number of candles used to build the volume profile. a higher value gives a broader view. a lower value makes the profile more reactive.
price levels
number of rows used in the volume profile. more rows give more precision, but also use more resources.
show order book panel
turns the order book panel on or off.
visible levels
number of price levels displayed inside the order book panel.
depth bar length
visual length of the depth bars inside the order book panel.
panel position
sets the position of the order book panel on the chart.
detect walls
enables detection of large volume levels.
wall multiplier
defines when a level is considered a wall compared to average level volume.
fast order book effect
turns on the fast reactive order book effect.
fast effect power
makes the order book effect more or less aggressive. higher values make the panel react faster.
fast level decay
controls how far the fast pressure effect spreads around the current price.
flash active levels
highlights active levels when buy or sell pressure is strong.
show volume profile
turns the volume profile on or off.
split buy / sell
splits the profile into buy volume and sell volume.
profile width
sets the visual width of the volume profile.
profile offset
sets the visual offset used for profile elements.
show poc
shows the point of control.
show value area
shows vah and val.
value area percent
sets the percentage used to calculate the value area.
mark hvn / lvn
shows high volume nodes and low volume nodes.
hvn multiplier
sets the threshold for high volume nodes.
lvn multiplier
sets the threshold for low volume nodes.
vp buy opacity
controls the opacity of the buy side of the volume profile.
vp sell opacity
controls the opacity of the sell side of the volume profile.
show quantity labels
turns quantity labels on or off.
on last n candles
defines how many recent candles display quantity labels.
show delta
shows buy minus sell delta inside the quantity labels.
quantity label spacing
increases or decreases the distance between candle labels and candles.
color candles by delta
colors candles based on delta dominance.
show dashboard
turns the small information panel on or off.
dashboard position
sets the position of the dashboard.
strong bar ratio
sets the threshold used for strong buy or strong sell alerts.
bid / buy
sets the buy side color.
ask / sell
sets the sell side color.
poc / accent
sets the poc and main accent color.
neutral
sets the neutral color.
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how to use order book vp
start by choosing the asset and timeframe that match your trading style.
for scalping, use 1 minute, 3 minutes, 5 minutes, or 15 minutes.
for intraday trading, use 15 minutes, 30 minutes, or 1 hour.
for swing trading, use 4 hours or daily.
turn on the volume profile and watch the poc.
when price stays around the poc, the market is often balanced.
when price moves far away from the poc, the market may be in a displacement phase.
watch vah and val.
between vah and val, price is inside the main value area.
above vah, the market may be in bullish expansion or excess.
below val, the market may be in bearish expansion or excess.
watch hvn zones.
an hvn is a zone where a lot of volume was traded. price can return to this area because it represents acceptance.
watch lvn zones.
an lvn is a zone where little volume was traded. price can move quickly through these areas because there is less acceptance.
watch the order book panel.
if buy levels become stronger below price, it can show buying pressure.
if sell levels become stronger above price, it can show selling pressure.
watch the candle quantity labels.
positive delta means more buy volume.
negative delta means more sell volume.
if price rises with positive delta, buyers are supporting the move.
if price rises while delta turns negative, it can show weakness or absorption.
watch cvd inside the dashboard.
rising cvd shows cumulative buy pressure.
falling cvd shows cumulative sell pressure.
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simple beginner workflow
1. find the poc.
2. find vah and val.
3. check if price is inside or outside the value area.
4. check if the order book panel shows more buy pressure or sell pressure.
5. confirm with the quantity labels on candles.
6. look for reactions around poc, vah, val, hvn, or lvn.
7. always use a stop loss and risk management.
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scalping example
on a lower timeframe, order book vp can help identify fast reaction zones.
example:
price comes into val.
the order book panel shows buy pressure.
candle labels show positive delta.
price rejects val.
this can become a long scalp observation zone if market structure confirms.
another example:
price comes into vah.
the order book panel shows sell pressure.
candle labels turn red.
price rejects vah.
this can become a short scalp observation zone if market structure confirms.
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intraday example
on a medium timeframe, the tool helps identify important volume zones.
if price returns to the poc, it may react because this level is the center of traded volume.
if price breaks above vah with buy pressure, continuation can become possible.
if price breaks below val with sell pressure, bearish continuation can become possible.
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swing trading example
on higher timeframes, the volume profile helps identify major acceptance and rejection zones.
hvn zones can act as return zones.
lvn zones can act as acceleration zones.
the poc can act as a major equilibrium level.
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beginner settings
intrabar timeframe: 1
lookback: 300
price levels: 80
visible levels: 16
show order book panel: on
fast order book effect: on
show volume profile: on
split buy / sell: on
show poc: on
show value area: on
mark hvn / lvn: on
vp buy opacity: 25
vp sell opacity: 25
show quantity labels: on
show delta: on
color candles by delta: off
show dashboard: on
this setup keeps the chart complete while staying readable.
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important notes
do not take a trade only because the panel turns green or red.
use the panel as pressure confirmation, not as a standalone signal.
the most important levels to watch are usually poc, vah, val, hvn, and lvn.
a clean reaction on a level with matching delta is more useful than an isolated signal.
the larger the volume window, the more important the level can become.
order book vp is built to give a clear view of traded flow, volume by price, and buy / sell pressure, so the chart becomes a decision map instead of a random price display.
Indicator
Indicator
Heisenberg Uncertainty Bands [JOAT]HEISENBERG UNCERTAINTY BANDS
A novel band-and-state engine inspired by the Heisenberg uncertainty principle: the recognition that for a market, just as for a quantum particle, you cannot simultaneously be certain about both position (where price is) and momentum (how fast it is moving). Heisenberg Uncertainty Bands measures both uncertainties, tracks their empirical floor, classifies the current market into one of three quantum-inspired states — pure position |x⟩, pure momentum |p⟩, or mixed |ψ⟩ — and projects bands around price accordingly.
The principle, translated
In quantum mechanics, Δx · Δp ≥ ℏ/2 — the product of the position uncertainty and the momentum uncertainty cannot fall below a constant called Planck's reduced. For markets the analogue is:
Δx — the rolling standard deviation of price over a configurable window. The uncertainty in where price is sitting.
Δp — the rolling standard deviation of returns (log or arithmetic, configurable) over a separate window. The uncertainty in how fast price is moving.
ℏ̂ (hbar-hat) — the EMA-smoothed long-run product Δx · Δp. The script's empirical estimate of the market-specific lower bound.
Just like in physics, when the market is certain about position (price has been stable), it becomes uncertain about momentum (next direction is unknown) — and vice versa. The script measures both, computes the product, compares it to the empirical floor, and uses the ratio Δx/Δp as the state classifier.
Three quantum states
Pure Position State |x⟩ — Δx/Δp below the position threshold (default 0.40). Price is constrained to a tight band; the next directional move is uncertain. Yellow palette.
Pure Momentum State |p⟩ — Δp/Δx below the momentum threshold (default 0.40). Direction is committed; the range is widening. Magenta palette.
Mixed State |ψ⟩ — neither pure state condition holds. Violet palette.
The state badge on the right of the chart shows the bra-ket glyph (Unicode |x⟩ / |p⟩ / |ψ⟩ by default; can fall back to plain POS / MOM / MIX if your font lacks the brackets). A state cooldown (default 3 bars) debounces flicker.
Band projection
Two band families are projected around the live mid price:
Position bands — mid ± k × Δx. Solid by default. The classic "how wide is price ranging right now" envelope.
Momentum bands — mid ± k × (Δp scaled to the price axis). Dashed by default (configurable: Dashed / Dotted / Solid). Projected so their visual range matches the position bands.
When the two families are far apart in width, the state is decisive (|x⟩ if position is much tighter, |p⟩ if momentum is much tighter). When they are similar, the state is mixed.
Optional uncertainty-score candle tint
A toggleable layer recolours each candle based on how far the current Δx · Δp product deviates from the empirical floor ℏ̂. When the product is at the floor, the market is at its quantum-mechanical minimum — the most decisive setup; further from the floor means the market is "spending uncertainty" on both axes simultaneously.
Visual system
Position bands (solid, gradient fill optional).
Momentum bands (dashed / dotted / solid).
Mid line (style configurable).
State badge (right-side floating, configurable offset and size).
Background tint by state (configurable transparency, institutional default).
Optional candle re-tint by uncertainty score.
A locked Plasma palette (yellow position / magenta momentum / violet mixed on a deep-void ground) gives the chart a distinctive physics-inspired identity.
Dashboard
Monospaced table, positionable to any of nine corners, optional compact-no-header mode. Surfaces:
Current Δx and Δp values.
Δx · Δp product and its ratio to the ℏ̂ floor.
Δx / Δp ratio (drives the state).
Current state (|x⟩ / |p⟩ / |ψ⟩) with bar age.
Last state change with bars-ago.
Return mode (Log / Arithmetic) in use.
Alerts
Three alert conditions:
Pure Position State entry
Pure Momentum State entry
Mixed State return
How to read it
Two reads, in order of conviction:
Pure Momentum State |p⟩ entry is the script's directional commitment signal. Momentum has decisively exceeded position uncertainty — the move is real. Trend-following tools and breakout entries become high-conviction.
Pure Position State |x⟩ is the coil. Range has clamped down, direction is undecided. Reversion tools become high-conviction inside the band; the next state transition (back to |ψ⟩ or jumping to |p⟩) often produces a decisive breakout.
When Δx · Δp is close to ℏ̂ (the empirical floor) the market is at its most efficient — there is no slack in either axis to spare. These bars often coincide with the cleanest reversals and breakouts; the candle-tint layer is there specifically to highlight them.
Suggested settings
Defaults (position window 20, momentum window 20, hbar smoothing 100, k = 2.0, state threshold 0.40) are tuned for 15m–4H on liquid markets. For lower timeframes drop both windows to 10–14. For HTF (4H+) raise both to 30–50. Log returns are the theoretically-correct mode and the recommended default; switch to Arithmetic only if your instrument has trivially small price scale.
Originality
The implementation — the Δx / Δp dual-uncertainty pipeline, the EMA-smoothed empirical ℏ̂ floor, the three-state quantum-inspired classifier with bra-ket labelling, the dual-band projection with auto-scale, the uncertainty-score candle tint, the cooldown-debounced state machine, and the plasma palette — is JOAT-original. No third-party code reused. The Heisenberg principle is fundamental physics; the financial-market analogue and its implementation here are original work.
Limitations
The Heisenberg analogy is structural, not literal — markets do not obey the quantum-mechanical commutator relation; the script uses the concept of an inviolable joint-uncertainty floor as a market-regime classifier. The empirical floor ℏ̂ is estimated by EMA over a long window (default 100 bars) — on instruments with very short history the floor is approximate. State classification can flicker across the threshold; the cooldown is there to suppress this and is tunable.
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-made with passion by jackofalltrades
Indicator
Flow-Efficiency OscillatorFlow-Efficiency Oscillator
Overview
How much order flow did it cost to move price one tick? It measures signed volume (delta) consumed per tick of travel, then percentile-ranks that cost into a 0–100 read. High = expensive / heavy (lots of delta, little movement — the signature of absorption). Low = cheap / efficient (little delta, large movement — thin, frictionless travel). A study of effort-versus-result in the tape — not a directional signal.
Why these parts are ONE tool (mashup rationale)
A CVD line shows net flow; a volume study shows size; neither expresses the exchange rate between flow and price — and that ratio is where absorption hides. This chains: lower-timeframe delta reconstructs intrabar effort → a cost ratio divides effort by tick travel → percentile ranking makes it universal (0–100) → an absorption flag fires only when cost is high and flow leaned hard one way yet price stalled → the harness tests whether price then moves against the absorbed aggressor. Effort alone is just volume; the ratio without ranking isn't comparable; the flag without calibration is folklore.
How it works
Inside each bar, lower-timeframe bars are signed by the tick rule and summed into a bar delta; their absolute volume is total aggression. Cost = |delta| / max(tick travel, floor), smoothed, then percentile-ranked over a lookback (50 = median cost). Absorption arms when cost is in the high band while net delta is strongly one-sided. The harness logs each event and checks a ≥ k×ATR move against the aggressor a fixed horizon later.
How to use
High band (above the upper guide) = absorption / heavy tape, where a strong push is being eaten and reversals have context; low band = efficient tape, where moves travel freely and continuation is favoured. The absorption dots mark high-cost, one-sided stalls. Then read the Edge row. Context, never a standalone trigger.
Originality
CVD and the tick rule are public; the original work is the cost-per-tick exchange rate, its percentile normalisation, the absorption logic, and the forward calibration of absorption→reversal. No third-party code is reused.
Concept credit
Tick-rule trade sign — Lee & Ready (1991). Flow-toxicity / cost-of-trading framing draws on Easley, López de Prado & O'Hara. The ratio, percentile read and harness are this script's own.
Honesty / limitations
The buy/sell split is a tick-rule estimate from lower-timeframe bars, not true bid/ask data — delta is approximate. This is an intraday tool: it needs a timeframe below the chart's, warms up slowly, and is heavier than a single-series oscillator; on daily+ or volume-less feeds the read degrades. Edge figures are in-sample, no costs — context, not a backtest.
Disclaimer
Research / educational only. NOT financial advice; no guarantee of profitability. Trading carries risk of loss. Test out-of-sample. The author accepts no liability. Indicator
Large Lot Reverse Engineer [JOAT]LARGE LOT REVERSE ENGINEER
A regression-driven block-trade detector that infers the implied size of an off-tape institutional order from the residual between price movement and volume — and turns that residual into an estimated lot count. The premise is straightforward: when a single large order moves price meaningfully more than the visible volume would justify, the gap is the size of the hidden order that absorbed the move. Large Lot Reverse Engineer models that relationship, flags the outliers, and estimates the size.
The core idea — what price movement is "worth"
In normal conditions there is a stable statistical relationship between volume and the magnitude of a bar's return. A rolling regression over a configurable window (default 60 bars) estimates expected volume as a function of return — i.e., for the move you just saw, how much volume should there have been?
The residual is the difference between actual and expected volume, Z-normalised by its own rolling stdev. Two signs of residual matter:
Implied block (residual Z ≥ +threshold) — more volume traded than the price move warrants. Someone large was on the passive side absorbing aggression. The direction of the bar tells you which side.
Thin market (residual Z ≤ −threshold) — price moved on suspiciously low volume. Liquidity was missing; the move was a low-conviction air-pocket.
Both reads are institutionally interesting. The first identifies absorbed-aggression — the textbook signature of an institutional block trade. The second identifies regimes where price prints are unreliable.
R² reliability gate
A regression is only meaningful when the underlying relationship is actually there. The script computes the rolling R² of the model and exposes a configurable minimum (default 0.10). When R² falls below the gate the model is considered unreliable; the dashboard cell turns warning-coloured and the script tags any signals fired in that regime as low-confidence. This is the difference between a real residual reading and a noise residual — a professional read forbids the same.
Significant block sizing
Three thresholds are stacked:
Implied Block Sigma (+) (default 2.0σ) — baseline implied-block trigger.
Thin Market Sigma (−) (default 2.0σ) — baseline thin-market trigger.
Significant Block Sigma (default 3.0σ) — above this the bar is rendered with a polygon glyph and gets an estimated lot-size badge . Empirical scaler converts residual-volume into a lot count.
The size unit is configurable: Shares/Coins for spot instruments, Notional USD for size in dollars (using a configurable price proxy), or Auto which picks based on instrument. The scaler is exposed because no single conversion factor is universally correct — calibrate to your instrument's typical notional.
Cluster detection
When N blocks fire inside a rolling window (configurable, default 3 in 5 bars) the Block Cluster alert fires. Cluster signals are the strongest read this script produces — they indicate sustained off-tape activity, not a single statistical outlier.
Visual system
Residual Z histogram — bars coloured bull/bear by direction, magnitude by residual.
Threshold lines at ±2 and ±3 with on/off toggle.
Zero line and significant-block polygon glyphs.
Thin-market dots in the muted palette.
Background recency fade — fresh blocks tint the background and decay to transparent over a configurable number of bars.
Cumulative implied delta (optional) — running sum of implied-block directional contributions, useful for reading sustained institutional bias.
A locked Carbon palette (neon green / neon red / white midline on carbon black) gives the pane an institutional terminal feel.
Dashboard
Monospaced table, positionable to any of nine corners, with a compact mode and optional legend footer. Surfaces:
Current residual Z value and sign.
R² value with reliability colour-coding (green / amber / red).
Last significant block direction with estimated lot size.
Block count and thin-market count in the recent window.
Cluster status with bars-since-last-cluster.
Cumulative implied delta (when enabled).
Alerts
Four alert conditions, each independently controllable:
Implied Buy Block (positive residual + up bar)
Implied Sell Block (positive residual + down bar)
Thin Market Event (negative residual)
Block Cluster (N-in-window)
How to read it
Three reads, in order of conviction:
Block Cluster + high R² — the highest-conviction read. Multiple statistically-significant blocks inside a window, with the underlying model reliable. Institutional flow is actively moving size.
Significant block (3σ+) at a known level — a single large polygon glyph at a key support/resistance is a textbook absorbed-print read. The lot-size badge gives you a magnitude proxy you can compare across bars.
Thin market warning — when the residual goes deeply negative, treat any move you see with extreme caution; the tape is hollow. Often precedes either a violent move once real flow returns or a fade back to fair value.
Suggested settings
Defaults (60-bar window, R² ≥ 0.10, ±2σ block, +3σ significant) are tuned for 5m–1H on liquid futures, FX, and large-cap equity. For lower timeframes drop the window to 30 and raise the sigma thresholds to 2.5σ / 3.5σ to filter noise. For daily and above, widen the window to 100+ and consider log returns for instruments with large price scales.
Originality
The implementation — the rolling return-vs-volume regression with R² gate, the residual-Z classifier with bidirectional thresholds, the empirical lot-size scaler with auto/notional unit switching, the polygon-glyph significant-block render, the thin-market dot variant, the N-in-window cluster trigger, the recency-fade background, and the cumulative implied delta — is JOAT-original. No third-party code reused. The "volume that should have been" inference pattern is well-known to institutional desks; the implementation here is purpose-built for chart-based bar data.
Limitations
Implied block size is an inference from residual statistics, not a direct read of off-tape trades. Pine cannot see actual block prints that occur away from the lit market; what the script flags is the visible footprint those prints leave behind. The lot-size badge depends on the empirical scaler, which must be calibrated per instrument — the default 1.0× is generic. The R² gate is the most important reliability filter; when R² is low, no signal in the model should be considered reliable, by construction.
-made with passion by jackofalltrades
Indicator
CVD Delta Divergence [JOAT]CVD DELTA DIVERGENCE
A full-featured Cumulative Volume Delta engine with proper pivot-based divergence detection. CVD on its own is one of the cleanest reads of net flow you can produce without L2 data — but the value of CVD lives almost entirely in its divergence with price. CVD Delta Divergence builds the CVD properly (with footprint-API or reconstructed-tick options), then runs a strict pivot-vs-pivot divergence engine on top of it, with strength scoring and configurable cooldown.
Three data-source modes
CVD is only as good as the delta classification underneath it. Three modes are exposed:
Footprint API — uses PulseWire's Footprint dataset when the instrument supports it. The cleanest read, equivalent to professional delta feeds.
Reconstructed — when Footprint is unavailable, reconstructs buy/sell from a configurable lower-timeframe stream (1m / 3m / 5m / 15m / 30m) using the standard tick rule. Optional intrabar volume weighting.
Auto — picks Footprint when present, falls back to Reconstructed. The recommended default.
This is unusual — most public CVD scripts hardcode one method. Auto-mode means the script works correctly on any instrument that has either dataset, without per-instrument configuration.
Four CVD anchors
Cumulative deltas need an anchor — running a sum from inception of data is rarely meaningful. Four anchoring modes:
Cumulative — never resets. Maximum context, slowest divergence detection.
Session Reset (default) — anchors at the start of each trading session. The most useful read for day-trading reference.
Day Reset — anchors at midnight exchange time.
Week Reset — anchors at week boundary. Good for swing-frame divergences.
Pivot-based divergence engine (the headline)
Slope-comparison divergence is noisy. CVD Delta Divergence uses proper pivots :
ta.pivothigh / ta.pivotlow on price with a configurable lookback (default 5 bars left/right).
At each confirmed pivot, the corresponding CVD value is recorded.
A divergence is built only when two price pivots and their CVD readings disagree directionally.
A minimum-strength filter (default 15.0 on a 0–100 scale) suppresses weak signals — strength is the normalised disagreement magnitude between the price-pivot motion and the CVD-pivot motion.
A strict HL/LL toggle requires the second pivot to strictly exceed/undershoot the first by a small fraction so equal-pivot edge cases do not produce noise divergences.
A cooldown per divergence class (default 3 bars) prevents back-to-back fires of the same class.
Four divergence classes are detected:
Regular Bull — price lower-low, CVD higher-low. Reversal up.
Regular Bear — price higher-high, CVD lower-high. Reversal down.
Hidden Bull — price higher-low, CVD lower-low. Trend continuation up.
Hidden Bear — price lower-high, CVD higher-high. Trend continuation down.
Divergence markers can be force-overlaid onto the main chart pane (toggleable) so you see them on price without flipping panes.
Visual system
Slope-coloured CVD line — bull / bear gradient based on the CVD's own short-term slope (configurable window).
Smoothed CVD overlay — toggleable EMA-smoothed CVD on top of the raw line. Useful for cutting through noisy 1m reconstructions.
Delta histogram — bar-by-bar delta as columns behind the CVD line. Useful for seeing per-bar flow vs cumulative flow.
Zero line and crossover alerts.
Divergence connecting lines — when a divergence fires, a connector line is drawn between the two pivots for visual proof.
A locked Lava palette (gold bull / orange-red bear / oxblood mid on a deep lava-black ground) gives the pane a distinctive flow-read identity.
Dashboard
Monospaced table, positionable to any of eight corners, with:
Current CVD value with sign.
CVD slope direction (Rising / Falling / Flat).
Active anchor mode.
Last divergence class with bar age.
Source mode in use (Footprint / Reconstructed).
Zero-cross status with bars-ago.
Alerts
Six alert conditions, each independently controllable:
Regular Bull Divergence
Regular Bear Divergence
Hidden Bull Divergence
Hidden Bear Divergence
CVD Crosses Zero
CVD Slope Flips
How to read it
Three reads, in order of conviction:
Regular divergence — the classic reversal read. Price made a new extreme, CVD did not. The flow that was needed to extend the move did not show up. A regular divergence at a known structural level is one of the highest-conviction reversal setups in tape reading.
Hidden divergence — the trend-continuation read. Price retraced, but CVD did not. The flow is still committed in the original direction even though price wavered. Often produces clean re-entry signals in trends.
CVD zero-cross + slope flip — the regime change read. Cumulative flow has rotated sides — what was net-buying is now net-selling (or vice versa). Useful as a "the tape has flipped" notification.
Suggested settings
Defaults are tuned for 5m–1H charts on liquid markets in Session Reset mode. For lower timeframes, drop pivot lookback to 3 and divergence window to 30. For higher timeframes, raise pivot lookback to 7–10 and switch anchor to Day Reset. The minimum strength threshold (15) is intentionally loose; raise to 25–30 if you want only the strongest divergences.
Originality / what's reused
CVD (cumulative volume delta) is public-domain market-structure language; the tick rule is standard. The implementation — the Auto/Footprint/Reconstructed source switch, the four-anchor reset logic, the pivot-based divergence engine with strict HL/LL gating and minimum-strength filter, the slope-coloured CVD with histogram backdrop, the force-overlay divergence markers, and the cooldown-per-class state machine — is JOAT-original and tuned together. No third-party code reused.
Open source
Published open-source under the default Mozilla Public License 2.0. The source is sectioned, every input has a tooltip, every helper is documented inline. The CVD engine, the source-mode router, the pivot logic, and the divergence engine are independent modules — adapt any single piece without reading the whole file.
Limitations
Reconstructed CVD is a proxy — the tick rule is the accepted public-market inference but it is not a direct read of bid vs ask volume. Footprint mode requires the PulseWire Footprint dataset and is unavailable on some instruments. Pivot divergences are non-repainting once confirmed (they lag by the pivot's right-lookback) but the divergence between two pivots cannot fire until both are confirmed — so the second pivot's lag is the structural lag of the signal.
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-made with passion by jackofalltrades
Indicator
Order-Flow Profile Microstructure & Calibrated SweepsOrder-Flow Profile — Footprint, Microstructure & Calibrated Sweeps
A single-pane volume profile that reconstructs intrabar buy/sell activity, renders it as a footprint / delta heatmap with Point of Control and a 70% Value Area, layers a stack of market-microstructure factors over the same price bins, and then forward-tests every reversal signal it emits against realized outcomes. The dashboard reports measured edge with confidence intervals — not asserted edge.
It runs on any liquid symbol and any intraday timeframe. Defaults are tuned for index futures (e.g. NIFTY / BANKNIFTY); a few inputs adapt it to other instruments.
What it plots
Order-flow profile drawn to the right of price: each price bin colored by who controlled it (delta) with brightness scaled to volume, or a classic split footprint. The peak-volume row is the POC; a 70% Value Area is built outward from the POC.
Low-volume nodes / voids and four quadrant deltas that localize where buying and selling concentrated within the range.
A VPIN heat-glow background whose brightness rises with flow toxicity.
Sweep tags (ABS / EXH / DIV / REJ) at liquidity extremes, and a ⚡ reclaim-confirmed liquidity-sweep marker for the high-conviction stop-run-and-reclaim subset.
A calibration / key-reads dashboard (Compact by default, Pro on demand) that adapts its colors to your chart's background luminance.
Why these components belong in one script (component rationale)
This is not a bundle of unrelated indicators stacked together. Every component describes one object — the order-flow auction taking place inside the price profile — and each measures a different facet of it. They share one substrate (the price bins) and one validation spine (the calibration engine):
The profile says WHERE volume traded. POC, Value Area and voids are the structural skeleton — the price levels that matter.
Trade classification splits that volume into buy vs sell, giving every bin a delta. Bulk Volume Classification (a Student-t CDF on the standardized intrabar move) is used by default; on Premium plans, native bid/ask footprint can replace it, feeding the same bins. A tick rule classifies the same intrabars in parallel and the agreement % is reported, so you know when the trade-side read is fragile.
The microstructure factors qualify HOW that flow behaves at those levels. VPIN (informed vs balanced), multi-level OFI (depth-weighted imbalance across the bins), Kyle's λ and Amihud (price impact / illiquidity), and √-law absorption (flow soaked up vs fragile) each answer a question the raw profile cannot. They are computed over the very bins the profile draws.
The sweep layers detect reversals AT those levels — an order-flow taxonomy (absorption / exhaustion / divergence / rejection) plus a structural stop-run-and-reclaim. A Hawkes self-exciting intensity flags when sweeps are clustering (cascade risk).
A correlation-aware fusion (Kish design-effect shrinkage) combines the firing sweep's realized edge with the concurrent absorption and toxicity tells into a single reversal probability — shrinking redundant, correlated evidence so agreement among related signals cannot masquerade as independent confirmation.
The calibration spine forward-resolves every sweep and reports its hit rate versus base rate with a Wilson confidence interval. This is what ties the stack together: a factor only earns trust if the resolved outcomes say it does.
Remove any one layer and the others lose context: the profile without classification is just a volume histogram; the microstructure factors without the profile have no levels to attach to; the sweeps without calibration are unverified claims. Together they are a single, self-checking read of the auction.
How it works (mechanics)
Intrabar data. Lower-timeframe OHLCV is pulled with request.security_lower_tf (no lookahead). The lower timeframe is auto-derived from the chart timeframe or set manually.
Trade side. Bulk Volume Classification assigns each intrabar a buy fraction from a Student-t CDF of its standardized price change; delta = buy − sell. Where a Premium/Ultimate plan allows it, native request.footprint() real bid/ask volume per price replaces the reconstruction and feeds the identical bins.
Profile build. On the last bar, the chosen lookback of confirmed bars is accumulated into price bins; POC and the 70% Value Area are derived, voids and quadrant deltas computed.
VPIN. Volume is partitioned into equal-volume buckets; the average order imbalance across the last N buckets is the 0–1 toxicity read (with a percentile and background glow).
Impact factors. Stationarized (log-compressed, z-scored) OFI; depth-weighted multi-level OFI across the bins; Kyle's λ as the regression slope of return on signed flow; Amihud illiquidity as |return| per traded value.
Absorption. A displacement-normalized form and a √-law form (realized impact vs Y·ATR·√(|Δ|/V)): below the prediction = passive absorption / reversal candidate; above = fragile expansion.
Sweeps & fusion. At a swept extreme the bar is classified ABS / EXH / DIV / REJ; a Hawkes intensity tracks clustering; a Kish-decorrelated log-odds fusion outputs one reversal probability. Separately, a reclaim-confirmed liquidity sweep fires when price runs a confirmed swing pivot, closes back inside recovering a minimum fraction of the run, on a volume spike.
Calibration. Each sweep is queued and resolved a fixed horizon later against a moveATR·ATR threshold, recorded in R-multiples (MFE / MAE). The dashboard shows, per class: sample count, Hit% ± Wilson interval, Base% (the unconditional reversal rate over the same horizon), Edge (Hit − Base, starred at 95% significance), and average MFE / MAE.
Non-repaint: all detection is on confirmed bars, lower-timeframe arrays are confirmed intrabars, no dynamic-length built-ins are used, and the profile is drawn on the last bar from confirmed history. Pivots used by the liquidity sweep are confirmed before they can be swept.
What makes it original
It is built around calibration, not assertion. Most order-flow tools print a delta, a "confidence," or a footprint and leave it there. Here every reversal signal is forward-resolved against realized price and reported with a base rate and a Wilson interval, so the dashboard distinguishes a real edge from a small-sample illusion.
The agreement between Bulk Volume Classification and a tick rule is surfaced openly — a known weakness of reconstructed order flow is shown rather than hidden.
The microstructure factors are computed over the profile's own bins and decorrelated before fusion, so correlated flow signals don't inflate confidence.
It degrades gracefully from native exchange footprint (Premium) to reconstruction (every plan) with no change to the visual or the workflow.
All factor implementations are original Pine re-derivations of published methods; no code from other scripts is used.
How to use it
Apply to a liquid symbol on an intraday timeframe. Read the profile to see where volume concentrated (POC, Value Area, voids).
Watch the sweep tags and ⚡ liquidity-sweep markers at the edges of the range — these are reversal hypotheses, not guarantees.
Before trusting a sweep class, check its row in the calibration panel (switch the dashboard to Pro): is its Hit% above Base%, is the edge starred (significant), and is the Wilson interval tight enough to mean something?
Use the VPIN glow and fused reversal probability as context: bright background = one-sided / informed flow, which leans toward continuation and makes fades riskier.
The Compact dashboard summarizes the key reads (POC, VPIN, best calibrated edge, fused probability, liquidity-sweep status, auction efficiency); Pro expands the full per-class calibration table and every microstructure row.
Hidden EXP_* data-window series are provided for chaining into other scripts via input.source().
Data & markets
Works on whatever symbol the chart shows — nothing is hard-coded to an exchange or instrument. Defaults suit index futures on an intraday chart. For other instruments, adjust the Profile & Data Source group (lower-timeframe division, profile lookback) and, on a supporting plan, the native footprint settings. Reconstructed order flow is most reliable on liquid instruments with continuous volume.
Concept credits
This script operationalizes published methods; all implementations are original re-derivations.
Tick rule / trade sign — Lee & Ready (1991)
Bulk Volume Classification & flow toxicity (VPIN) — Easley, López de Prado & O'Hara (2012)
Order-Flow Imbalance — Cont, Kukanov & Stoikov (2014)
Multi-level / integrated OFI — Xu, Gould & Howison (2018)
Price impact (λ) — Kyle (1985)
Illiquidity ratio — Amihud (2002)
Self-exciting intensity — Hawkes (1971); Bacry, Muzy et al.
Square-root impact law — Almgren et al.; Tóth, Bouchaud et al.
Effective-sample decorrelation — Kish design effect
Market / auction profile (POC, Value Area) — Steidlmayer
Confidence interval — Wilson score interval (1927)
Disclaimer
For educational and informational purposes only. This is an analytical tool, not financial advice and not a solicitation to trade, and it is not a guarantee of future results. Order-flow classification from OHLCV is an estimate, not the true tape — without a Level-2 order book every delta here is a proxy (native footprint excepted). Always do your own research and manage risk; paper-trade before committing real capital. Indicator
ZenScalper Volume Surge OverlayZenScalper Volume Surge Overlay highlights unusual volume activity directly on the price chart by comparing current volume to a moving average of volume.
Features:
• Detects volume spikes relative to average volume.
• Displays labels above candles showing the strength of the surge:
2x = Volume is at least 2 times average
3x = Volume is at least 3 times average
4x = Volume is at least 4 times average
5x+ = Extreme volume expansion
• Helps identify potential breakout candles, liquidation events, reversals, institutional participation, and key reaction points.
• Designed to work alongside price action, VWAP, EMA, support/resistance, and market structure analysis.
Inputs:
Volume SMA Length: Defines the average volume baseline.
Label Size: Adjusts marker visibility.
Surge Thresholds: Customize the minimum multiples required for each label level.
This indicator does not generate buy or sell signals. It is intended as a volume confirmation tool to help traders quickly identify candles receiving significantly more participation than normal.
Best used in conjunction with trend, momentum, and price action analysis. Indicator
Indicator
Sin RSI Footprint (with Volume, CVD & VWAP)[ALT_analyst]
█ Overview
The Sin RSI Footprint brings the concept of professional order flow and footprint charting directly into momentum oscillators.
Instead of mapping traditional trading volume at raw price levels, this script peers inside the current higher-timeframe candle to map the internal momentum distribution and structural shifts using Lower Timeframe (LTF) RSI Crossovers, Volume, and Cumulative Volume Delta (CVD) data.
By visualizing exactly where and how momentum transitions occurred within a single bar, traders can identify hidden exhaustion, hidden accumulation/distribution, and intra-bar divergences that are completely invisible on standard candlestick charts.
█ Why is this one unique
This is not a normal RSI indicator. It is an intra-bar market structure mapping engine.
Most indicators treat every price level within a single candlestick as equal. This script uses a Fast/Slow RSI Cross Trigger mechanism to filter out ambient market noise, isolating the exact coordinates where momentum definitively shifts. It transforms these structural shifts into a multi-dimensional footprint matrix, combining them with localized transaction metrics.
⚪ What it does
At a high level:
• Retrieves LTF Crossover Data: Uses request.security_lower_tf to fetch an array of LTF Fast/Slow RSI crosses, Close prices, Volume, and CVD for the duration of the current chart's bar.
• Bins the data: Groups the validated LTF momentum nodes into precise price levels or vertical stacks.
• Calculates localized momentum: Identifies exactly where the definitive momentum shifts occurred inside the wick or body.
• Applies VWAP Trend Discipline: Dynamically filters out counter-trend noise based on a multi-band session VWAP.
█ Core Engines & How It Works
⚪ 1. The Matrix Engine (Traditional Price Level)
This mode acts like a traditional volume profile or footprint chart, but optimized for RSI crossover nodes and localized liquidity.
The script divides the high-to-low range of the current candle into user-defined bins (e.g., 10 rows). It calculates the step size dynamically:
float _st = _bh > _bl ? (_bh - _bl) / _i21 : syminfo.mintick
For each LTF crossover point, it determines the correct row and calculates the localized average RSI, accumulated Volume, and CVD.
Why this matters: It maps definitive momentum shifts to specific price levels. You can instantly see if buyers were exhausting their momentum at the absolute highs or absorbing pressure in the middle of the candle.
⚪ 2. The Stack Engine (Vertical Momentum)
This mode stacks validated LTF RSI crossover prints vertically above or below the candle based on a baseline threshold.
If the triggered LTF RSI is > 50, it is categorized as bullish and stacked above the candle's high. If <= 50, it is stacked below the candle's low. The height of each box is calculated dynamically using the Average True Range (ATR):
float _bhg = _ba * _i22
Why this matters: Separating crossover prints above and below the candle isolates bullish vs. bearish momentum bursts. Using ATR for box height ensures the boxes remain visually proportionate across different assets and timeframes regardless of absolute price volatility.
⚪ 3. The Adaptive VWAP Filter Engine & Multi-Bands
To enforce strict trading discipline ("No position is the third position"), the script includes an adaptive VWAP transparency filter and a dynamic multi-band system.
If a localized footprint box generates a "Sell" signal (overbought RSI) but the price level is ABOVE the session VWAP (bullish regime), the script automatically increases the transparency of that box, fading it into the background. It does the same for "Buy" signals below VWAP.
This ensures you are only presented with high-probability exhaustion or continuation signals that align with the true intraday value.
█ Key Features
• Micro Momentum Analysis: Displays localized RSI, Volume (K), and CVD directly inside the footprint boxes only when a momentum shift is confirmed.
• VWAP Trend Gate & Gradient Bands: Counter-trend signals are visually faded to prevent fighting the primary trend, visualized alongside 3 dynamic standard deviation bands.
• Noise Filter (Hide Range): Clean up the chart by hiding neutral RSI values (e.g., hiding everything between 30 and 70).
• Responsive Text Scaling: Box text size automatically adapts based on box height and user-defined scaling adjustments.
• Custom Color Themes: Choose from heavily optimized palettes including Neon Cyber, Monochrome Dark, Oceanic Deep, Toxic Alert, and Classic TV.
█ Settings
• Mode: Select the rendering engine (Stack or Matrix).
• Fast/Slow RSI Length (Cross Trigger): Defines the sensitivity of the LTF momentum shift detection.
• Matrix Rows: Specifies how many segments the candle is divided into.
• Lower Timeframe (LTF): Specifies the lower timeframe for data collection. Shorter LTFs provide higher precision but increase historical loading requirements.
• Counter-Trend Signal Transparency Filter: Toggles the adaptive VWAP filter.
• Hide Range Min / Max: Filters out neutral momentum values to isolate true extreme nodes.
█ How to Use
⚪ Spotting Reversals (Matrix Mode)
Look for deep red (overbought) RSI footprints concentrated at the very top of a bullish candle's wick. If the next candle fails to break that high, combined with a negative CVD print in the box, it highly suggests momentum exhaustion and trapped buyers at resistance.
⚪ Confirming Breakouts (Stack Mode)
When price breaks a key level, look at the Stack Mode. A large stack of green/blue boxes above the candle, supported by high relative volume, confirms sustained LTF bullish momentum shifting in your favor.
⚪ Filtering Noise
Set the "Hide Range" to 30-70 and enable the "VWAP Filter". The indicator will now only display footprint boxes when the LTF momentum shift reaches true extremes in the direction of the daily trend.
█ Developer's Note & Timeframe Guidelines
As a fundamental characteristic of market structure, momentum patterns observed on higher timeframes tend to carry greater reliability due to the natural reduction of market noise. To achieve optimal performance and prevent technical limitations (PulseWire limits), follow these recommended timeframe ratios:
• For Stack Mode (Recommended Ratio: 1:5 to 1:12)
Best paired as 1m LTF on 5m/10m chart, or 5m LTF on 30m/1H chart.
• For Matrix Mode (Recommended Ratio: 1:12 to 1:60)
Best paired as 1m LTF on 15m/1H chart.
Disclaimer
The content provided in my scripts, indicators, ideas, algorithms, and systems is for educational and informational purposes only. It does not constitute financial advice, investment recommendations, or a solicitation to buy or sell any financial instruments. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information. All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make.
Indicator
Footprint X-Ray [BOSWaves]Footprint X-Ray - Intrabar Delta Decomposition with Stacked Imbalance, Absorption, and Unfinished Business Detection
Overview
Footprint X-Ray is an intrabar order flow decomposition system that reconstructs the buy and sell volume distribution within each bar by pulling lower timeframe data and mapping participation to price rows, where row coloring, POC identification, stacked imbalance detection, and signal generation are driven by actual delta ratios at each price level rather than bar-level approximations or close-position estimates.
Instead of treating each bar as a single undifferentiated unit of buying or selling pressure, the indicator divides each bar's price range into rows sized relative to ATR, assigns lower timeframe bar volume to each row based on price overlap, and derives a per-row delta ratio that reflects whether buying or selling dominated at each specific price level within the bar. This creates a full participation map inside every candle showing not just what direction the bar moved but where within the bar each side was in control.
This creates an order flow framework that reveals the internal structure of price action invisible on a standard candlestick chart. The footprint cells expose per-level delta composition, the POC identifies the price row with the greatest participation, stacked imbalances highlight consecutive rows with dominant one-sided flow indicating aggressive institutional activity, absorption signals detect when extreme rows show opposing flow against the bar direction, and unfinished business zones project forward from bars where one side was entirely absent at the extreme, marking locations where price is statistically likely to return to complete the auction.
Price is therefore evaluated not at the bar level but at the price row level, exposing order flow dynamics that standard indicators cannot access.
Conceptual Framework
Footprint X-Ray is founded on the principle that the most actionable order flow information lives inside individual bars rather than across them, and that understanding which specific price levels within a bar attracted aggressive buying or selling reveals institutional positioning fingerprints that bar-level indicators systematically obscure.
Standard order flow approaches measure directional commitment at the bar level through delta, volume, or close positioning, but these metrics collapse the internal price distribution into a single reading that loses the structural detail of where within the bar each side dominated. This framework recovers that internal structure by reconstructing per-row participation from lower timeframe data, exposing the distribution of buying and selling pressure across the full price range of every bar.
Three core principles guide the design:
Each price row within a bar should have its own buy and sell volume measurement derived from lower timeframe participation overlap, providing per-level delta ratios rather than bar-level approximations.
Structural patterns within the footprint, specifically stacked consecutive dominant rows and opposing flow at extremes, carry meaningful institutional activity signals that justify dedicated detection and visualization separate from raw row coloring.
Unfinished auction levels where one side was entirely absent at a bar extreme should be projected forward as active reference zones until price returns to complete the participation, as incomplete auctions represent the highest-probability reversion targets within the footprint framework.
This shifts order flow analysis from bar-level delta measurement into per-row intrabar participation mapping where structural footprint patterns expose institutional activity with precision unavailable at the candlestick level.
Theoretical Foundation
The indicator combines lower timeframe OHLCV data retrieval, price overlap-weighted volume allocation to ATR-derived price rows, per-row delta ratio calculation, POC identification by maximum row volume, consecutive dominance run detection for stacked imbalances, extreme row opposing flow detection for absorption, and one-sided extreme row detection for unfinished business zone projection.
Lower timeframe bars are retrieved using security_lower_tf and each lower timeframe bar's volume is allocated to price rows proportionally based on the overlap between the lower timeframe bar's range and each row's boundaries. Bullish lower timeframe bars contribute their allocated volume to buy volume and bearish bars to sell volume, with doji bars split equally. CVD from PulseWire's volume delta library provides the bar-level delta for divergence and exhaustion detection. Row size is automatically derived as a fraction of the 200-bar ATR, scaling the footprint granularity to the instrument's typical volatility.
Four internal systems operate in tandem:
Row Construction and Delta Allocation Engine : Divides each bar's price range into ATR-scaled rows, iterates through all lower timeframe bars within the current chart bar, allocates volume to overlapping rows by price range fraction, and derives per-row buy volume, sell volume, total volume, and delta ratio.
Footprint Analysis System : Identifies the POC as the row with maximum total volume, runs consecutive dominance detection in both bull and bear directions to classify stacked imbalance rows, and evaluates extreme rows for absorption by testing opposing side dominance against the configured threshold.
Unfinished Business Zone Engine : Tests the top and bottom rows of each bar for single-sided extreme dominance, creates forward-projecting zone boxes from qualifying rows, extends those zones rightward on each subsequent bar, and removes them when price midpoint is revisited.
Signal Detection System : Derives bar delta from the CVD series, tests for delta divergence against recent price highs and lows, and identifies exhaustion bars where volume significantly exceeds the SMA baseline but net delta remains near zero, indicating a contested bar where neither side achieved directional resolution.
This design provides a complete intrabar participation map with structural pattern detection across every dimension of order flow that is reconstructable from OHLCV data.
How It Works
Footprint X-Ray evaluates price through a sequence of intrabar decomposition and pattern detection processes:
Lower Timeframe Selection : The indicator automatically selects the most appropriate lower timeframe based on the current chart timeframe, using one-second for seconds charts, one-minute for intraday, five-minute for daily, and sixty-minute for higher timeframes, or the manually configured timeframe when auto selection is disabled.
Row Size Calculation : The ATR over 200 bars multiplied by 0.1 and rounded to the minimum tick produces the row height, scaled automatically to the instrument's volatility. Manual row sizing overrides this when auto sizing is disabled.
Lower Timeframe Data Retrieval : OHLCV arrays for the lower timeframe are retrieved via security_lower_tf and CVD is calculated using PulseWire's volume delta library, providing both intrabar participation data and bar-level delta for signal detection.
Row Initialization : The bar's price range is divided into rows of equal height, with the number of rows derived from the range divided by the row size.
Volume Allocation per Row : For each row, all lower timeframe bars are iterated. Each lower timeframe bar contributing to a row has its volume allocated proportionally based on the fraction of its range overlapping the row boundary. Bullish lower timeframe bars contribute to buy volume and bearish bars to sell volume.
Delta Ratio Calculation : Each row's delta ratio is calculated as buy volume minus sell volume divided by total volume, producing a normalized score from negative one to positive one that drives cell coloring.
POC Identification : The row with the maximum total volume is identified as the Point of Control, receiving a distinct highlight color and an optional midpoint line.
Stacked Imbalance Detection : Consecutive bullish dominant rows exceeding the configured threshold ratio are identified as bullish stacked imbalances. The same logic in reverse identifies bearish stacks. Qualifying rows receive highlighted border coloring.
Absorption Detection : The top rows of green bars are tested for sell dominance and the bottom rows of red bars are tested for buy dominance. When opposing flow exceeds the absorption threshold at an extreme, an absorption signal is generated at the bar's high or low.
Unfinished Business Zone Creation : The top row of each bar is tested for buy dominance above the UB threshold and the bottom row for sell dominance above the threshold. Qualifying extreme rows generate forward-projecting zone boxes that extend rightward until price revisits the zone midpoint.
Delta Divergence Detection : Price making a new high within the lookback window while bar delta is negative generates a bearish divergence signal. Price making a new low while bar delta is positive generates a bullish divergence signal.
Exhaustion Bar Detection : Bars with volume exceeding the SMA baseline multiplied by the volume multiplier and with absolute delta-to-volume ratio below the configured maximum qualify as exhaustion bars, indicating high participation without directional resolution.
Candle Overlay Rendering : An optional transparent candle overlay with wicks colored by bar delta direction provides directional context on top of the footprint cell display without obscuring the underlying participation data.
Together, these elements form a continuously updating intrabar participation map where cell coloring reveals per-level delta composition, structural pattern detection identifies institutional activity signatures, and forward-projecting zones maintain active auction completion references.
Interpretation
Footprint X-Ray should be interpreted as an intrabar order flow decomposition system with layered structural pattern detection:
Footprint Cells : Each colored box represents a price row within the bar. Green shading indicates buy-dominant flow at that level, red shading indicates sell-dominant flow, and color intensity reflects the magnitude of the imbalance. Neutral rows with balanced participation appear at intermediate opacity.
Cell Text (Delta %) : The percentage displayed in each cell represents the net delta ratio for that row, quantifying how one-sided participation was at each specific price level within the bar.
Cell Text (Volume) : When volume mode is selected, each cell displays the net volume (buy minus sell) at that price row, providing absolute rather than relative participation data.
Accent Lines : A bright horizontal line on the dominant edge of each row highlights the side with greater participation, providing a clean visual boundary that reinforces the directional reading of each cell without requiring the text to be read.
POC Row : The row with the highest total volume receives a distinct highlight and optional midpoint line, marking the price level with the greatest participation concentration within the bar and the most significant auction reference point.
Stacked Imbalance Borders : Rows identified as part of a consecutive dominant run receive highlighted border coloring in the imbalance direction, signaling aggressive institutional one-sided flow across multiple consecutive price levels within the bar.
Absorption Diamonds : Diamond markers below bars indicate bullish absorption where buyers dominated the bottom rows of a red bar, suggesting selling pressure was being absorbed by aggressive buyers. Diamonds above bars indicate bearish absorption where sellers dominated the top rows of a green bar.
Unfinished Business Zones : Forward-projecting shaded boxes from extreme rows where one side was entirely absent mark incomplete auctions. Bullish UB zones project from bars where buyers dominated the top row without seller response. Bearish UB zones project from bars where sellers dominated the bottom row without buyer response.
Delta Divergence Crosses : Cross markers below price on bullish divergences and above price on bearish divergences identify structural disagreement between price direction and bar delta, flagging hidden weakness at new highs and hidden strength at new lows.
Exhaustion Circles : Orange circles on bars with extreme volume but near-zero net delta mark contested bars where neither side achieved resolution despite heavy participation, indicating potential inflection points where the prior directional move may be losing conviction.
Delta Wicks : Optional candle overlay wicks colored by bar delta direction provide an immediate visual cue for whether net buying or net selling dominated the bar as a whole, complementing the per-row cell analysis.
Per-row delta composition, POC location, stacked imbalance presence, absorption signals, unfinished business zones, and exhaustion bars collectively provide more order flow intelligence than any element in isolation.
Signal Logic & Visual Cues
Footprint X-Ray presents five distinct signal types derived from intrabar participation analysis:
Absorption Signal : Diamond markers generated when extreme rows show opposing flow against the bar direction, identifying institutional absorption of aggressive flow at price extremes.
Delta Divergence Signal : Cross markers generated when price makes new highs or lows within the lookback window but bar delta contradicts the directional move, flagging structurally weak breakouts.
Exhaustion Bar Signal : Orange circles generated on bars with exceptional volume and near-zero net delta, identifying participation battles where neither side achieved dominance despite heavy activity.
Unfinished business zones provide continuous passive signal context by projecting forward from incomplete auction extremes until price returns to complete the participation sequence.
Alert generation covers bullish and bearish CVD flips, bullish and bearish absorption events, bullish and bearish delta divergence, and exhaustion bar detection for comprehensive systematic order flow monitoring.
Strategy Integration
Footprint X-Ray fits within institutional order flow and auction theory-based trading approaches:
POC Reaction Trading : Use POC rows as high-probability reference levels within each bar. The highest-volume row represents the price level most accepted by both buyers and sellers and frequently acts as intrabar support, resistance, or reversion anchor on subsequent price interaction.
Stacked Imbalance Directional Bias : Use stacked imbalance detection as a directional conviction signal within bars. Consecutive buy-dominant rows from low to high indicate sustained aggressive buying across multiple price levels, suggesting institutional accumulation rather than isolated speculative activity.
Absorption Reversal Framing : Use absorption signals as potential reversal triggers where aggressive flow is meeting organized opposing participation at extremes. Bullish absorption at the low of a red bar suggests buyers are defending price levels despite selling pressure, while bearish absorption at the high of a green bar suggests sellers are resisting upside extension.
Unfinished Business Zone Targets : Use UB zones as reversion targets for subsequent price action, monitoring whether price returns to complete the auction at levels where one side was previously absent. The completion of an unfinished auction typically involves a return to the zone followed by the missing side finally participating.
Divergence-Confirmed Entries : Use delta divergence signals as structural warning indicators rather than standalone entries, weighting them more heavily when they coincide with other confluence factors such as absorption or unfinished business zone proximity.
Exhaustion Bar Context : Treat exhaustion bars as inflection point alerts requiring subsequent bar confirmation rather than immediate entry triggers. High volume with near-zero delta indicates a contested equilibrium that will resolve directionally on the following bars.
Technical Implementation Details
Delta Source : PulseWire volume delta library providing CVD series with automatic lower timeframe selection
Row Construction : ATR-fraction row sizing with lower timeframe price overlap-weighted volume allocation per row
Analysis Engine : Maximum volume POC identification, consecutive dominance run detection for stacked imbalances, and extreme row opposing flow testing for absorption
UB System : Array-managed forward-projecting zone boxes with midpoint revisit detection and automatic removal
Signal Detection : CVD-based delta divergence against lookback window highs and lows, volume SMA ratio combined with delta ratio for exhaustion classification
Visualization : Gradient-colored footprint cells with accent lines, POC highlighting, stacked imbalance borders, absorption and divergence markers, exhaustion circles, UB zones, and optional delta wick candle overlay
Performance Profile : Optimized with object count caps and array management for real-time execution across intraday and higher timeframes
Optimal Application Parameters
Timeframe Guidance:
1 - 5 min : Intrabar microstructure analysis for scalping with automatic one-minute lower timeframe providing high-resolution participation data within each chart bar
15 - 60 min : Session-level order flow decomposition for intraday trading with sufficient lower timeframe bar count per chart bar to produce meaningful row distributions
4H - Daily : Swing-level institutional footprint analysis with five-minute lower timeframe providing detailed participation mapping across larger price ranges
Suggested Baseline Configuration:
Auto Lower Timeframe : Enabled
Auto Row Size : Enabled
Cell Text : Delta %
Accent Lines : Enabled
Highlight POC Row : Enabled
Show Stacked Imbalances : Enabled
Min Consecutive Rows : 3
Dominance Threshold (SI) : 0.60
Show Absorption : Enabled
Show Unfinished Business : Enabled
Delta Divergence : Enabled
Exhaustion Bars : Enabled
Show Candle Overlay : Enabled
These suggested parameters should be used as a baseline; their effectiveness depends on the instrument's volume characteristics, typical bar range, and preferred signal sensitivity, so fine-tuning is expected for optimal performance.
Parameter Calibration Notes
Use the following adjustments to refine behavior without altering the core logic:
Too few rows per bar : Disable Auto Row Size and manually reduce the row size value to increase row count, producing a more granular footprint with finer price level resolution for the target instrument and timeframe combination.
Too many rows cluttering the display : Increase the manual row size or allow auto sizing to recalibrate. On higher timeframes with large bar ranges the automatic ATR fraction may produce excessive row counts that reduce readability.
Stacked imbalance signals too frequent : Increase the Min Consecutive Rows setting to require longer dominance runs before stacking is classified, or increase the Dominance Threshold toward 0.75 to demand stronger per-row directional conviction.
Absorption signals too frequent : Increase the Absorption Threshold toward 0.80 to require stronger opposing dominance at extremes before an absorption signal fires, filtering for only the most decisive institutional responses.
Too many unfinished business zones : Increase the UB Dominance Threshold toward 0.90 to restrict zone creation to only the most extreme single-sided bar extremes, reducing zone density on the chart.
Divergence signals firing too often : Increase the Divergence Lookback to require price to make a more significant new high or low before the divergence condition tests, reducing signal frequency to only the most structurally significant disagreements.
Exhaustion signals too frequent : Increase the Volume Multiplier to require a larger volume spike above the baseline before exhaustion classification, or decrease the Max Delta Ratio to require closer to zero net delta for a bar to qualify.
Adjustments should be incremental and evaluated across multiple session types rather than isolated market conditions.
Performance Characteristics
High Effectiveness:
Liquid instruments with consistent volume where lower timeframe bar allocation produces meaningful per-row participation distributions and reliable delta measurements
Intraday and session-level timeframes where sufficient lower timeframe bars exist within each chart bar to produce statistically representative row-level volume allocation
Order flow-based trading approaches where intrabar participation patterns provide entry confirmation or invalidation context that bar-level indicators cannot supply
Institutional activity monitoring where stacked imbalances and absorption patterns reveal aggressive positioning that precedes significant directional moves
Reduced Effectiveness:
Low-liquidity instruments where thin lower timeframe volume produces sparse row distributions with many empty cells and unreliable per-level delta ratios
Higher timeframes on instruments without lower timeframe data availability where security_lower_tf returns insufficient bars per chart bar for meaningful decomposition
Instruments without volume data, which the indicator detects and blocks with a runtime error
Extremely fast markets during news events where lower timeframe bars are so large relative to the chart bar range that overlap allocation produces distorted row distributions
Thin or extended-hours sessions where volume is too low to produce statistically meaningful per-row participation differences distinguishable from random distribution
Integration Guidelines
Confluence : Combine with BOSWaves structural tools, trend indicators, or momentum oscillators to validate footprint-derived signals with broader analytical context before acting on intrabar participation patterns
POC Context : Treat POC rows as the most significant intrabar reference levels. Subsequent price returning to a prior bar's POC is returning to its highest-participation level, which frequently acts as support, resistance, or magnetic reversion anchor.
Stacked Imbalance Direction : Use stacked imbalance direction as a short-term institutional bias indicator. Consecutive buy-dominant rows from low to high suggest aggressive accumulation that may continue on subsequent bars. Consecutive sell-dominant rows suggest distribution.
Unfinished Business Patience : Allow UB zones to be approached naturally rather than anticipating reactions immediately after formation. The auction completion process can take multiple bars and the zone should be monitored for participation behavior on arrival rather than treated as an automatic reversal level.
Exhaustion Confirmation Requirement : Never treat exhaustion bars as standalone entry triggers. The exhaustion condition identifies a contested state that requires subsequent directional resolution. Wait for the following bar to confirm which side won the participation battle before acting on the exhaustion signal.
Disclaimer
Footprint X-Ray is a professional-grade intrabar order flow decomposition and institutional activity detection tool. It uses lower timeframe volume allocation with per-row delta calculation but does not access true exchange-level bid and ask data. All participation measurements are reconstructed from OHLCV data and represent best-approximation estimates rather than actual order book information. Results depend on instrument liquidity, lower timeframe data availability, parameter selection, and disciplined execution. BOSWaves recommends deploying this indicator within a broader analytical framework that incorporates price structure, trend context, and comprehensive risk management. Indicator
Dual Log Regression Channels [BigBeluga]Dual Log Regression Channels is a highly advanced multi-timeframe mathematical modeling terminal engineered for PulseWire. It maps, projects, and blends two independent logarithmic regression channels directly onto your asset layout screen to deliver an institutional-grade perspective on trend structure, market cycles, and structural volume distributions.
By separating price discovery parameters into a long-term Macro Channel and an execution-focused Short Term Channel, this tool effectively resolves the classic trader conflict of assessing structural trend directions while looking for immediate micro execution setups. Rather than treating market space as flat, standard geometric lines, this engine runs an advanced curve-fitting algorithm over your data to follow the exponential nature of capital expansion and distribution.
🔵 INTUITIVE SYSTEM ARCHITECTURE & ENGINE FEATURES
1. Logarithmic Regression Curve Optimization
Non-Linear Structural Tracking: Standard linear regression struggles with volatile crypto or high-growth equity trends over massive lookback structures. This script continuously converts incoming data matrices into mathematical log-space, computes a best-fit ordinary least squares (OLS) linear progression, and converts the output back into exponential value curves.
Dual Horizons Convergence Layer: Tracks an extensive trend anchor block (defaulting to 300 bars) simultaneously with a highly responsive, high-velocity swing lookback matrix (defaulting to 50 bars). This exposes localized micro contractions occurring right at major macro boundary extremes.
Visual Deviation Spacing Bands: Channels automatically map out distinct volatility boundaries based on real-time Standard Deviation multipliers. This defines predictable mathematical risk corridors where asset expansions typically exhaust and snap back toward the median baseline.
2. Predictive Channel Extension & Real-Time Trend Direction Arrows
Dynamic Origin Trend Arrows: The engine processes a dedicated directional diagnostic framework at the precise historical start (origin node) of each lookback channel. It generates sharp, high-visibility glyph trend arrows ( ⇗ for structural uptrends and ⇘ for structural downtrends). These arrows offer an instant, real-time assessment of the mathematically calculated baseline slope, entirely bypassing visual guesswork when channels run relatively flat.
Forward-Projected Space Models: When enabled, both the Macro and Short-Term structural bands project forward into the future chart space blank zone (e.g., 50 bars ahead for Macro, 20 bars for Short-Term). This lets you visually identify intercept locations and major trend crossroads long before price action arrives.
3. Adaptive Embedded Channel Volume Profiles (VP)
Integrated Block Volume Binning Matrix: Moving beyond basic fixed or visible range volume profiles, this module segments and collects transacted volume profiles exclusively inside the exact coordinate boundaries of each respective channel.
Dynamic Coordinate-Aligned Shading Bars: The volume profile rows scale and project outward utilizing advanced polyline geometry arrays, maintaining structural alignment with the slope of the moving channel boundaries.
Point of Control (POC) Trailing Baselines: Automatically tracks and renders a crisp, high-visibility solid horizontal baseline ( POC Line ) marking the exact price bin location that attracted the highest volume concentration throughout that lookback phase.
4. Volumetric Delta Tracking Panels
Buy vs. Sell Volume Accumulation Blocks: Aggregates total execution volume during the lookback period, classifying volume based on bar polarity.
Net Order Flow Delta Percentages: Computes and prints the precise net mathematical buying/selling pressure delta inside the channel. This reveals quiet accumulation behavior or hidden distribution trends directly alongside your spatial boundary drawings.
🔵 SYSTEMATIC EXECUTION STRATEGIES & RISK INTERPRETATION
Confluence Zone Intercept Trading: Look for setups where the Short Term Channel’s outer standard deviation boundaries align directly with the Macro Channel's major structural lines. When a high-velocity micro asset trend exhausts itself at a long-term macro floor or ceiling, it marks a highly efficient, asymmetric inflection zone for trend continuation entries or macro reversals.
Volume Profile POC Mean Reversion Matrix: The volume profile POC lines show where massive institutional blocks shifted hands inside that channel's lifespan. If the market stretches thin near an upper outer boundary but net volumetric volume indicators begin shifting toward seller control, look for a swift mean-reversion move down toward the high-liquidity POC baseline node.
Trend Acceleration vs. Overextended Breakouts: When an asset forces a candle close completely outside the projected log channel boundaries, it flags an exceptional shift in trend velocity. If the Volume Delta percentage prints an explosive spike in that direction, it supports a trend acceleration play. If volume is thin, it warns you of a predatory, overextended fakeout structure that is likely to snap back into the central channel values.
🔵 INTERFACE CONFIGURATION AND PARAMETERS
Lookback & Deviation Tuning Blocks: Customize historical calculation boundaries and volatility widths separately for both trend layers to match any asset class or time frame preference.
Volume Profile Customization: Control the precise resolution of the volume profile by adjusting row count bins and max bar widths to match your specific layout.
Clean Workspace Overrides: Toggle visibility filters to hide median baselines, remove raw background asset lines, or completely customize color theme hex codes to fit cleanly within your setup without causing visual clutter.
Transform your charting environment from basic straight lines into an exponential, volume-weighted structural map with the Dual Log Regression Channels terminal. Indicator
Order Flow Microstructure Engine# Order Flow Microstructure Engine
**Order Flow Microstructure Engine** condenses a full stack of order-flow and market-microstructure measures into a single decision: one confidence %, one tier, and one action with entry/stop levels — shown in an adaptive on-chart dashboard. It is built to answer one question on every bar: *are aggressive buyers or aggressive sellers in control, and how convinced should you be?*
This is not a bundle of unrelated indicators placed on one chart. Every component measures a **different facet of the same process** — the buy/sell auction happening inside each bar — and they are combined inside **one probabilistic model**. The reason for the mashup, and how the parts interact, is described below as the guidelines require.
**Why these components are combined (mashup justification)**
No single order-flow measure is reliable alone: raw delta misleads during absorption, CVD drifts, footprint imbalances appear in chop, and toxicity rises at both reversals and breakouts. Because these weaknesses are *partially independent*, fusing the measures correctly cancels noise that any one of them carries. The original element is **how** the fusion is done — not what is plotted.
**How it works (the pipeline)**
1. *Reconstruction.* Lower-timeframe sub-bars are pulled and each is classified buy/sell with a tick-rule cascade (after Lee & Ready). Where the data plan exposes native volume footprint, real bid/ask is used and aggregated into the same price bins. The dashboard always shows whether it is running on reconstructed (`RECON`) or native (`NATIVE`) data.
2. *Factors.* From that base it derives Aggressor Imbalance Ratio, Cumulative Volume Delta, footprint imbalances/POC, auction Value-Area efficiency (acceptance vs rejection), integrated multi-level Order-Flow Imbalance (depth-weighted), VPIN-style flow toxicity, Kyle's lambda price-impact/liquidity, a directional self-exciting (Hawkes) intensity, and a square-root-law absorption measure.
3. *Fusion (the original part).* Each factor is mapped to a probability and combined in Bayesian log-odds. Crucially, the flow-derived factors are **decorrelated before fusion** using an effective-sample-size (design-effect) shrinkage, so factors that are really the *same evidence* (AIR, delta, CVD, footprint, OFI) cannot inflate confidence just by agreeing. Structurally independent factors (auction efficiency, MOC, Hawkes, absorption, cross-instrument) enter at full weight. The posterior is then gated by multi-timeframe and multi-horizon consensus and damped by a regime-thrash (chop) penalty, producing one confidence → a 5-tier ladder → an action.
Without this combination you would get several conflicting opinions; the value is the **correlation-aware fusion** that turns them into one calibrated read.
**How to use it**
- Apply to a liquid instrument on an intraday timeframe (1m–1h). Defaults are tuned for index futures on 5-minute charts with 5-second sub-bars.
- Read the Compact dashboard top-down: ACTION + confidence %, Tier (position-size guidance), Entry/Stop, then CO-FIRE confluence, multi-timeframe and regime/stability. Switch "Table view mode" to Full for a complete factor-by-factor breakdown.
- On-chart triangles mark Tier-1/Tier-2 long/short signals across history; footprint boxes show the intrabar buy/sell distribution.
- For other markets: change the **Market preset** (group 01). Choose **CUSTOM** to set your own session, MOC window, footprint bin sizing and CVD reset — making it usable on any instrument in any market.
- The dashboard theme auto-adapts to a light or dark chart background.
**What makes it original**
Correlation-aware decorrelated Bayesian fusion of order-flow factors; a native-footprint seam that uses real bid/ask when available and transparently falls back to reconstruction; layered multi-horizon + multi-timeframe + cross-instrument confirmation on a microstructure base; and a regime-stability filter that penalizes only genuine directional reversals, not same-direction intensity changes.
**Honesty / limitations**
On most retail feeds, order flow here is reconstructed from lower-timeframe data via the tick rule (~75–80% trade-sign accuracy), not true exchange bid/ask, unless your plan provides native footprint data. The data source is shown in the dashboard. This is an analytic and educational tool, not financial advice and not a guarantee of results.
**Concept credits**
Lee & Ready (trade sign); Kyle (price impact / lambda); Easley, López de Prado & O'Hara (VPIN); Cont, Kukanov & Stoikov and Xu, Gould & Howison (OFI / multi-level OFI); Hawkes and Bacry–Muzy (self-exciting intensity); Almgren and Tóth–Bouchaud (square-root impact law); Kaufman (Efficiency-Ratio adaptation); Steidlmayer (Market Profile / Value Area); Kish (design effect). All Pine implementations are original re-derivations; no external script code is used.
**Disclaimer**
For research and educational purposes only. Nothing here is financial advice. Markets carry risk and past behaviour does not guarantee future results. Always do your own research and manage risk.
Indicator
Delta by Price (Delta Volume Profile)🔹 Introduction
This indicator, Delta by Price (Delta Volume Profile), takes the familiar concept of a volume profile and replaces raw traded volume with net directional volume (delta) at each price level. Instead of showing how much volume traded at a price, it shows which side was more aggressive at that price — buyers or sellers.
The idea is straightforward: if a price level absorbed significantly more aggressive buying than selling (or vice versa), that level likely represents a meaningful shift in who was in control of the auction at that point in the range.
One thing to be upfront about: true tick-by-tick delta isn't available to Pine scripts. This indicator approximates delta by pulling lower-timeframe bars within each higher-timeframe bar and classifying each LTF bar's volume as buy-side or sell-side based on whether it closed above or below its open. It's a proxy, not a recording of the actual order book — but it's the same proxy nearly all publicly available delta tools use, and it tends to track real aggressor flow reasonably well over meaningful sample sizes.
🔹 The Premise / Background Theory
🔸 Volume tells you "how much," delta tells you "who pushed"
A standard volume profile answers one question: how much volume traded at each price? It's useful for finding high-volume nodes (areas of acceptance) and low-volume nodes (areas of rejection), but it's directionally blind. A price level with 1,000 contracts could be 500 aggressive buys and 500 aggressive sells — pure equilibrium — or it could be 950 buys and 50 sells, meaning that level was overwhelmingly bought into.
Delta separates these two scenarios. A delta profile takes that same volume and splits it by aggressor side, then nets it. The result is a histogram that shows not just where volume concentrated, but which direction the pressure leaned at every price.
🔸 A concrete example
Assume price moves through a range from 5,000 to 5,010 over a session.
At the 5,002 level, three separate visits occur. On the first visit, an LTF bar closes higher than it opened with volume of 200 — classified as buy-side. On the second visit, another bar closes lower than it opened with volume of 150 — sell-side. On the third visit, a bar closes higher with volume of 300 — buy-side.
Net delta at 5,002 = +200 − 150 + 300 = +350.
Total volume at 5,002 = 200 + 150 + 300 = 650.
A standard volume profile would just show "650 contracts traded here." The delta profile shows +350 net buying — meaning roughly 54% more buy-side aggression than sell-side at that exact price. If you saw a level like this near the low of a range, it might suggest buyers stepped in there with conviction, not just that "a lot happened" there.
🔸 Why distribute delta across a bar's range instead of just its close
Each higher-timeframe bar has a high and a low, and the LTF bars that compose it trade across that entire range — not just at the close. This indicator takes each HTF bar's net delta and spreads it proportionally across every price bin the bar's high-to-low range touches.
This is an assumption, not a measurement. In reality, delta within a single bar isn't evenly distributed across its range — more of it likely occurred near where price spent the most time. But without LTF-by-LTF price-level tracking (which would be computationally heavy and hit Pine's lower-timeframe data limits quickly), even distribution across the bar's range is the most defensible simplification available. Wider bars contribute a thinner "smear" of delta per price bin; narrow bars concentrate their delta into fewer bins. Over a large enough sample, this tends to average out reasonably well.
🔹 How It Works
🔸 Profile Range: Session vs. Rolling Lookback
The indicator builds its profile from one of two data windows, selectable in settings.
Session mode mirrors how a session volume profile works — it resets at the start of each new session (defined by the session time input) and accumulates only the bars within that session. This is the natural choice if you want to see, for example, today's regular trading hours delta distribution reset cleanly each day, the same way you'd look at a daily session volume profile.
Rolling Lookback mode instead uses a fixed number of the most recent closed bars (configurable, default 200), regardless of session boundaries. This is useful for a continuously updating view of recent delta structure that isn't tied to calendar sessions — helpful for instruments or sessions that don't fit a clean daily reset (e.g. 24-hour futures markets).
There are limitations here worth noting. Session mode depends on the session time input matching how you actually think about your trading day. If you trade through multiple sessions (e.g. Asian, London, NY) and only select one as your "session," the profile will reset and rebuild only around that window — bars outside it are ignored entirely.
🔸 Number of Price Rows
This setting controls how finely the price range is divided into bins — effectively the "resolution" of the profile. A higher row count gives more granular price-level detail but spreads the available delta across more bins, making each individual bin's bar shorter and potentially noisier. A lower row count aggregates more price action into each bin, producing a smoother, more visually digestible profile but losing some precision about exactly where within a price cluster the delta concentrated.
This is a resolution-versus-noise tradeoff — there's no universally correct setting, and it's worth adjusting based on the instrument's typical range and tick size.
🔸 Extend Direction
The profile can be drawn extending to the right of the current bar (the default, useful when you want the profile visible without obscuring recent price action to the left) or to the left, anchored at the start of the lookback/session window — placing it where the data actually begins, similar to how some volume profile tools anchor to the left edge of the range being measured.
This is purely a visual/layout preference and doesn't change any underlying calculation — it only affects where the horizontal delta bars are drawn relative to price.
🔸 Point of Control (POC)
When enabled, a label marks the price bin with the highest total absolute volume (buy-side + sell-side combined, not net delta) — analogous to the POC on a standard volume profile. This identifies where the most total activity occurred, regardless of which direction it leaned. It's possible — and informative — for the POC bin to have a relatively small net delta despite high total volume, which would indicate that level saw heavy two-sided participation rather than one-sided conviction.
🔸 Custom Lower Timeframe
By default, the indicator automatically selects a lower timeframe for delta calculation based on your chart's timeframe (1-second charts use 1S, intraday charts use 1-minute, daily charts use 5-minute, and anything larger uses 60-minute). You can override this manually.
The tradeoff here is precision versus data availability. A finer LTF gives a more granular delta classification per HTF bar, but request.security_lower_tf() has practical limits on how many LTF bars it can return per HTF bar — on very large lookbacks with a very fine LTF relative to your chart timeframe, you may not get the full intrabar picture for older bars.
🔹 Closing Remarks
A delta-by-price profile doesn't tell you why buyers or sellers were more aggressive at a given level — only that they were, based on a reasonable proxy for aggressor classification. Large net-delta clusters don't guarantee future support or resistance. They're best treated as a layer of context: a way of seeing whether the volume that built a price level was directionally lopsided or balanced, which can complement (not replace) your read of structure, location, and broader order flow.
Used alongside the rest of your framework, it's another lens for asking the same underlying question every footprint-based approach asks: was this level built by conviction, or by indecision? Indicator
