Liquidity Profile Order Blocks [BOSWaves]Liquidity Profile Order Blocks - Impulse-Validated Order Block Detection with Embedded Net Delta Volume Profiles
Overview
Liquidity Profile Order Blocks is a pivot-anchored order block detection system that constructs supply and demand zones from impulse-validated swing events and embeds a live net delta volume profile inside each active block, where zone boundaries, profile distribution, and visual intensity are driven by measurable price displacement, volume-weighted directional flow at each price row, and real-time retest interaction rather than arbitrary candle pattern matching or static zone geometry.
Instead of identifying order blocks through isolated candle formations or fixed lookback patterns, each block requires a confirmed swing pivot followed by a displacement move exceeding a configurable ATR multiple, ensuring that only structurally significant events with genuine impulse evidence behind them generate zones. The embedded net delta profile then maps the buy and sell volume distribution across the price rows of each block using the formation candles, identifying the Point of Control and revealing whether the underlying flow within the block was predominantly buying or selling pressure at each specific level.
This creates an order block framework that combines structural detection criteria with internal participation intelligence. Each zone simultaneously shows where price pivoted with sufficient impulse to warrant attention, how volume was distributed across its price range during formation, whether that distribution was net buy or net sell dominant at each level, and how the balance is evolving as price retests the zone. When price enters an active block the visual system responds with intensified borders, brightened profile rows, and a glow effect that makes active interaction immediately identifiable.
Price is therefore evaluated not just against zones that meet structural criteria but against zones with a fully mapped internal participation profile that reveals the order flow composition of the institutional activity that created them.
Conceptual Framework
Liquidity Profile Order Blocks is founded on the principle that genuine order block zones carry two layers of evidence: a structural fingerprint in price behavior visible through pivot and impulse mechanics, and a participation fingerprint visible through the distribution of buying and selling volume across the zone's price range during its formation.
Traditional order block tools identify zones through candle pattern criteria alone and display them as uniform rectangles with no internal structure, treating all zones equally regardless of their internal flow composition. This framework adds the participation layer by building a per-row net delta profile inside each zone from the same bars that defined it, exposing how aggressively one side dominated at each price level and identifying the specific level within the zone where the greatest total participation was concentrated.
Three core principles guide the design:
Order block detection should require both a confirmed swing pivot and a measurable impulse displacement, ensuring structural and momentum criteria are satisfied simultaneously before a zone is committed.
Each zone should carry an embedded net delta profile derived from its formation bars, providing internal participation intelligence that distinguishes between zones with clean directional conviction and zones with contested or mixed flow composition.
Zone visualization should respond dynamically to retest interaction, intensifying when price is actively engaging with a block to communicate the structural significance of the current price location in real time.
This shifts order block analysis from pattern-matching zone marking into impulse-validated structural detection with embedded volume profile intelligence that reveals the institutional participation dynamics underlying each zone.
Theoretical Foundation
The indicator combines pivot high and low detection for swing identification, ATR-normalized impulse measurement for displacement validation, multi-candle zone boundary construction from formation bars, per-row volume allocation using price overlap fractions, net delta calculation across profile rows, POC identification by maximum row volume, retest interaction detection for profile updates and active state management, and a multi-layer gradient visualization system with glow intensity scaling.
Pivot detection uses configurable left and right bar requirements to identify confirmed swing highs and lows. Impulse validation measures the price displacement from pivot to the detection bar relative to ATR, filtering for only the moves with sufficient momentum evidence. Zone boundaries are constructed from the configured number of formation candles preceding the pivot, with ATR-based minimum and maximum height constraints preventing zones from being either too thin to be meaningful or too wide to be actionable. Volume allocation to each profile row is proportional to the overlap between each formation bar's range and the row boundary, ensuring volume is distributed to the price levels where it actually traded rather than assigned uniformly.
Four internal systems operate in tandem:
Impulse-Validated Detection Engine : Monitors confirmed pivot highs and lows and tests the displacement from pivot price to current close against the ATR multiple threshold, qualifying only structurally significant impulse events as order block origins.
Zone Construction and Constraint System : Builds zone boundaries from formation candles with ATR-based height clamping, manages maximum zone count by removing oldest blocks when the limit is reached, and optionally removes overlapping same-side zones to maintain a clean active zone set.
Net Delta Profile Engine : Allocates volume from formation bars to price rows via overlap-weighted fractions, tracks signed buy and sell volume per row to derive net delta ratios, identifies the POC as the maximum total volume row, and optionally updates the profile with additional volume on each confirmed retest bar.
Retest Interaction and Visual System : Monitors price entry into each zone, tracks touch count and armed state, detects mid-level confirmation for active signal generation, scales visual intensity through glow, border weight, and profile row brightness based on interaction state, and invalidates zones on configurable close or wick breach conditions.
This design ensures each zone carries both structural and participatory credentials while the visual system communicates interaction state dynamically throughout the zone's active lifecycle.
How It Works
Liquidity Profile Order Blocks evaluates price through a sequence of structure-aware and participation-tracking processes:
Pivot Detection : Swing highs and lows are confirmed when the configured number of bars to the left and right validate the pivot, identifying structurally significant turning points for impulse testing.
Impulse Validation : On each confirmed pivot, the price displacement from the pivot level to the current close is measured in ATR multiples. Displacement exceeding the configured threshold qualifies the event as an order block origin.
Zone Boundary Construction : The formation candle range spanning the configured number of bars before the pivot is used to derive zone top and bottom, with ATR-based minimum and maximum height constraints applied to ensure zone dimensions remain structurally meaningful.
Overlap Removal : When enabled, a newly created zone checks for existing same-direction zones that overlap with its boundaries and removes the oldest overlapping zone, preserving the most recently formed level.
Formation Profile Build : Each formation bar's volume is allocated to profile rows in proportion to the overlap between the bar's high-low range and each row boundary. Bullish formation bars contribute to buy volume and bearish bars to sell volume, building the initial net delta distribution across the zone's price rows.
POC Identification : The row with the greatest total volume accumulation across all formation bars is identified as the Point of Control, receiving distinct highlighting and an optional midpoint line.
Active State Monitoring : On each subsequent bar, price is tested for entry into each zone. Entry triggers a touch count increment and arms the zone for signal detection. When price closes beyond the midline in the zone direction after touching, the zone enters active state with intensified visual treatment.
Retest Profile Update : When the retest profile update setting is enabled, each confirmed bar while price is inside a zone contributes additional volume to the net delta profile, keeping the participation distribution current as the auction continues.
Visual Refresh : On every bar all active zones are redrawn with current glow intensity, border weight, profile row colors, and info box content reflecting the latest touch count, net delta percentage, total volume, and active state.
Invalidation Testing : On each confirmed bar, close or wick price is tested against the zone boundary in the opposing direction. Breach triggers zone deletion with full cleanup of all associated visual objects.
Together, these elements form a continuously updating order block system where structural credentials, internal participation profiles, and real-time retest dynamics are maintained simultaneously across all active zones.
Interpretation
Liquidity Profile Order Blocks should be interpreted as an impulse-validated structural zone system with embedded participation intelligence and dynamic interaction tracking:
Bullish Order Block (Green) : Zone formed below a confirmed swing low followed by a sufficient upward impulse, identifying a price region where buying activity concentrated before a displacement move higher.
Bearish Order Block (Red) : Zone formed above a confirmed swing high followed by a sufficient downward impulse, identifying a price region where selling activity concentrated before a displacement move lower.
Zone Body : The shaded rectangle spanning the formation candle range with gradient fill reflecting zone direction. Gradient intensity increases toward the dominant edge of the zone where institutional activity was most concentrated.
Net Delta Profile Bars : Horizontal bars centered within the zone body extending left or right from the center line to reflect net buy or net sell dominance at each price row. Longer bars indicate more decisive directional dominance at that level.
Point of Control Row : The profile row with the greatest total volume receives a distinct highlighted background and optional horizontal line, marking the price level of maximum participation concentration within the zone.
Info Box : Panel extending to the right of each zone displaying zone direction, net delta percentage across all formation volume, and total formatted volume, providing a quick quantitative summary of the zone's participation profile.
Midline : Dashed horizontal line at the zone center provides the reference level for mid-zone confirmation logic and serves as a precision target for entries and invalidation management.
Active Retest Glow : When price enters a zone after prior interaction, borders intensify, the POC line brightens, profile rows saturate, and the seam line thickens, communicating active structural engagement with immediate visual clarity.
Trend Cloud : Optional EMA fill and lines provide macro trend regime context, coloring in the bullish or bearish direction to help assess whether order block retests are occurring with or against the broader directional trend.
Zone impulse strength, net delta profile composition, POC location, touch count, and active glow state collectively provide more structural intelligence than zone boundaries alone.
Signal Logic & Visual Cues
Liquidity Profile Order Blocks generates retest confirmation signals when specific interaction conditions within active zones are met:
Bullish Retest Confirmation : Generated when price enters a bullish order block, the zone is in armed state from a prior touch, and price closes above the zone midline after having been at or below it, suggesting buying pressure is reasserting within the demand zone.
Bearish Retest Confirmation : Generated when price enters a bearish order block, the zone is in armed state from a prior touch, and price closes below the zone midline after having been at or above it, suggesting selling pressure is reasserting within the supply zone.
Both signal types require prior zone interaction to arm the zone before confirmation can trigger, filtering out first-touch reactions and focusing on the mid-level confirmation that indicates directional intent within the block.
Alert generation covers bullish and bearish retest confirmations for systematic zone-based monitoring workflows.
Strategy Integration
Liquidity Profile Order Blocks fits within institutional order flow and structural zone-based trading approaches:
POC-Precise Entries : Use the POC row within each zone as the highest-precision entry reference rather than the full zone boundary, placing entries at the level of maximum prior participation where the institutional activity was most concentrated.
Net Delta Zone Selection : Prioritize bullish zones showing net buy dominance in the profile and bearish zones showing net sell dominance, as aligned delta composition confirms that the formation volume was directionally consistent with the expected zone function.
Mid-Level Confirmation Entries : Use the midline confirmation signal as an entry trigger rather than entering on initial zone touch, waiting for price to demonstrate directional intent by closing beyond the zone center in the expected direction.
Touch Count Conviction Weighting : Assign higher confidence to zones with lower touch counts. Fresh zones with zero prior retests carry the most unmitigated institutional order potential. Zones with multiple touches have progressively absorbed more of the original order flow.
Retest Profile Monitoring : Monitor the net delta profile as it updates during retests with the Update Net Profile on Retest setting enabled. Profile composition shifting against the zone direction during a retest suggests absorption rather than continuation, warranting reduced confidence in zone integrity.
Invalidation Mode Selection : Use Close invalidation for stricter zone management that requires a full bar close beyond the boundary. Use Wick invalidation for earlier removal when any price excursion beyond the zone boundary is sufficient to consider the level structurally violated.
Technical Implementation Details
Detection Engine : Pivot high and low confirmation with ATR-normalized displacement measurement for impulse validation
Zone Construction : Multi-candle formation boundary derivation with ATR min and max height clamping and optional overlap removal
Profile System : Per-row volume allocation via high-low overlap fractions with signed net delta accumulation and maximum volume POC identification
Interaction Logic : Touch count tracking, armed state management, mid-level confirmation detection, and optional retest profile accumulation
Visual System : Multi-layer gradient zone fill, glow-scaled borders and lines, net delta profile bars, POC row and line highlighting, and info box with live metrics
Invalidation : Configurable close or wick breach detection with full object cleanup on zone removal
Trend Context : Dual EMA regime cloud with configurable fast and slow lengths for directional bias overlay
Performance Profile : Optimized with configurable maximum block count and array-based object management supporting real-time execution across all timeframes
Optimal Application Parameters
Timeframe Guidance:
1 - 5 min : Intraday order block mapping for scalping with shorter pivot length and tighter impulse threshold for responsive zone formation on smaller structural moves
15 - 60 min : Session-level institutional zone identification with balanced pivot and impulse settings producing zones aligned with meaningful intraday structural events
4H - Daily : Swing-level demand and supply zone mapping with higher pivot requirements and wider impulse thresholds reflecting larger structural displacements
Suggested Baseline Configuration:
Pivot Length : 8
Impulse Size (ATR) : 1.10
Formation Candles : 4
Remove Overlapping Same-Side Blocks : Enabled
Minimum Zone Height (ATR) : 0.12
Maximum Zone Height (ATR) : 1.20
Maximum Blocks : 6
Invalidation : Close
Profile Granularity : 12
POC Highlight : Both
Update Net Profile On Retest : Enabled
Active Retest Glow : Enabled
Show Info Box : Enabled
Show MA Fill : Disabled
Show MA Lines : Disabled
These suggested parameters should be used as a baseline; their effectiveness depends on the instrument's volatility characteristics, typical impulse behavior, and preferred zone density, so fine-tuning is expected for optimal performance.
Parameter Calibration Notes
Use the following adjustments to refine behavior without altering the core logic:
Too many zones forming : Increase Impulse Size to demand a stronger displacement move after each pivot, or increase Pivot Length to require more structurally significant swing confirmation before an order block qualifies.
Zones not forming frequently enough : Decrease Impulse Size toward 0.5 for more inclusive displacement qualification, or decrease Pivot Length toward 3 for faster pivot confirmation on shorter swing structures.
Zone boundaries too wide : Decrease Maximum Zone Height ATR multiplier to compress oversized zones, or decrease Formation Candles to limit the boundary range to fewer formation bars.
Zone boundaries too narrow : Increase Minimum Zone Height ATR multiplier to expand zones that are structurally too thin to provide meaningful interaction space.
Profile too granular or too coarse : Adjust Profile Granularity to increase or decrease the number of price rows, calibrating profile resolution to the zone height and the instrument's typical price movement within order block regions.
Zones invalidating too quickly : Switch Invalidation to Close mode to require a full bar close beyond the boundary rather than a wick excursion, reducing premature zone removal on temporary price spikes.
Too many zones overlapping : Enable Remove Overlapping Same-Side Blocks to automatically clean older zones when new ones form at the same area, or reduce Maximum Blocks to limit total active zone count.
Adjustments should be incremental and evaluated across multiple session types rather than isolated market conditions.
Performance Characteristics
High Effectiveness:
Trending markets with clear impulse moves following swing pivots where order block zones consistently align with subsequent pullback reaction levels
Liquid instruments with consistent volume where the net delta profile produces meaningful row-level participation distributions that accurately reflect institutional flow composition
Institutional zone-based trading approaches where POC precision entries and net delta filtering provide higher-quality trade framing than conventional order block boundary entries
Multi-timeframe workflows where higher-timeframe order block zones provide directional structural context for lower-timeframe entry timing
Reduced Effectiveness:
Choppy, range-bound markets where frequent small swing pivots generate overlapping zones without the sustained impulse displacement required for meaningful structural significance
Low-liquidity instruments where thin volume produces sparse net delta profiles with insufficient row-level differentiation to distinguish POC and flow composition reliably
News-driven or gap-heavy markets where impulse moves occur on discontinuous price action that distorts zone boundary derivation relative to actual institutional entry levels
Instruments with irregular volume distribution where the net delta profile loses compositional accuracy due to inconsistent participation patterns across formation bars
Extreme volatility environments where ATR-based zone constraints produce inconsistent zone sizes that do not reflect the structural significance of the underlying pivot events
Integration Guidelines
Confluence : Combine with BOSWaves momentum tools, volume analysis, or structural break indicators to validate order block retests with broader analytical context before acting on mid-level confirmation signals
Profile Composition Awareness : Treat net delta profile composition as a zone quality indicator. Zones with clean directional dominance across most rows carry higher conviction than zones with mixed or opposing flow across their price range.
POC Respect : Use the POC row as the precision reference for entry placement and invalidation management. The maximum participation level within the zone represents the most meaningful price within the block from an institutional activity perspective.
Touch Count Discipline : Reduce position sizing or confidence on zones that have been retested multiple times. Each touch consumes a portion of the original order flow that created the zone, reducing the probability of a sustained reaction on subsequent tests.
Active Glow Response : Treat the active glow state as an immediate visual alert that price is engaging with a structurally significant level. Use this as a cue to increase monitoring frequency and prepare for confirmation or invalidation rather than acting immediately on zone entry alone.
Disclaimer
Liquidity Profile Order Blocks is a professional-grade order block detection and volume profile analysis tool. It uses impulse-validated pivot detection with per-row net delta profiling but does not access true exchange-level order book data. All volume distribution and flow measurements are derived from OHLCV data and represent best-approximation estimates of institutional participation rather than actual order book information. Results depend on instrument liquidity, volume reliability, parameter selection, and disciplined execution. BOSWaves recommends deploying this indicator within a broader analytical framework that incorporates momentum context, trend structure, and comprehensive risk management. Indicator
OrderFlow Absorption Matrix | ProjectSyndicateOrderFlow Absorption Matrix reconstructs the order flow hiding inside every candle and maps it onto price as a living liquidity profile — then power-ranks the levels where aggressive volume was absorbed and price is most likely to react. It drills into each bar with a lower-timeframe scan to measure true buy/sell delta and, crucially, absorption — the volume that pushed into a wick and got soaked up by passive limit orders instead of moving price. That footprint is binned across the range into a Liquidity Profile, a Delta column and an Absorption column, anchored by the Value Area (POC / VAH / VAL), and distilled into 0–10 strength-ranked support/resistance zones. The whole tool runs on one idea from order-flow theory: price doesn't reverse where volume is heavy — it reverses where aggression is absorbed. The Absorption engine finds those hidden walls, scores them, and shows you the conviction behind each one at a glance.
🌊 LTF Delta & Absorption Engine — the core of the tool. A lower-timeframe scan breaks each chart bar into its intrabar prints and measures two things conventional volume cannot: net Delta (buying minus selling pressure) and Absorption (aggressive volume that drove into the upper or lower wick and was rejected — sellers absorbing buyers at highs, buyers absorbing sellers at lows). Granularity is adjustable, with optional seconds data for fine delta on low timeframes, and a clean fallback to candle direction when intrabar data is unavailable.
🟪 The Absorption Column — the namesake read. Beside the profile, a dedicated column ranks every price bin by how much aggressive flow was absorbed there. Tall absorption bars mark the hidden walls — iceberg-style passive defense where the market repeatedly refused to move despite aggression hitting it. These are the levels that hold, and the Absorption Side read tells you whether the heaviest absorption sits below price (defended support) or above it (defended resistance).
📊 The Liquidity Profile — a binned volume profile built over a rolling lookback, split four ways into strong / weak buying and strong / weak selling. Bars that traded on above-percentile volume render brighter as "strong," so you see not just where volume built, but where conviction did. The profile projects to the right of price so your candles stay clean.
🎯 Delta Heatmap Column — net buy/sell delta per price bin, shaded by intensity and labelled with the signed value, so you can read exactly which shelves were accumulated and which were distributed — even when total volume looks balanced.
🧲 Value Area — POC / VAH / VAL — the auction skeleton. The Point of Control (highest-volume price), the Value-Area High and Low are computed by true value-area expansion from the POC and drawn as clean reference lines. POC is the magnet; the VA edges frame fair value, and "Price vs POC" (in ATR) tells you how stretched the auction is.
🏆 0–10 Strength-Ranked Liquidity Zones — the power-ranking. The strongest levels are peak-detected from the profile and each earns a live 0–10 grade from five principled factors, each with a fixed directional sign: Volume (how much traded at the level), Absorption (how much aggression was soaked up there — the differentiator), Touches (how many times price tested it across the window), Rejection Wicks (how violently it was defended), and Recency (recent tests outrank stale ones). All five weights are adjustable. Zones are filtered by a minimum score and capped to the strongest N, so the chart only carries levels that earned their place — never overload.
🏷️ In-Zone Strength Labels & Stats — each zone carries its grade inside the band: stars, the X.X/10 score, a tier word (FORMING → WEAK → MODERATE → STRONG → ELITE) and a SUPPORT / RESIST side marker — plus the detailed stats that built it: Volume, Absorption, Touch count and Rejection count (V / A / T / R). Quality and reasoning read instantly, right on the level.
🎨 Strength-Shaded Fill — stronger zones render more opaque while weak ones stay faint, so the chart shows which levels carry weight before you read a number. Support zones shade with the bullish tone, resistance with the bearish tone, and the brightest band is your highest-conviction wall.
🧮 Flow Pressure Verdict — a composite read that fuses profile imbalance, cumulative-delta bias, absorption side and the most recent significant print into a single directional score, resolved to ACCUMULATION, DISTRIBUTION or BALANCED. One line tells you whether the order flow is quietly loading up or unloading beneath the price action.
🔭 MTF Flow Bias — a non-repainting flow read on three higher timeframes (default 15 / 60 / 240), each tagged BULL / BEAR / FLAT, so you can align your level with the larger order-flow tide before you act.
🖥️ Command Dashboard — a clean, terminal-style panel grouping everything that matters: Order Flow (last print, bar delta, bar volume, CVD bias), Liquidity Profile (POC / VAH / VAL, buy/sell share, net imbalance, price vs POC), Key Zones (top zone price, top-zone strength, absorption peak and side), MTF Flow and the Flow Pressure verdict — quality and context at a glance, no separate windows.
🎨 Five High-Contrast Themes — Plasma (aqua / rose / gold, default), Cyber, Ice & Fire, Phosphor and Mono — all tuned to read cleanly on a black background, with an optional flow-tint on the candles themselves.
🧹 Score Filter & Toggles — hide every zone below a score threshold, cap the number of zones, switch the profile, delta column, absorption column, value area, zones, dashboard and candle tint on or off — so the chart only shows the layers you trade.
🔒 Honest & Non-Repainting Core — historical bars are fixed: the profile, zones and scores are built from completed-bar history, and the higher-timeframe flow read uses a strict non-repainting request (prior confirmed bar only). The live bar and the rolling profile naturally refresh as each new bar closes — exactly as order flow should — but nothing redraws the past, and the score never hides a level to flatter the picture. The strength grade is a descriptive order-flow framework for ranking attention, not a backtested signal.
🔔 Native Alerts — a Whale Print alert for the largest order-flow clusters, a Medium-or-greater Print alert, an Any-Print alert, plus directional Buy-Print and Sell-Print alerts — so you catch significant flow the moment it hits the tape.
🔧 Fully Customizable — detection method and side-classification, percentile sensitivity and consensus windows, LTF granularity and seconds toggle, profile lookback / resolution / width / offset, strong-volume filter, value-area percent, the five zone-score weights, minimum strength, max zones, touch normalization, label content / size, MTF timeframes, theme, transparency and dashboard position / size — all adjustable.
🎯 Why this is different — most profile and S/R tools show you where volume is, then leave you guessing which shelf actually matters. OrderFlow Absorption Matrix answers it: it measures the absorption hidden in the wicks, ranks each level 0–10 on real order-flow evidence, and puts the score, the side and the supporting stats right inside the zone. You read where the wall is, why it's strong, and which way the flow is leaning — at a glance.
🚀 Apply to Gold (XAUUSD), Silver, Forex, Crypto, Indices and Futures on any intraday timeframe (volume-bearing symbols).
🎯 How To Trade It — Two Approaches
Everything hinges on one question the tool answers: is this level absorbing aggression (it holds) or is flow breaking through it (it gives)? High-strength zones with heavy absorption favor reaction; weak or de-rated zones being hit with strong same-side delta favor continuation.
◾ 1) Fade into an absorbed zone → rotate to value (reaction) — use on STRONG / ELITE zones (≥7) with heavy absorption
This is the indicator's core thesis. When price drives into a high-strength zone whose grade is built on Absorption and Rejection — most reliable when the Absorption Side confirms the direction (heavy absorption below = defended support, above = defended resistance) and Flow Pressure isn't screaming with the move.
▪️ Wait for price to tag the rated zone and print rejection — a wick or reversal back inside the band, ideally with the Delta column showing the aggressor being absorbed rather than breaking through.
▪️ Entry: on the rejection back inside the zone, facing the Value Area.
▪️ Stop: just beyond the zone / the next stronger level out. If price closes decisively through and holds, the absorption thesis failed — stand aside or flip to Approach 2.
▪️ Targets: step toward fair value — the POC as the primary magnet, then the opposite Value-Area edge (VAH/VAL) if momentum carries.
⚖️ The cleanest version: price spikes into an ELITE resistance zone with a tall absorption bar, the Delta column shows buyers getting soaked up, price fails to hold and rotates back down through VAH into the POC. That absorption-to-value reversion is the move this tool is built to frame. Use the Whale-Print and directional Buy/Sell-Print alerts to catch the stretch as it prints.
◾ 2) Break & retest a failing zone → trade with the flow (continuation) — use when zones are weak / de-rated or flow is one-sided
When a level is graded low, when the Delta column shows persistent same-side pressure into it, and the Flow Pressure verdict and MTF Flow all lean the same way, a clean break is the order flow expanding, not exhausting.
▪️ Wait for a decisive close beyond the zone on strong same-side delta (not a single wick), with the band failing to absorb.
▪️ Entry: in the direction of the break, on the close beyond the level or on a retest of the broken zone (a broken resistance often flips to support, and vice-versa).
▪️ Stop: back inside the broken zone, against the move.
▪️ Targets: the next ranked zone, the opposite Value-Area edge, or a measured move — trailing as flow extends.
Rule of thumb: ⭐ STRONG / ELITE absorbed zone + confirming Absorption Side → expect a reaction, fade it back toward the POC. ⭐ Weak / de-rated zone + one-sided delta and aligned MTF flow → expect follow-through, trade the break and retest.
⚠️ IMPORTANT NOTICE: OrderFlow Absorption Matrix reconstructs estimated order flow from lower-timeframe data and ranks where price is most likely to react. Lower-timeframe delta and absorption are an approximation of true tape, not exchange order-book data, and the 0–10 score is a descriptive order-flow framework — NOT a backtested signal and NOT a standalone trade trigger. Always combine it with your own strategy, price-action analysis and risk management to confirm setups. The indicator requires a volume-bearing symbol. Past behavior does not guarantee future results. Indicator
Hidden Liquidity Profile [Alpha Extract]A sophisticated liquidity-mapping and support/resistance profiling framework that analyzes historical candle structure, volume, wick behaviour, and price distribution to identify hidden supply and demand zones across the chart. Hidden Liquidity Profile is designed to reveal where meaningful liquidity may be concentrated by separating sell-side and buy-side pressure into price bins, then projecting those zones forward as heat boxes, horizon lines, key price tags, and a real-time support/resistance dashboard.
Rather than relying on simple pivot highs and lows, the system evaluates how volume interacted with candle ranges, upper wicks, lower wicks, candle bodies, and recency weighting. This creates a dynamic liquidity profile that highlights where price may encounter resistance, support, absorption, or reaction zones.
🔶 Hidden Liquidity Profiling Engine
Builds separate supply and demand profiles across the selected lookback range. The system divides price into configurable bins, then distributes liquidity strength into those bins based on volume, candle range, wick size, body size, and age decay.
energy = vol * rng * decay
sellStrength = energy * (upWick * wickWeight + body * bodyWeight * sellBias)
buyStrength = energy * (dnWick * wickWeight + body * bodyWeight * buyBias)
This allows the indicator to estimate where sell liquidity and buy liquidity are most likely concentrated rather than only marking obvious visible highs and lows.
🔶 Supply & Demand Separation
The profile separates upper-wick and lower-wick pressure into two distinct liquidity maps.
Upper wick activity contributes to the supply profile, helping identify areas where sellers may have previously absorbed price movement. Lower wick activity contributes to the demand profile, helping identify zones where buyers may have previously defended price.
This separation gives traders a clearer view of whether nearby levels are more likely to behave as resistance, support, or balanced liquidity.
🔶 Age-Weighted Liquidity Decay
Applies a recency decay model so newer candles have stronger influence than older candles. This keeps the profile focused on liquidity that is more relevant to the current market environment while still preserving broader historical context.
The Age Decay Power setting controls how aggressively older liquidity fades. Higher values emphasize recent price action more strongly, while lower values retain more historical structure.
🔶 Price Bin Distribution System
Divides the analyzed price range into configurable price bins and assigns liquidity strength into each level. The Price Bins setting controls the resolution of the profile.
More bins create a finer, more detailed liquidity map. Fewer bins create a smoother, broader view of major supply and demand areas.
🔶 Distribution Radius Smoothing
Uses a configurable distribution radius to spread liquidity strength around nearby bins. This prevents the profile from becoming too fragmented and helps form smoother liquidity clusters.
This is especially useful on volatile assets where important liquidity zones often form across small ranges rather than at one exact tick.
🔶 Liquidity Heat Box Visualization
Displays supply and demand as horizontal heat boxes projected to the right side of the chart.
Supply liquidity is shown on the sell side using the selected sell color, while demand liquidity is shown on the buy side using the selected buy color. Wider and brighter boxes represent stronger normalized liquidity at that price level.
This creates a visual depth-style map that helps traders quickly identify where meaningful liquidity may be stacked above and below current price.
🔶 Forward Horizon Lines
Projects stronger liquidity levels forward using horizontal lines. These lines act as future reference zones where price may react, pause, reject, or accelerate through.
The Line Trigger setting controls how strong a liquidity level must be before it is projected. The Line Width Scale setting adjusts how visually dominant stronger levels appear.
🔶 Key Level Detection Framework
Identifies the strongest supply and demand levels from the profile and labels them directly on the chart.
The system can prioritize local peaks, helping avoid overcrowding and ensuring that selected levels represent distinct liquidity clusters rather than multiple nearby bins from the same zone.
This scoring model favors levels with strong dominant liquidity while still accounting for total combined activity.
🔶 Supply HVN & Demand HVN Labels
Marks high-volume liquidity nodes as Supply HVN or Demand HVN depending on which side of the profile dominates at that price.
Each label includes the level type, normalized strength percentage, and exact price. This allows traders to quickly identify the most important liquidity levels without manually reading the full heat map.
🔶 Nearest Support & Resistance Logic
Calculates the most relevant resistance above price and support below price using both liquidity strength and distance from current price.
Levels closer to current price receive more practical importance, while still needing enough liquidity strength to qualify. This helps the dashboard focus on actionable nearby zones instead of simply displaying the strongest level anywhere in the lookback range.
🔶 Aura Point Of Control
Identifies the strongest combined liquidity level across the profile. This Aura POC represents the price zone with the highest combined supply and demand activity.
The POC can act as a major reference point for balance, rotation, acceptance, rejection, or future retests.
🔶 Liquidity Pressure Balance
Compares total normalized demand against total normalized supply to estimate the broader pressure bias across the analyzed range.
When demand is meaningfully stronger, the dashboard shows a demand bias. When supply dominates, it shows a supply bias. When the two sides are close, the market is classified as balanced.
🔶 Real-Time S/R Dashboard
Includes a compact dashboard showing the most important liquidity information directly on the chart:
• Nearest resistance level
• Nearest support level
• Aura POC
• Supply, demand, or balanced pressure
• Active liquidity level count
• Current ticker reference
This gives traders a quick summary of where the strongest nearby reaction zones are and whether the broader liquidity profile is tilted toward supply or demand.
🔶 Customizable Visual Controls
Provides flexible display controls for heat boxes, horizon lines, key level tags, dotted key level lines, and the dashboard.
Traders can adjust the number of analyzed bars, price bin resolution, liquidity smoothing, projection distance, box width, line width, and trigger thresholds to match different assets and timeframes.
🔶 Clean Overlay Design
The full liquidity map is displayed directly on price without requiring a separate oscillator pane. Heat boxes appear to the right of the chart, while key levels and labels extend across the active lookback area.
This keeps the chart readable while still providing a detailed view of hidden supply and demand structure.
🔶 Why Choose Hidden Liquidity Profile ?
Hidden Liquidity Profile provides a more advanced way to identify potential support, resistance, and liquidity reaction zones by analyzing volume-weighted candle structure across the full price range. Instead of marking only visible swing highs and lows, it evaluates where supply and demand pressure may be concentrated based on wick behaviour, candle body participation, volume energy, and recency-weighted price distribution.
The heat boxes reveal liquidity density, the horizon lines project important levels forward, the HVN labels highlight the strongest zones, and the dashboard summarizes nearest support, resistance, POC, and pressure bias in real time.
Perfect for liquidity traders, support/resistance traders, intraday traders, swing traders, and market structure analysts who want a cleaner way to visualize hidden supply and demand zones directly on the chart. Indicator
Multi Timeframe Order-Flow CockpitMulti-Timeframe Order-Flow Cockpit
A single overlay that turns raw volume into a multi-timeframe order-flow read. It draws a compact row of higher-timeframe (HTF) candles beside price — each split into buy vs sell volume — and condenses several timeframes' order flow into one plain-language verdict. Unusually, it ships with a built-in calibration layer that forward-tests its own verdict and tells you, in plain words, whether that verdict actually beats a base rate — instead of asserting an edge it cannot show.
WHAT IT DOES
For each timeframe you enable, the script reconstructs the buy/sell volume that built every bar, scores how one-sided that flow is, reads market structure, and fuses everything into a single bias with a stated conviction. It then projects key price levels and marks where current price sits inside each timeframe's range — so you can see, at one glance, what order flow is doing across the whole timeframe stack.
WHY THESE COMPONENTS ARE COMBINED
This is not a pile of unrelated overlays. It is a pipeline where each stage feeds the next, and a final stage audits the whole:
Higher-timeframe candles are the canvas — see several timeframes' auctions at once without flipping charts.
Intrabar delta classifies sub-bar volume into buy vs sell (close-vs-open, or range-weighted). Where your plan and symbol allow, the chart-timeframe strip uses native footprint (real aggressor bid/ask volume), tagged REAL; otherwise it reconstructs the delta and is tagged EST — so data fidelity is never hidden.
Order-flow toxicity (VPIN-family) measures how aggressive/one-sided each timeframe's flow is. It is a conviction input, not a direction.
Market structure (swing breaks, BOS/CHoCH) supplies directional context that can override delta when price structure genuinely shifts.
Probabilistic synthesis fuses the above in log-odds space, averaging correlated inputs so that redundant agreement cannot inflate confidence, plus an optional exogenous volatility-index vote (rising volatility pressures the asset).
Forward calibration resolves every committed verdict N bars later against an ATR-sized move and reports Hit% versus an unconditional Base%, gated by a Wilson score interval so a result is only flagged (star) when it is statistically distinguishable from chance — split by trending versus ranging regime.
The components belong together because the deliverable is the synthesis and its honest scoring, which no single overlay can provide: toxicity needs the delta, structure contextualizes the delta, the verdict needs all of them, and the calibration is meaningless without a verdict to test.
HOW TO USE IT
Read the Compact table (default). Bias = which way flow leans; Conviction = how strongly; Flow = calm vs one-sided; Setup = exhaustion flags; Edge = whether the verdict has measured, significant edge; Use = the bottom line — "Context only" until edge is proven, "Tradeable — still verify" only when the calibration confirms it.
Switch the table to Pro for per-timeframe metrics (delta %, toxicity, structure, calibrated bias) plus the combined verdict and calibration rows. Turn on the Key Info table while learning — it is a plain-language legend.
On-chart aids: each panel tags its true High/Low and shows a position triangle at its edge — green when price is above that timeframe's range, red when below, yellow when inside, with brightness scaling to how far price has stretched. Key levels (POC, value-area high/low, recent swing high/low) are projected at true price as reference zones.
Any market: set your symbol, price source and intrabar resolution in Data Source, and your market's volatility index in Volatility Vote. Defaults are set for NSE NIFTY — change them for other assets.
Alerts are attention cues (verdict shift, toxicity spike, divergence, structure shift) — they tell you where to look, never what to do. Create one alert with the condition "Any alert() function call."
WHAT IS ORIGINAL HERE
Most order-flow and "smart-money" tools assert an edge by drawing confident signals. This one is built around the opposite discipline: a transparent calibration layer that measures and reports its own edge against a base rate, refuses to certify a signal that has not earned statistical significance, and reports it separately by market regime. The multi-timeframe order-flow synthesis with decorrelated log-odds fusion, and the REAL/EST fidelity tagging of delta, are also original to this implementation. The honesty layer is the headline feature — it is designed to tell you when there is no proven edge.
CONCEPT CREDITS (methods, not code)
Bulk Volume Classification / VPIN — Easley, Lopez de Prado and O'Hara. Market/Volume Profile (value area, POC) — J. Peter Steidlmayer. Wilson score interval — E. B. Wilson (1927). Efficiency-ratio regime — Perry Kaufman. Market-structure concepts — classical price action. All original code, architecture, fusion and calibration by the author.
DISCLAIMER
This is an awareness/context tool — not a signal generator and not financial advice. No indicator predicts the future. Past behavior and any displayed statistics do not guarantee future results; the calibration is explicitly designed to report when the tool has no measurable edge — heed it. Trade your own plan and manage your risk. Indicator
Indicator
Volatility, Flow & Liquidity EngineVolatility, Flow & Liquidity Engine (VFL)
Why these parts are ONE tool, not a mashup of separate indicators
The three layers aren't independent studies stacked for show — they are sequential stages of a single trade decision (is a move coming, which way, and can I execute it) and they share one computational core. The same path-dependent volatility forecast is computed once and used by all three: it anchors Layer 1's expected move and implied-vs-realized dislocation, and it de-biases Layer 3's high-low spread estimators and prices its slippage and sizing. A signal is only actionable when Layer 1 says "loaded," Layer 2's order flow confirms the side, and Layer 3 says the spread and impact let you execute at size. Remove any layer and the decision is incomplete — timing without direction is a coin flip; direction without an execution read ignores slippage that can exceed the edge. That dependency, and the shared vol core, is why this lives in one script rather than three.
The three layers
Pressure & regime — when a move is coming. Compression, implied-vs-expected-vol dislocation, basis tension, convexity and trend inefficiency combine into a "pressure" reading. A high-percentile load plus a real range release fires a signal, typed GAMMA BLAST / SQUEEZE / EXPANSION, alongside a variance-ratio regime read and a path-dependent realized-vol forecast with a rolling fit/trust gauge.
Order flow — which way. Reconstructed intrabar buy/sell pressure (bulk-volume by default, with candle-geometry and intrabar tick-rule options) standardized to a z-score plus session CVD. Used only to confirm or veto a release's direction — the one orthogonal read price geometry alone can't give.
Liquidity & execution — can I trade it, and at what cost. Low-frequency effective-spread estimators (EDGE primary, with high-low covariance and high-low range cross-checks), an illiquidity ratio and impact-slope, and a volume-at-price liquidity map (POC, value area, walls, voids, anchored VWAP with σ bands, nearest dense liquidity). These become a liquidity score, slippage estimate, and order-type and size guidance. A structure sub-layer (prior-day value area + untested "naked" POCs) builds a per-bar support/resistance ladder that location-gates the final signal: a long is withheld if it would fire into a resistance shelf, a short if into support.
How to use it
Wait for the consolidated decision table to line up — pressure loaded, order flow confirming the side, liquidity executable, and the trade well-located against the S/R ladder. Read the size and order-type guidance before entering, and treat STRESSED liquidity or Extreme vol as stand-aside flags. The on-chart glow lines map the structure (prior-day value, naked-POC magnets, liquidity support/resistance, nearest shelves, fair-value VWAP); the legend-key panel decodes every line and marker.
Universal — works on any asset, any market
Price source, volume source (with a borrow-volume option for cash indices/FX), companion symbol and volatility index are all configurable inputs. Defaults are tuned for NSE NIFTY index futures (intraday, weekly Tuesday expiry, 09:15–15:30) — change the companion/vol-index symbols, expiry day and session for other instruments. The volatility index and companion symbol are optional; without them the engine runs price-only and re-weights automatically.
Non-repaint
Higher-timeframe confluence reads the last closed HTF bar by default, and every higher-timeframe request uses no-lookahead — confirmed signals don't move after the bar closes. The current bar forms live and settles on close, like any indicator.
Honesty / limitations
Every block is a low-frequency estimator of a quantity normally measured from quote/tick/book data — it approximates, it does not measure. Order flow is reconstructed (≈tick-rule accuracy), not true bid/ask; dealer-flow effects are inferred from price/vol/basis, not read from an option chain. Volume modules need a real volume feed and auto-disable without one. Follow-through statistics are computed on loaded chart history (in-sample), not a forward backtest.
This is a study/education tool, not financial advice. Estimates only; past behaviour does not guarantee future results. 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
Leverage Pressure Map [BOSWaves]Leverage Pressure Map - Volume-Weighted Liquidation Level Projection with Thermal Heatmap Visualization
Overview
Leverage Pressure Map is a leveraged position liquidation estimation system that projects where open leveraged positions would be force-liquidated based on current price and volume activity, where heatmap intensity, level density, and distribution sidebar are driven by accumulated volume-weighted contract estimates at each price band rather than arbitrary fixed grid overlays or static percentage calculations.
Instead of displaying a generic liquidation grid at fixed intervals, the system builds its heatmap organically from price action, projecting liquidation zones from each bar's close in the direction that would liquidate the positions opened on that bar, weighting each level by the bar's volume and by the leverage multiple configured, and accumulating contract estimates over time to reveal where the greatest concentration of leveraged exposure has built up relative to current price.
This creates a continuously evolving pressure map where bands closest to price reflect the most recently opened leveraged positions, higher-leverage bands cluster tighter to price than lower-leverage equivalents, thermal coloring from the base color through yellow to white reveals the most dangerous liquidation clusters at a glance, and a sidebar distribution profile summarizes the full pressure landscape across the visible price range in a compact bar chart.
Price is therefore evaluated not just directionally but against a constantly updating picture of where forced selling and forced buying from leveraged liquidations is likely to cascade if price reaches those levels.
Conceptual Framework
Leverage Pressure Map is founded on the principle that leveraged market participation leaves a predictable spatial footprint in price space, and that estimating the distribution of that footprint from volume and price data provides actionable information about where cascading liquidation events are most likely to concentrate.
In leveraged markets, positions opened at any given price carry a liquidation distance determined by their leverage multiple. A 100x long position opened at the close of a bullish bar will liquidate approximately one percent below that close. A 10x position will liquidate approximately ten percent below. By projecting these distances from the close of each bar, weighting by volume as a proxy for participation size, and accumulating those estimates across all recent bars, the map builds a statistical picture of where the most leveraged exposure is concentrated without requiring access to exchange order book data.
Three core principles guide the design:
Liquidation levels should be projected from the close of each directional bar at the mathematically correct distance for each configured leverage multiple, weighted by volume to reflect the relative size of participation at each price point.
Thermal coloring should normalize all levels against the global maximum contract estimate, producing a relative intensity map that immediately identifies the highest-pressure clusters regardless of absolute contract values.
A sidebar distribution profile should aggregate the full heatmap into a compact price-by-pressure bar chart, providing a summary view of the total liquidation landscape without requiring the full heatmap to be analyzed row by row.
This shifts market analysis from directional price reading into leveraged exposure mapping where the spatial distribution of forced liquidation risk is continuously estimated and visualized alongside price action.
Theoretical Foundation
The indicator combines per-bar liquidation price calculation for configurable leverage multiples, volume-weighted contract accumulation at snapped price bands, global maximum normalization for thermal color mapping, sweep detection for removing levels that price has already passed through, and a sidebar bin aggregation system that compresses all active levels into a configurable number of price rows for distribution visualization.
Liquidation prices for long positions are calculated as close multiplied by one minus one divided by leverage, projecting below the close at a distance inversely proportional to the leverage multiple. Short liquidation prices are calculated as close multiplied by one plus one divided by leverage, projecting above the close. Each projected price is snapped to the nearest band boundary defined by the tick-scaled level height, ensuring levels accumulate at consistent grid positions rather than scattering across continuous price space. Leverage weights are assigned proportionally, with higher leverage multiples receiving greater weight reflecting their more aggressive risk profile.
Four internal systems operate in tandem:
Liquidation Projection Engine : On each bar with volume, calculates liquidation prices for all configured leverage multiples in both directions, snaps each price to the nearest level band, and either adds contract weight to an existing band or creates a new band at that position.
Sweep and Extension System : On each bar, extends all active level bands rightward to the current bar and removes any long liquidation bands that price has fallen through or short liquidation bands that price has risen through, keeping the heatmap current with price movement.
Thermal Color Engine : Normalizes each level's accumulated contracts against the global maximum and maps the result through a four-stage thermal gradient that progresses from a transparent base color at low concentration through the full base color to yellow and finally to near-white at peak concentration.
Sidebar Distribution System : On the last bar, aggregates all active long and short liquidation levels into configurable price bins spanning the recent high-low range extended to cover all active levels, draws proportional horizontal bars for each bin based on its relative contract sum, and plots a peak level line at the highest-concentration bin.
This design allows the heatmap to build organically from price action while the sidebar provides a continuous summary view of the full liquidation pressure distribution.
How It Works
Leverage Pressure Map evaluates price through a sequence of projection and accumulation processes:
Level Band Sizing : The minimum tick multiplied by the configured level scale produces the height of each liquidation band, controlling the granularity of the pressure grid relative to the instrument's tick size.
Leverage Table Construction : On the first bar, enabled leverage multiples are loaded into arrays with their corresponding weights calculated as the leverage value divided by 25, giving higher leverage multiples proportionally greater contract weight.
Long Liquidation Projection : On each bullish bar with volume, the liquidation price for each enabled leverage multiple is calculated as close multiplied by one minus one divided by leverage. Each price is snapped to its level band and the bar's volume multiplied by the leverage weight is added to the band's contract accumulation.
Short Liquidation Projection : On each bearish bar with volume, the liquidation price for each enabled leverage multiple is calculated as close multiplied by one plus one divided by leverage. Each price is snapped and weighted identically to the long projection process.
Band Deduplication : When projecting to a band that already exists in the active level array, contracts are added to the existing band rather than creating a duplicate, building cumulative pressure at each price level over time.
Sweep Removal : Long liquidation levels with their bottom boundary at or below the current bar's low are deleted and removed from the array. Short liquidation levels with their top boundary at or above the current bar's high are deleted, reflecting that those positions have already been liquidated.
Global Maximum Normalization : The maximum contract accumulation across all active long and short levels is calculated and used to normalize every level's contracts to a 0-1 range for thermal color assignment.
Thermal Color Assignment : Normalized values above 0.85 receive near-white coloring. Values between 0.65 and 0.85 gradient from yellow to white. Values between 0.35 and 0.65 gradient from the base color to yellow. Values below 0.35 graduate from a highly transparent base color to the full base color, producing a four-stage thermal effect that intensifies with concentration.
Sidebar Construction : On the last bar, the price range spanning the 200-bar high-low extended to cover all active level extremes is divided into the configured number of rows. Each active level's midpoint determines its bin assignment and its contracts are added to that bin's sum. Bins are drawn as horizontal bars proportional to their relative sum, colored by whether they sit below or above current price.
Peak Level Rendering : The sidebar bin with the maximum contract sum has a horizontal line drawn across the full visible range and a price label placed to the right, marking the single level of highest total liquidation pressure across all active levels.
Together, these elements form a continuously updating liquidation pressure landscape where the heatmap exposes per-level concentration and the sidebar summarizes the full distribution in a single compact view.
Interpretation
Leverage Pressure Map should be interpreted as a probabilistic liquidation pressure distribution tool rather than a precise order book representation:
Heatmap Bands (Long, Teal) : Horizontal bands below price representing estimated long position liquidation levels. These levels would trigger forced selling if price declines to them, potentially amplifying downside momentum.
Heatmap Bands (Short, Red) : Horizontal bands above price representing estimated short position liquidation levels. These levels would trigger forced buying if price rises to them, potentially amplifying upside momentum.
Thermal Intensity : Band color intensity reflects the relative concentration of estimated contracts at each level. Near-white bands represent the highest-pressure clusters. Yellow bands represent elevated but secondary concentrations. Dimmer base-colored bands represent lower-pressure background levels.
Band Density Near Price : Higher leverage multiples project their liquidation distances closer to price, producing denser band clustering near current price. Wider spacing further from price reflects the lower leverage multiples that require larger adverse moves to trigger liquidation.
Sidebar Distribution : The horizontal bar chart to the right of price summarizes total liquidation pressure at each price level across both long and short levels, providing an immediate overview of where the greatest cumulative exposure sits without analyzing individual heatmap bands.
Peak Level Line : The horizontal white line drawn across the chart at the sidebar's maximum-pressure bin marks the single most concentrated liquidation level across the entire active heatmap, representing the price at which the greatest estimated volume of leveraged positions would be forced to close.
Swept Levels : When price passes through a band, the band is removed from the display, reflecting that those positions have already been liquidated and no longer represent pending pressure.
Heatmap thermal intensity, peak level proximity to current price, and sidebar distribution shape collectively provide more information about leveraged market risk than any element in isolation.
Signal Logic & Visual Cues
Leverage Pressure Map does not generate discrete buy or sell signals. Instead it provides a continuous spatial representation of estimated liquidation pressure with two primary reference outputs:
Peak Level Line : The highest-concentration liquidation level across the full active heatmap, updated on every bar, marking where a price move is most likely to encounter cascading forced position closures.
Thermal Intensity Clusters : Near-white or yellow bands identify areas of elevated liquidation pressure that price is approaching, providing anticipatory context for potential momentum amplification or absorption events as price enters high-concentration zones.
The sidebar distribution provides a continuous summary reference for assessing whether liquidation pressure is concentrated near price or distributed across a wide range, informing both directional bias and risk management decisions.
Strategy Integration
Leverage Pressure Map fits within liquidity-aware and leveraged market structure approaches:
Liquidation Cascade Target Identification : Use high-intensity heatmap clusters as anticipatory targets for directional moves, particularly in leveraged crypto or futures markets where cascade events frequently drive price to liquidation cluster levels before reversing.
Peak Level Reference : Monitor the peak level line as a dynamic reference for the single highest-concentration liquidation zone. Directional moves approaching this level may accelerate as they trigger forced closures and then reverse sharply once the liquidation cascade exhausts.
Pressure Asymmetry Analysis : Compare the density and intensity of long liquidation bands below price against short liquidation bands above price using the sidebar distribution. Greater pressure on one side suggests a directional bias toward the path that would trigger the larger cascade.
Momentum Amplification Context : Use thermal cluster proximity as a context layer for evaluating whether a developing directional move is approaching a zone that would amplify momentum through forced closures or whether the path ahead is relatively clear of concentrated liquidation pressure.
Leverage Multiple Configuration : Configure leverage multiples to reflect the typical leverage profile of the target market. Crypto perpetual markets with common 100x and 50x usage benefit from the default configuration while futures markets with lower typical leverage may be better represented by adjusting multiples toward 20x, 10x, and 5x.
Multi-Timeframe Pressure Context : Apply the indicator on a higher timeframe to establish the broader liquidation pressure landscape while using a lower timeframe for entry timing, ensuring directional decisions are informed by the macro liquidation distribution rather than only the immediate price vicinity.
Technical Implementation Details
Projection Engine : Per-leverage close-derived liquidation price calculation with mintick-scaled band snapping and volume-weighted contract accumulation
Data Structure : Custom type array management for long and short level arrays with deduplication on existing band addresses
Sweep System : Per-bar directional price breach testing with immediate band deletion and array removal for swept levels
Thermal Color : Four-stage normalized gradient from transparent base through full base color to yellow to near-white
Sidebar : Last-bar price-range bin aggregation with proportional width bars and peak bin identification
Peak Level : Highest sidebar bin horizontal line with price label updated on every last bar render
Performance Profile : Configurable maximum level count per side with oldest level removal enforcing object count management
Optimal Application Parameters
Timeframe Guidance:
1 - 5 min : Intraday liquidation pressure mapping for scalping in high-leverage crypto markets with responsive level accumulation and fine level scale for precise cluster identification
15 - 60 min : Session-level pressure distribution monitoring with balanced level count and moderate scale for intraday cascade target identification
4H - Daily : Swing-level liquidation landscape mapping with higher level scale for broader band visibility across larger price ranges
Suggested Baseline Configuration:
Max Levels Per Side : 100
Level Scale : 50
Leverage 1 : 100
Leverage 2 : 50
Leverage 3 : 25
Leverage 4 : 10
Show Distribution : Enabled
Show Peak Level : Enabled
Sidebar Width : 20
Sidebar Rows : 75
These suggested parameters should be used as a baseline; their effectiveness depends on the typical leverage profile of the target market, instrument tick size, and preferred heatmap granularity, so fine-tuning is expected for optimal performance.
Parameter Calibration Notes
Use the following adjustments to refine behavior without altering the core logic:
Bands too thin to see : Increase Level Scale to produce taller bands that are more visible at normal zoom levels, accepting reduced price resolution in exchange for improved visual clarity.
Bands too thick and overlapping : Decrease Level Scale toward 10 for finer band resolution, producing a more precise pressure grid at the cost of reduced visual prominence per band.
Too many levels cluttering the chart : Reduce Max Levels Per Side to limit the number of active bands per direction, with the oldest levels removed first as the cap is enforced.
Heatmap not reflecting market's leverage profile : Adjust the four leverage multiples to match the typical leverage tiers used by participants in the target market. Setting a leverage multiple to zero disables that tier entirely.
Sidebar too narrow to read : Increase Sidebar Width to extend the maximum bar length of the distribution profile, making the relative pressure differences between price levels more visually distinguishable.
Sidebar resolution too coarse : Increase Sidebar Rows for finer price-level resolution in the distribution profile, producing more granular pressure mapping across the visible range.
Adjustments should be incremental and evaluated across multiple session types rather than isolated market conditions.
Performance Characteristics
High Effectiveness:
High-leverage perpetual crypto markets where 25x to 100x positions are common and liquidation cascade events regularly drive price to cluster levels before reversing
Futures markets with identifiable leverage tier participation where volume-weighted projection produces meaningful pressure estimates relative to actual open interest distribution
Momentum trading approaches where liquidation cluster proximity provides anticipatory context for potential acceleration or reversal around high-pressure zones
Risk management frameworks that benefit from understanding where cascading forced closures are most likely to amplify directional moves beyond fundamental price drivers
Reduced Effectiveness:
Spot-only markets without leverage participation where liquidation mechanics are absent and the projection model loses its theoretical basis
Low-volume instruments where volume-weighted contract estimates become unreliable due to thin and erratic participation
Markets with very low typical leverage where default leverage multiples project liquidation distances beyond the normal trading range, producing bands that are rarely relevant to near-term price action
Instruments with extreme tick sizes relative to their price where mintick-scaled band heights produce either excessively coarse or excessively granular level grids that do not align with meaningful price structure
Integration Guidelines
Confluence : Combine with BOSWaves order flow tools, structural indicators, or momentum oscillators to validate whether price approaching a high-intensity liquidation cluster is doing so with the participation and conviction needed to trigger a cascade
Peak Level Respect : Monitor price behavior approaching the peak level line as the highest-probability cascade trigger zone. Price reaching this level may accelerate sharply through it as cascading liquidations fire, then reverse once the forced closure sequence exhausts.
Pressure Side Awareness : Assess whether greater pressure sits above or below current price using the sidebar. A heavier distribution of short liquidation pressure above price suggests upside moves may be self-amplifying, while heavier long liquidation pressure below suggests downside moves may cascade further than directional indicators alone would imply.
Level Sweep Interpretation : When price sweeps through a concentration of bands and they are removed, interpret the clearing as a liquidation event having occurred. The subsequent behavior of price after clearing a major cluster is often directionally informative about whether the move was primarily liquidation-driven or backed by genuine directional conviction.
Model Limitations : This indicator estimates liquidation pressure from volume and price data and does not access exchange-level open interest, funding rates, or actual leveraged position data. All readings represent probabilistic estimates rather than verified exposure measurements and should be treated as context rather than precise quantitative inputs.
Disclaimer
Leverage Pressure Map is a professional-grade liquidation pressure estimation and visualization tool. It uses volume-weighted leverage projection with thermal heatmap rendering but does not access real exchange open interest data or actual leveraged position information. All liquidation level estimates are approximations derived from OHLCV data and configured leverage multiples. Results depend on market leverage profile, instrument volume characteristics, parameter selection, and disciplined execution. BOSWaves recommends deploying this indicator within a broader analytical framework that incorporates order flow context, structural analysis, and comprehensive risk management. Indicator
VPIN Flow-Toxicity OscillatorVPIN Flow-Toxicity Oscillator
What it does
The VPIN Flow-Toxicity Oscillator is a single-pane order-flow toxicity gauge, scaled 0–100. It rises when estimated buy/sell volume becomes one-sided and "informed" — a condition that historically tends to precede volatility expansion and liquidity events, regardless of direction.
Why this is different (and original)
This is not a directional momentum or volume oscillator. It is an early-warning for volatility. Where most volume tools sum or net volume, VPIN measures the imbalance between estimated buy and sell volume and ranks how toxic (one-sided) flow currently is. The key property — documented in the microstructure literature — is that toxic flow tends to lead range expansion, so the oscillator can light up while price is still quiet. Delivering VPIN as a clean, self-calibrating 0–100 line with an honest volatility-expansion edge test (not a directional one) is what makes it original.
How it works
Bulk-Volume Classification splits each bar's volume into buy and sell using the normal CDF of the standardized price change (Φ of the price move divided by its rolling standard deviation).
Toxicity = rolling mean of |buy − sell| ÷ rolling mean of volume over the window (a 0–1 figure).
That figure is percentile-ranked over the percentile window into a 0–100 line, so the toxic and extreme thresholds self-calibrate to each instrument.
How to use it
Low (green) = calm, balanced flow. High (red) = toxic, one-sided flow — tighten risk and expect a range expansion, not a particular direction.
A cross above the Toxic threshold (triangle) is the warning event; the Extreme zone is a stronger version.
Read the EDGE row. Because VPIN signals volatility (not direction), the harness measures whether high toxicity actually preceded a range expansion — the high−low range over the horizon reaching ≥ k×ATR — versus the unconditional Base %. EDGE = Hit − Base. This is the honest test of the metric's stated claim.
Important honesty note
This is the bar-based bulk-volume approximation of VPIN. Charts do not provide exchange-classified aggressor (true buy/sell) data, so buy/sell split is estimated from price and volume. It is a faithful, widely-used approximation — but it is an approximation, and the indicator says so.
Settings guide
01 · VPIN Engine — return-sigma length, toxicity window, percentile window, universal price source.
02 · Calibration — horizon, expansion threshold (×ATR range), base-rate window.
03 · Bands — calm, toxic and extreme percentile thresholds.
04 · Display & Theme — visual style, regime tint, dashboard, colors.
Non-repaint
Classification uses closed bars only — no future leak.
Concept credit
Volume-synchronized Probability of Informed Trading (VPIN) and bulk-volume classification — Easley, López de Prado & O'Hara, Flow Toxicity and Liquidity in a High-Frequency World (2012).
Disclaimer
For research and education only. Not financial advice, not a recommendation, and not a guarantee of future results. VPIN signals toxicity and potential volatility, not direction. All statistics are in-sample and exclude costs. Do your own research and manage your own risk. 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
Smart Volume Profile VPVR POC, Value Area, SR [LunqFX]Smart Volume Profile VPVR is a modern, professional-grade volume profile indicator for PulseWire that turns raw traded volume into the cleanest possible map of where the market actually did business. It plots the Point of Control (POC), the full 70% Value Area (VAH / VAL), and every High and Low Volume Node (HVN / LVN) as glowing, easy-to-read horizontal support and resistance levels — on any symbol and any timeframe: forex, crypto, stocks, indices, futures, gold (XAUUSD), Bitcoin (BTCUSD), NASDAQ, S&P 500, oil and more. Unlike a plain histogram, this VPVR (Volume Profile Visible Range) tool layers a live order-flow dashboard on top that reads the market in real time and tells you whether price is accepting value, rejecting value, rotating back to fair value, or breaking out — the exact context that separates profitable volume-profile trading from guessing. Built entirely in Pine Script v6 with neon gradient candles and a fully readable, gradient-coloured profile, it is designed to be both beautiful and genuinely useful for day trading, scalping, swing trading and intraday analysis.
◆ WHY VOLUME PROFILE MATTERS
Most indicators are based on price and time. Volume profile is based on price and volume — it answers a completely different and more important question: at which prices did the most trading actually happen? Those prices are where institutions, liquidity and "fair value" concentrate. High-volume areas act as magnets and strong support/resistance; low-volume areas are vacuums that price rips through. By making this structure obvious, Smart Volume Profile helps you trade with the auction instead of against it.
◆ WHAT IT DRAWS ON THE CHART
POC — Point of Control (gold ray): the single most-traded price in the window. This is the market's fairest value and its strongest magnet. Price returns to the POC again and again; it is the most important pivot on the chart.
VAH / VAL — Value Area High & Low (dashed rays): the top and bottom of the zone that contains 70% of all traded volume (fully configurable, 40–95%). Inside this band the market is "comfortable"; outside it the market is in discovery / imbalance.
High Volume Nodes (HVN): thick, bright rows = heavy acceptance = strong support & resistance and reaction/reversal zones.
Low Volume Nodes (LVN): thin, dim rows = rejection / fast-move zones where price tends to travel quickly and gap.
Gradient histogram: every row is colour-graded by its volume, so the profile literally glows where volume is heaviest — you read the structure at a glance instead of squinting at bars.
All levels extend as live rays with clean, high-contrast labels showing the exact price.
◆ THE LIVE DASHBOARD PANEL (this is what makes it "Smart")
A plain volume profile just draws lines. This indicator adds a compact, modern analytics panel that computes context you cannot see on the chart and condenses it into one glance:
Signal — the headline call, colour-coded: ▲ LONG revert, ▼ SHORT revert, ▲ BREAKOUT, ▼ BREAKDOWN, or ● BALANCED. This is the playbook for the current moment (logic explained below).
→ POC — the live distance from current price to the Point of Control, in %. This is your mean-reversion target and a quick read of how stretched price is from fair value.
In VA — a clean segmented meter showing where price currently sits inside the value area (from VAL on the left to VAH on the right). Instantly tells you if you're at the top, middle, or bottom of value.
Acceptance — the split of volume traded above vs below the POC (e.g. 52% ▼ / ▲ 48%). Reveals which side the market is building value on — a directional bias the chart hides.
Pressure — a segmented meter of buy volume vs sell volume across the whole window. Shows whether buyers or sellers are in control of the auction.
Footer — the lookback size and the actual % of volume captured by the value area, so you always know the context behind the numbers.
The panel is fully themeable (position, background, accent) and stays readable on dark charts.
◆ HOW IT WORKS (under the hood)
Binning: the chosen lookback window is divided into price rows ("buckets"). Resolution is adjustable for coarse or razor-sharp profiles.
True volume distribution: instead of dumping each bar's volume at its close, the indicator can spread each bar's volume across every price it actually traded through (high→low), producing a far more accurate profile than close-only methods.
POC detection: the row with the maximum accumulated volume becomes the Point of Control — by construction always the longest bar in the histogram.
Value Area expansion: starting from the POC, the algorithm steps outward toward whichever neighbouring row holds more volume, accumulating until the target (default 70%) of total volume is enclosed. The final boundaries become VAH and VAL — the same methodology used in classic Market Profile.
Order-flow analytics: the script measures volume above vs below the POC (Acceptance) and buy-bar vs sell-bar volume (Pressure) across the window.
Smart Signal engine: it blends Acceptance and Pressure into a single order-flow reading and combines it with price location relative to the value area to classify the situation as a rotation or a breakout (see below).
◆ THE SMART SIGNAL LOGIC
A naive volume-profile tool always says "revert to POC", which gets you run over in trends. This one is smarter:
Price BELOW value + order flow NOT confirming the drop → ▲ LONG revert (rotation back to POC).
Price BELOW value + order flow confirming the drop → ▼ BREAKDOWN (continuation — don't catch the knife).
Price ABOVE value + order flow NOT confirming the push → ▼ SHORT revert (rotation back to POC).
Price ABOVE value + order flow confirming the push → ▲ BREAKOUT (continuation — trade with it).
Price INSIDE value → ● BALANCED (range conditions — fade the edges back toward POC).
This single distinction — rotation vs breakout — is the difference between fading a pullback and getting trapped against a trend.
◆ HOW TO USE IT
Mean-reversion / range trading: in BALANCED or revert states, fade moves at VAH/VAL back toward the POC. The → POC distance is your target; HVN rows are logical stop zones.
Breakout / trend trading: in BREAKOUT / BREAKDOWN states, trade in the direction of the move and target the next HVN. Avoid counter-trend fades when order flow confirms the break.
Support & resistance mapping: treat thick HVN rows as high-probability reaction zones and expect rapid, low-resistance moves through LVN gaps.
Bias & confluence: use Acceptance and Pressure for directional bias, and combine the POC/VAH/VAL levels with your own structure, liquidity, order blocks or session tools for higher-conviction entries.
Multi-timeframe: raise the Lookback for higher-timeframe value (swing context), lower it for intraday/scalping context. Increase Rows for more precise POC placement.
◆ SETTINGS
Volume Profile Engine: Lookback (bars), Rows (resolution), Value Area %, true-range volume distribution toggle.
Profile Look: width, gap from price, anchor side (right of price / classic overlay), Value-Area / outside / POC colours.
Levels: POC ray, VAH/VAL rays, optional Value-Area shading, ray extension, label size (Small → Huge).
Neon Candles: gradient candles (turquoise bullish / magenta bearish) with momentum-scaled glow halo.
Panel: show/hide, position, background and accent colour.
◆ ALERTS
Price crossed POC
Breakout above VAH
Breakdown below VAL
◆ NON-REPAINTING
The profile, levels and dashboard are single objects rendered on the last bar over a fixed rolling lookback — historical bars are never repainted. As with any live tool, the current bar is included in the calculation, so the real-time read updates tick by tick and settles on close; closed history never changes.
Smart Volume Profile VPVR is an educational analysis tool, not financial advice. Volume profile reflects historical traded volume and does not predict future prices. Always do your own research and manage risk. © LunqFX.
Indicator
Volume Flow Divergence OscillatorVolume Flow Divergence Oscillator (VFDO)
Volume Flow Divergence Oscillator
A bounded order-flow oscillator that measures whether buying or selling pressure dominates and how stretched it is, then detects price/flow divergences with statistical filtering. Three interchangeable flow engines share one axis so the same read can be cross-checked three independent ways.
Why these components are combined (and why this is not a generic mashup)
Order-flow pressure can be measured several ways, and each has blind spots. The problem this script solves is specific: raw Cumulative Volume Delta (CVD) trends without bound, so classic "swing-high vs swing-high" divergence on it is unreliable — the comparison ends up dominated by the accumulated drift instead of local buying/selling conviction. Stacking more momentum tools (a second RSI, a MACD) would only double-count the same information.
Instead, this tool (a) detrends and standardizes the flow into a bounded, mean-reverting oscillator so divergence becomes valid, and (b) offers three orthogonal lenses on one question — is buying or selling winning, and is it stretched?:
Normalized CVD — cumulative signed volume, detrended (minus its EMA) and divided by the residual's standard deviation. The reading is a z-score of how stretched flow is versus its own recent trend.
CVD-RSI — Wilder's RSI applied to the detrended CVD (not raw CVD, which would pin near 0/100 in a sustained trend). A 0–100 momentum-of-flow read.
MFI (Money Flow Index) — a volume-weighted RSI that does not depend on the signed-volume estimate, so it acts as a genuine independent cross-check.
These three are not redundant: they are different constructions of the same idea. A divergence that appears on all three is far more robust than one that appears on only one — and if they disagree, the "divergence" is construction-dependent noise. That cross-checking is the core purpose of putting them on a shared bounded axis.
Four context modules sit on top, each adding what the raw line cannot:
Filtered divergence — regular and hidden divergence between price pivots and the flow oscillator, gated by a minimum magnitude (marginal wiggles don't count), a maximum bar-distance between pivots (no stale comparisons), and an optional extreme-zone requirement (only count divergences forming from overbought/oversold, where they carry the most meaning). Lines are drawn on the oscillator curve; price marks print at the confirmation bar.
Gradient extreme zones — ±4σ (or 90/10) bands that shade lighter at the edge and darker as flow pushes further out, marking genuinely stretched conditions.
In-band reversal dots — a red/green dot when the oscillator makes a local turn inside an extreme band, flagging that stretched flow is unwinding.
Adaptive dashboard — a compact panel (oscillator value, zone, last divergence, last reversal, data source) that auto-themes to the chart background for legibility on any color scheme.
How signed volume is estimated (honesty)
True aggressor-tagged delta is unavailable on most PulseWire feeds, so signed volume here is estimated: per bar it is summed from lower-timeframe sub-bars (each sub-bar's volume signed by whether it closed up or down), falling back to an intrabar OHLC proxy when sub-bar data isn't available. The dashboard's Delta source row shows which is live ("LTF" vs "proxy"). This is the standard approach CVD tools use; it is an estimate, not exchange-tagged order flow.
How to use
Add to any symbol that reports volume. Read it like a bounded flow gauge: above the upper band = buying stretched; below the lower band = selling stretched; midline = balance.
Treat divergences as context, not standalone triggers. A bearish divergence at the upper extreme means buying conviction is fading as price makes a new high.
Cross-check with the Engine selector: confirm a divergence by switching between Normalized CVD, CVD-RSI and MFI. Agreement across all three is the strong case.
Reversal dots mark stretched-flow unwinding — combine with your own price structure and risk rules.
Settings overview
Data Source — lower-timeframe for the delta estimate; selectable High/Low sources for divergence, so the engine fits any instrument.
Flow Oscillator — engine selector, detrend/normalize window, OB/OS, smoothing, RSI/MFI lengths.
Extreme Zones & Reversals — ±4σ band level, band display, reversal dots.
Divergence — magnitude, pivot length, max bar-distance, extreme-zone gate, regular/hidden.
Dashboard & Theme — colors, position, and Auto/Dark/Light theme.
Defaults are tuned for NSE NIFTY futures on intraday timeframes (1-minute sub-bar delta). For other assets or timeframes, adjust the lower timeframe, normalize window, and band levels — every parameter is exposed.
Originality
This is not a re-skin of a single public indicator. The original contributions are: the detrend-then-standardize normalization that makes CVD divergence valid; three interchangeable flow engines on one shared bounded axis for cross-checking; and a divergence engine with magnitude + distance + extreme-zone gating drawn on the oscillator curve, with in-band reversal detection.
Concept credits
Relative Strength Index — J. Welles Wilder Jr.
Money Flow Index — Gene Quong & Avrum Soudack.
Cumulative Volume Delta and divergence analysis are standard public order-flow / technical-analysis concepts.
This script is an original implementation built around those public concepts and is not affiliated with, nor endorsed by, their originators.
Disclaimer
For research and educational purposes only. Not financial advice and no guarantee of profitability or accuracy. Signed volume is estimated, not exchange-tagged. Indicators describe past price behavior; they do not predict the future. Trading carries risk of loss. Test on out-of-sample data and make your own decisions. The author accepts no liability for any use of this script.
Indicator
HTF ORDER FLOW [erdensedat]The HTF ORDER FLOW is an advanced, all-in-one institutional trading indicator designed to bring High Timeframe (HTF) market structure, volume profile dynamics, and order flow context directly to your current chart. By combining deep volume analysis with the BLVL (BOS/CHoCH) break detection algorithm, this script offers a comprehensive view of institutional activity without cluttering your screen.
Key Features:
HTF Candle Projection: Projects the live Higher Timeframe candle (e.g., Daily, Weekly) seamlessly onto your current trading timeframe with customizable width and opacity.
Dynamic Volume Profile: Displays a customized Volume Profile mapped specifically to the HTF period. It highlights the Point of Control (POC), Value Area High (VAH), and Value Area Low (VAL) to instantly visualize where the majority of trading volume took place.
High Volume Nodes (HVN): Automatically highlights specific bins inside the profile that experience significantly higher volume, signaling potential hidden support or resistance areas.
Initial Balance (IB) & VWAP Tracking: Tracks and extends the Initial Balance High/Low and the Volume Weighted Average Price (VWAP) for the HTF session.
Previous Day/Week (PD/PW) Levels: Toggle critical historical liquidity levels such as Previous Day Open/High/Low and Previous Week Open/High/Low, drawing them exactly from their historical birth-points.
Premium & Discount Zones: Automatically calculates and displays Premium and Discount range boxes relative to the HTF candle, helping you visualize equilibrium and optimal entry zones.
Integrated BLVL System (BOS/CHoCH): A built-in Fractal break-of-structure engine that detects and labels potential and confirmed structural shifts (BOS / CHoCH). It displays live candidate lines and solidifies them once a structural break is confirmed by price action.
Custom Styling Engine: Choose from beautiful pre-built visual themes (Classic TV, Cyberpunk, Midnight, Forest, Luxury Gold) or enable total custom control over specific lines like VWAP, VAH/VAL, and IB levels.
The Quantum Signal HUD Panel:
Located at the top right of your chart, the built-in Heads Up Display (HUD) acts as your real-time order flow navigator. It tracks:
Price & VWAP: Current price relation to the HTF VWAP.
Market Bias: Displays a simple BULLISH/BEARISH bias based on the VWAP baseline.
Quantum Signal: Analyzes cumulative volume delta (CVD) relative to VWAP positioning to interpret market state as "INST. BUYING", "INST. SELLING", or "NEUTRAL/TRAP".
Session Progress: Shows the percentage of time elapsed in the current HTF candle.
HTF CVD: The live Cumulative Volume Delta of the ongoing HTF session.
How to Use:
Use the HTF Volume Profile and Premium/Discount boxes to identify where institutions are doing business. Wait for the integrated BLVL system to confirm a structural shift (CHoCH or BOS) inside these key liquidity zones. Check the Quantum Signal HUD to ensure institutional order flow (CVD) aligns with your bias before entering a trade.
Optimize your edge by trading with the HTF trend, volume, and structure. 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
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
Liquidity & Volume Profile Framework [invincible3]Liquidity & Volume Profile Framework
The Liquidity & Volume Profile Framework is a price-action and volume-profile framework designed to help traders identify high-probability trading zones using liquidity, value area structure, fair value gaps, and volume confirmation.
This indicator is built around the idea that strong trades usually happen when price reacts around important institutional zones such as POC, VAH, VAL, HVN/LVN areas, and liquidity pools created around equal highs and equal lows.
The tool does not simply give random buy or sell signals. Instead, it maps the market structure so the trader can wait for proper confluence before entering.
Core Concept
This indicator follows a structured institutional trading workflow:
Step 1 — Read the Market Structure
The indicator identifies key volume-profile levels:
POC — Point of Control
The price level with the highest volume concentration inside the selected lookback range.
VAH / VAL — Value Area High and Value Area Low
The upper and lower boundary of the value area, based on the selected value-area percentage.
HVN / LVN Zones
High-volume and low-volume areas are displayed as volume-profile bars.
HVN zones can act like magnets, while LVN zones often behave like thin liquidity zones where price can move quickly.
BSL / SSL Liquidity Pools
The indicator tracks swing highs and swing lows to identify potential buy-side liquidity and sell-side liquidity.
Step 2 — Wait for a Trigger
The indicator highlights possible institutional reaction triggers:
Liquidity Sweep
A bullish sweep occurs when price takes out a prior swing low and closes back above it.
A bearish sweep occurs when price takes out a prior swing high and closes back below it.
This helps identify possible stop-hunt behavior around liquidity pools.
Fair Value Gap — FVG
Bullish and bearish imbalance zones are detected automatically.
These areas can act as retracement zones where price may return before continuation.
VA / POC Touch
Reactions around VAH, VAL, or POC can provide important confluence when combined with sweep or FVG logic.
Step 3 — Confirm with Volume
The indicator includes a volume spike condition.
A volume spike is detected when current volume is greater than the selected moving-average volume multiplied by the chosen spike multiplier.
By default, the logic uses:
Volume > 1.5 × Average Volume
This helps highlight moments where institutional participation may be stronger than normal.
Step 4 — Entry Logic
The strongest setups usually appear when multiple conditions align in the same zone:
Liquidity sweep + FVG fill + VAH / VAL / POC reaction + volume spike
Example bullish setup:
Price sweeps sell-side liquidity below a prior swing low, closes back above the level, returns into a bullish FVG, reacts near VAL or POC, and shows increased volume.
Example bearish setup:
Price sweeps buy-side liquidity above a prior swing high, closes back below the level, returns into a bearish FVG, reacts near VAH or POC, and shows increased volume.
Step 5 — Risk Framework
The indicator is designed to support structured risk planning:
Stop Loss
Usually placed just beyond the swept liquidity level.
Target 1
Often the POC or opposite value-area boundary.
Target 2
The opposing liquidity pool or major high-volume / low-volume area.
Visual Legend
Orange line — POC
Dotted adaptive lines — VAH / VAL
Gold bars — High-volume areas / HVN
Purple bars — Low-volume areas / LVN
Green dashed sweep line — Sell-side liquidity sweep
Red dashed sweep line — Buy-side liquidity sweep
Green boxes — Bullish Fair Value Gaps
Red boxes — Bearish Fair Value Gaps
Gold circles — Volume spike confirmation
Main Features
Automatic fixed-lookback volume profile
POC, VAH, and VAL calculation
High-volume and low-volume profile bars
Bullish and bearish liquidity sweep detection
Buy-side and sell-side liquidity mapping
Automatic bullish and bearish FVG zones
FVG extension until fill or expiry
Volume spike confirmation using volume moving average
Theme-adaptive colors for dark and light charts
Institutional-style visual framework
Clean overlay design for price-action trading
Best Timeframes
This tool works best when used with a top-down approach.
For structure:
4H / Daily
For entries:
15m / 1H
Recommended workflow:
Use higher timeframe to identify POC, VAH, VAL, HVN, LVN, and major liquidity pools.
Then use lower timeframe to wait for liquidity sweep, FVG reaction, rejection candle, and volume confirmation.
Suggested Settings
For intraday trading:
VP Lookback: 100–200
VP Rows: 40–60
Value Area: 70%
Pivot Length: 5–10
Volume MA: 20
Volume Spike Multiplier: 1.5
For swing trading:
VP Lookback: 200–300
VP Rows: 50–80
Value Area: 70%
Pivot Length: 10–20
Volume MA: 20–50
Volume Spike Multiplier: 1.5–2.0
Important Notes
This indicator is not a standalone buy/sell signal system.
It is a confluence framework.
The highest-quality trades usually occur when liquidity, volume profile, imbalance, candle rejection, and volume confirmation all align in the same area.
Always wait for candle-close confirmation before entering.
Use proper stop loss and risk management. Indicator
Order Flow Imbalance Regime Engine# Order Flow Imbalance Regime Engine
## OVERVIEW
The Order Flow Imbalance Regime Engine reconstructs a proxy for **order-flow imbalance** (net aggressive buying vs selling) directly from price and volume, scales it into an **expected price move**, and turns it into a connected set of read-outs: directional pressure, price impact, multi-horizon conviction, self-excitation (cascade) intensity, a three-lens liquidity-stress score, optional cross-asset confirmation, and a probability distribution over five market regimes. It runs on **any symbol and any market** — equities, futures, forex, crypto, indices — including instruments without reliable volume.
A charting platform exposes no Level-2 order book, so true exchange-grade OFI is not computable. This engine is an honest **approximation** that rebuilds buy/sell pressure from intrabar tick direction, probabilistic bulk classification, or candle geometry — not from limit-order placements and cancellations.
## WHY THE COMPONENTS BELONG IN ONE SCRIPT (not a mashup of unrelated tools)
Every stage is derived from **one underlying quantity** — reconstructed buy-vs-sell pressure — and each stage consumes the previous stage's output, all feeding a single end product (the regime probabilities). They are dependencies in a chain, not independent indicators placed side by side:
1. **Classification** reconstructs buy/sell pressure (tick rule, bulk volume, or geometry).
2. **Stationarization** standardizes that exact series so values compare across assets.
3. **Price impact (Kyle λ)** scales the standardized flow into an expected price move — large imbalance against thin depth implies a bigger move.
4. **Multi-horizon consensus** measures the same series across timescales for conviction.
5. **Self-excitation (Hawkes)** tests whether the imbalance is clustering — flow that triggers more flow.
6. **Liquidity stress** estimates fragility (the *context* that makes impact larger or smaller).
7. **Cross-asset confirmation** checks whether a correlated instrument agrees.
8. **Regime classifier** is a softmax that takes features 1–7 as inputs and outputs probabilities. Remove any earlier stage and the classifier loses an input — that dependency is the justification for combining them.
## HOW EACH STAGE WORKS
- **Classification (choose one):**
- *Intrabar Tick Rule* — pulls lower-timeframe bars inside each candle and tags each buy or sell by its own open/close.
- *Bulk Volume Classification (BVC)* — splits each bar's volume probabilistically using the normal CDF of its standardized return; designed for bar-aggregated data and consistent with the VPIN liquidity layer.
- *Candle Geometry* — splits volume by where the close sits within the bar's range.
- On volume-less instruments it falls back to a tick count, so the imbalance stays meaningful.
- **Stationarized OFI (z-score):** standardizes raw imbalance over a lookback so +2 means "two standard deviations of buying" on any asset.
- **Price impact (Kyle λ):** estimates λ by regressing bar return on signed flow; market depth ≈ 1/λ. The dashboard's **Expected Move** is λ · OFI, expressed in ATR units — this reproduces the founding result that price impact scales inversely with depth.
- **Multi-horizon consensus:** three EMAs of the z-score; agreement of their signs (shown as n/3) gauges conviction.
- **Self-excitation (Hawkes):** an intensity that jumps on strong imbalance events and decays exponentially — λ(t) = λ(t-1)·e^(-β) + α·event. Reported as a 0–100 percentile (Cascade Strength) plus direction.
- **Liquidity stress:** the mean percentile of three orthogonal lenses — VPIN-style flow toxicity, a thin-book "vacuum" term (price travelling far on thin relative volume), and Amihud illiquidity (|return|/volume). Using three independent estimators avoids resting the read on any single one.
- **Cross-asset confirmation:** a lagged imbalance proxy on a user-chosen correlated symbol; used only to confirm, never as a stand-alone signal.
- **Round-level magnet (optional, heuristic):** distance to the nearest auto-scaled round level as a crude pinning gauge. **This is explicitly not options dealer gamma**, which needs options open-interest data unavailable on a price chart.
- **Regime classifier:** a softmax over the above producing probabilities for Trend Continuation, Squeeze, Cascade Blast, Mean Reversion, and Liquidity Shock; the dominant one is highlighted.
## HOW TO USE IT
- Works best on intraday timeframes where intrabar data exists (1m–1h); it also runs higher via the geometry/BVC paths.
- **Dashboard:** read Buy/Sell pressure for direction, OFI z-score and consensus for strength/conviction, **Expected Move** for the impact-scaled magnitude, Cascade for clustering, Liquidity Stress for fragility, and the highlighted Regime for context.
- **Signals:** a triangle prints on the first bar of a buy or sell cascade (strong, directionally-aligned self-excitation, optionally confirmed by the cross-asset). Treat these as context/timing aids, not stand-alone entries.
- **Tuning:** switch Classification method to compare tick-rule vs BVC; lower Squeeze sensitivity on compression-prone instruments; set the Volume source and cross-asset reference to suit your instrument.
## WHAT MAKES IT ORIGINAL
Most published "order flow" tools stop at a single buy-minus-sell histogram. This engine (a) offers **three interchangeable classification methods** including probabilistic bulk classification, (b) **stationarizes** the imbalance for cross-asset comparability, (c) scales it into a **Kyle-λ expected move** rather than leaving it as a raw count, (d) adds an explicit **self-exciting (Hawkes) cascade** layer, (e) fuses **three orthogonal liquidity lenses** into one stress score, and (f) routes everything through a **softmax regime classifier** that outputs a probability distribution rather than a binary signal. The volume-agnostic fallback and theme-adaptive dashboard make it genuinely universal. The code is an independent implementation and reuses no third-party scripts.
## DATA, UNIVERSALITY & SETTINGS
The Volume source input, three classification methods, and automatic tick/geometry fallbacks let the engine run on any market, including volume-less instruments. The cross-asset reference defaults to a NIFTY-family symbol (BANKNIFTY) but is freely editable to any correlated instrument, and the round-level spacing auto-scales or accepts manual values, so the engine adapts to any exchange or instrument.
## REPAINTING DISCLOSURE
Intrabar and cross-asset requests update on the live (forming) bar, so live read-outs can change until the bar closes. The "Confirm signals on bar close" option (ON by default) makes all plotted signals and alerts evaluate only on closed bars, so historical signals are fixed and non-repainting.
## ACADEMIC CREDIT
This script is an original implementation of concepts from public research, with thanks to their authors: Cont, Kukanov & Stoikov (order-flow imbalance and linear price impact, 2014); Kyle (the λ price-impact coefficient and market depth, 1985); Xu, Gould & Howison (multi-level order flow, 2018); Cont, Cucuringu & Zhang (integrated and cross-asset OFI, 2023); the Generalized/Stationarized OFI literature; Lee & Ready (tick-rule trade classification, 1991); Easley, López de Prado & O'Hara (Bulk Volume Classification and VPIN flow toxicity, 2012); Amihud (the illiquidity measure, 2002); the Hawkes self-exciting process literature (Bacry, Muzy, and others); and Kolm, Turiel & Westray (multi-horizon order-flow alpha, 2023).
## DISCLAIMER
This indicator is provided for research and educational purposes only. It is not financial, investment, or trading advice and makes no promise of profitability. Order-flow imbalance here is an approximation, not exchange-grade Level-2 data. Trading involves substantial risk of loss; past behaviour does not guarantee future results. You are solely responsible for your own decisions.
Indicator
Elaris Absorption Zones ProElaris Absorption Zones Pro
Elaris Absorption Zones Pro is an advanced price-action and volume analysis indicator designed to identify potential absorption events where aggressive market orders are absorbed by opposing passive liquidity.
The indicator focuses on situations where price attempts to break an important level but fails to continue, suggesting that significant limit orders may be absorbing the incoming buying or selling pressure.
Unlike traditional breakout indicators that look for continuation, this tool is designed to highlight failed auctions, rejection events, and potential liquidity absorption zones that may lead to reversals, pullbacks, or reduced directional momentum.
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What Is Absorption?
Absorption occurs when aggressive participants repeatedly attempt to push price through a level using market orders, but opposing limit orders absorb that pressure and prevent further movement.
Examples include:
• Buyers aggressively pushing above resistance but failing to achieve continuation.
• Sellers aggressively pushing below support but failing to achieve continuation.
• Large rejection wicks appearing after a breakout attempt.
• High volume with limited price progress (Effort vs Result imbalance).
These conditions can indicate the presence of significant liquidity providers defending a price area.
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How The Indicator Works
The indicator combines multiple confirmation layers:
Market Structure Analysis
The script monitors:
• Confirmed swing highs and swing lows
• Recent trading ranges
• Failed breakout attempts
Price must first attempt to break an important structural level before absorption conditions can be evaluated.
Rejection Analysis
The indicator evaluates:
• Upper wick size
• Lower wick size
• Body-to-range relationship
Large rejection wicks combined with small candle bodies may indicate strong opposing liquidity.
Volume Confirmation
Volume is evaluated using:
• Relative volume
• Volume moving averages
• Optional volume Z-score analysis
This helps identify situations where participation is elevated compared to normal market activity.
Effort vs Result Model
One of the core components of the indicator is Effort vs Result analysis.
High volume combined with poor directional progress can indicate that incoming orders are being absorbed rather than successfully moving the market.
Absorption Scoring
Every detected signal receives a strength score based on:
• Rejection quality
• Relative volume
• Candle efficiency
Higher scores generally indicate stronger absorption characteristics.
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Features
✔ Bullish absorption detection
✔ Bearish absorption detection
✔ Failed breakout recognition
✔ Confirmed swing structure analysis
✔ Range breakout absorption detection
✔ Relative volume filters
✔ Volume Z-score filtering
✔ Effort vs Result analysis
✔ Absorption strength scoring
✔ Optional absorption zones
✔ Zone retest detection
✔ Dashboard with live metrics
✔ Alert conditions
✔ Non-repainting confirmation mode
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Bullish Absorption
Bullish absorption may occur when:
1. Price breaks below support.
2. Sellers attempt continuation.
3. Price quickly returns above the level.
4. A strong lower rejection wick forms.
5. Volume confirms elevated participation.
This may suggest that passive buyers absorbed the selling pressure.
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Bearish Absorption
Bearish absorption may occur when:
1. Price breaks above resistance.
2. Buyers attempt continuation.
3. Price closes back below the level.
4. A strong upper rejection wick forms.
5. Volume confirms elevated participation.
This may suggest that passive sellers absorbed the buying pressure.
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How To Use
Many traders use absorption signals as:
• Early reversal warnings
• Liquidity sweep confirmations
• Support and resistance confirmation
• Market structure confirmation
• Trade management tools
For best results, consider combining absorption signals with:
• Trend analysis
• Market structure
• Higher timeframe context
• Risk management rules
• Additional confirmation tools
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Non-Repainting
When "Confirm Only After Candle Close" is enabled, signals are generated only after a candle has fully closed.
Confirmed swing levels are based on completed pivot structures.
This helps reduce signal instability and prevents intrabar repainting behavior.
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Important Notes
This indicator does not use Level II, order book, footprint, or exchange matching engine data.
Because PulseWire Pine Script does not have direct access to actual market order flow, absorption is estimated using a combination of price action, rejection behavior, volume analysis, and structural breakout failure characteristics.
As with all trading tools, signals should be used as part of a complete trading plan and not as standalone buy or sell recommendations.
Indicator
Bubble volume engine xjumpEcco una descrizione pronta da usare. Te la do in tre versioni di lunghezza diversa, scegli quella che ti serve in base al canale dove la pubblichi (PulseWire ha limiti diversi da una pagina blog o un README).
📝 Versione SHORT — PulseWire "Short description" (1-2 righe)
Motore di lettura dell'order flow che combina Delta Volume, struttura candela, sweep di liquidità, divergenze CVD e trend HTF in un sistema a confluenza 5★. Auto-tuning su tutti i timeframe.
📄 Versione MEDIUM — Descrizione PulseWire completa
Volume Flow Engine PRO trasforma il Delta Volume da semplice indicatore in un motore completo di lettura del flusso. Invece di mostrarti solo "dove sono i compratori vs venditori", combina cinque livelli di contesto — delta normalizzato, struttura candela, liquidità, volume relativo, trend di timeframe superiore — in un punteggio di confluenza da 0 a 5 stelle che decide visivamente l'importanza di ogni segnale.
Cosa rileva:
Bolle delta posizionate dentro le candele, dimensionate sulla forza statistica del flusso (z-score)
Assorbimento di liquidità — quando il prezzo sweepa un massimo/minimo ma chiude contro il delta, segnale di smart money che assorbe gli stop
Divergenze CVD/Prezzo — quando il Cumulative Delta diverge dal prezzo, segnale di esaurimento del movimento
Pattern VSA — Up Thrust, Spring, No Demand, No Supply per leggere accumulazione e distribuzione
Filtro Trend HTF — premia le bolle allineate al trend del timeframe superiore, scarta quelle controtrend
VWAP intracandela — verifica che chi ha spinto sia rimasto dominante fino alla chiusura
Auto-tuning per timeframe: Lo script riconosce automaticamente se sei su 1m, 5m, 15m, 1h, 4h, Daily, e regola da solo Lower Timeframe, Higher Timeframe, dimensione bolle, soglie di filtro e modalità no-repaint. Puoi anche disattivare l'auto-mode e configurare tutto manualmente.
Dashboard integrata nell'angolo del grafico riassume lo stato corrente: delta, z-score, score di confluenza, trend HTF, direzione CVD, posizione vs VWAP, e una riga "Stato" che traduce tutto in un'azione leggibile (STRONG BUY, BUY ABSORB, DIV BEARISH, ecc.).
Non è un indicatore di entry/exit automatici. È uno strumento di lettura del flusso che ti dice quando il mercato sta facendo qualcosa di rilevante e perché. Sta a te decidere cosa farne.
Funziona su tutti gli strumenti volume-enabled: crypto, futures, azioni, indici, forex pairs maggiori.
📚 Versione LONG — Per descrizione dettagliata, README, blog, manuale
Cos'è Volume Flow Engine PRO
È un indicatore PulseWire (Pine v6) che legge il flusso di ordini ricostruendo il Delta Volume dai dati di un timeframe inferiore, e lo arricchisce con il contesto necessario perché un segnale di delta possa diventare un segnale operativo. Il delta da solo è spesso bugiardo: un volume di acquisto enorme può essere assorbito da venditori più forti, una candela rialzista può nascondere distribuzione, un breakout con delta perfetto può essere un trap di liquidità. Questo script affronta esattamente questo problema.
La filosofia
Tre principi guidano il design:
1. Il delta va contestualizzato. Un delta di +1000 contratti significa cose diverse su BTC e su EURUSD. Lo z-score normalizza il delta sulla sua deviazione standard locale, rendendo la forza confrontabile tra strumenti e periodi.
2. La confluenza vale più del singolo segnale. Una bolla con score 1/5 vale molto poco. Una con 5/5 sta segnalando che delta, volume, struttura, liquidità e trend HTF stanno dicendo la stessa cosa. Lo script ti aiuta a distinguerle visivamente con colore, dimensione e trasparenza graduati.
3. L'occhio deve leggere prima del cervello. Le bolle stanno dentro la candela, la dimensione è proporzionale alla forza, le divergenze hanno background colorato, i pattern VSA hanno marker chiari. Apri il grafico e in due secondi sai dove guardare.
Cosa fa, in dettaglio
Delta Volume con z-score — Richiede al timeframe inferiore (1s, 1m, 5m, ecc. a seconda del grafico) i dati di volume up/down, calcola il delta netto per ogni candela, e lo normalizza con media e deviazione standard a 20 periodi. Il risultato è uno z-score con segno che ti dice quante deviazioni standard sopra/sotto la media è il delta corrente. Sopra 1.5σ = "aggressivo", sopra 2σ = "estremo".
Bolle dentro la candela — Posizione direzionale: bolle buy al 65% del range della candela, bolle sell al 35%. Quando lo score sale, la bolla migra verso il centro del corpo (segnale forte e ben centrato). Dimensione scalata su 5 livelli (Tiny/Small/Normal/Large/Huge) in base al z-score, con cap utente per evitare bolle che escono dalle candele su zoom out.
Assorbimento di liquidità — Detection: la candela ha sweepato il massimo (o minimo) delle ultime 20 candele, ma chiude dalla parte opposta, mentre il delta è contro la chiusura. Tradotto: i venditori (o compratori) hanno preso liquidità sopra/sotto un livello, ma qualcuno di più grande ha assorbito tutto e ha portato il prezzo nella direzione opposta. Marcato con triangolo cyan (ABS+) o arancione (ABS-) e bolla dedicata.
Divergenze CVD/Prezzo — Calcola un CVD locale (somma rolling del delta su 50 candele), individua i pivot di prezzo e di CVD, e quando prezzo fa nuovo massimo ma CVD no (o viceversa), segnala divergenza con label rossa/verde sopra/sotto la candela e background colorato. Questa è la feature predittiva più potente dello script.
Pattern VSA classici — Up Thrust (candela rialzista con wick lungo in alto e volume alto = falso breakout up), Spring (specchio in basso), No Demand (rialzo con volume basso = compratori assenti), No Supply (ribasso con volume basso = venditori assenti). Marker piccoli e discreti sopra/sotto la candela.
Filtro Trend HTF — Confronta la chiusura di un timeframe superiore (auto: 4-6× il TF corrente) con una EMA 50. Se la chiusura è sopra = trend bull HTF, sotto = bear. Le bolle allineate al trend HTF ottengono +1 al score, quelle contro -1 e diventano più trasparenti. Disattivabile.
VWAP intracandela — Calcola il VWAP usando i dati LTF della singola candela. Se la chiusura è dalla parte del delta (delta+ con close > VWAP intracandela, o delta- con close < VWAP), bonus +1 al score. Significa che chi ha spinto è rimasto dominante fino al close.
Confluence Score 0–5★ — Somma di cinque condizioni base (delta allineato alla direzione candela, volume relativo confermato, delta strong z-score, sweep liquidità rilevato, struttura candela espansiva) più bonus/malus da HTF trend e VWAP. Clampato 0-5. Visualizzato come stelle nelle etichette e come trasparenza graduata della bolla.
Effort vs Result — Pattern VSA bonus: alto volume + corpo candela piccolo = sforzo enorme senza risultato, tipico di assorbimento o distribuzione in corso. Marcato con piccolo diamante giallo al centro candela.
Auto-Tuning Timeframe — Riconosce automaticamente la categoria del timeframe del grafico (Scalping, Intraday breve/medio/lungo, Swing, Position, Long-term) e applica preset coerenti per LTF, HTF, dimensione bolle massima, filtro display e modalità confirmed-only. Cambia TF nel grafico → tutto si riconfigura. Se vuoi override su qualcosa, basta disattivare Auto e usare i valori manuali.
Dashboard operativa — Tabella in angolo a scelta (5 posizioni, 3 dimensioni) che riassume in 8 righe: Modalità (Auto/Manual), preset attivo, Delta corrente, Z-Score in σ, Score in stelle, stato HTF Trend, direzione CVD, posizione vs VWAP intracandela, e riga Stato che traduce tutto in label leggibile (STRONG BUY, STRONG SELL, BUY ABSORB, SELL ABSORB, DIV BULLISH, DIV BEARISH, UT, SP, ND, NS, Neutro).
Modalità no-repaint — Toggle che mostra tutti i marker solo a barra chiusa. Auto-attivata su scalping e intraday breve (dove il rumore intra-bar inganna di più), disattivata su TF medi e alti (dove vuoi vedere il flusso che si forma).
11 alert configurabili — Delta Bubble, Buy/Sell Delta Bubble, Buy/Sell Absorption, Alta Confluenza (4★+), Massima Confluenza (5★), Up Thrust, Spring, CVD Bullish/Bearish Divergence, Effort vs Result. Tutti collegabili a webhook o notifiche.
Per chi è
Tradisti che usano l'order flow come edge primario o come filtro di conferma su sistemi tecnici. Funziona bene su qualsiasi mercato con dati di volume affidabili: crypto perpetuals e spot, futures CME/CBOE, azioni US/EU principali, indici, forex pairs maggiori. Non funziona su strumenti senza volume reale (alcuni forex broker, ticker sintetici, indici calcolati).
Cosa NON è
Non è un sistema di entry/exit. Non genera segnali long/short automatici. Non garantisce nulla. È uno strumento di lettura del mercato — ti dice quando sta succedendo qualcosa di interessante e cosa, ma sta a te integrarlo nel tuo processo decisionale e gestire il rischio.
What is Volume Flow Engine PRO
A PulseWire Pine v6 indicator that reads order flow by reconstructing Volume Delta from lower timeframe data, then enriches it with the context required to turn a raw delta signal into an actionable one. Delta alone is often misleading: massive buy volume can be absorbed by stronger sellers, a bullish candle can hide distribution, a clean breakout with perfect delta can be a liquidity trap. This script addresses exactly that problem.
The philosophy
Three principles drive the design:
1. Delta needs context. A delta of +1000 contracts means very different things on BTC and EURUSD. The z-score normalizes delta against its local standard deviation, making strength comparable across symbols and time periods.
2. Confluence beats single signals. A 1/5 score bubble is noise. A 5/5 bubble is telling you that delta, volume, structure, liquidity, and HTF trend are all saying the same thing. The script helps you tell them apart visually, with graduated color, size, and transparency.
3. The eye reads before the brain. Bubbles sit inside the candle, size scales with strength, divergences get colored backgrounds, VSA patterns get distinct markers. Open the chart and within two seconds you know where to look.
What it does, in detail
Volume Delta with z-score — Requests up/down volume data from a lower timeframe (1s, 1m, 5m, etc. depending on the chart), computes net delta per candle, and normalizes it with a 20-period rolling mean and standard deviation. The result is a signed z-score telling you how many standard deviations above or below average the current delta is. Above 1.5σ = "aggressive", above 2σ = "extreme".
Bubbles inside the candle — Directional positioning: buy bubbles at 65% of the candle range, sell bubbles at 35%. As the score climbs, the bubble migrates toward the candle body center (strong, well-anchored signal). Size scales across 5 tiers (Tiny / Small / Normal / Large / Huge) based on z-score, with a user-defined cap to prevent bubbles from spilling out of candles on zoom out.
Liquidity absorption — Detection logic: the candle sweeps the high (or low) of the last 20 candles, but closes on the opposite side, while delta is against the close. Translation: sellers (or buyers) took liquidity above/below a level, but something bigger absorbed it all and dragged price the other way. Marked with a cyan triangle (ABS+) or orange triangle (ABS-) and a dedicated bubble.
CVD / Price Divergences — Computes a rolling CVD (cumulative delta sum over 50 candles), identifies price and CVD pivots, and when price prints a new high but CVD doesn't (or vice versa), flags the divergence with a red/green label above/below the candle plus a soft background highlight. This is the most predictive feature of the script — when you see it, pay attention.
Classic VSA patterns — Up Thrust (bullish candle with long upper wick and high volume = failed breakout up), Spring (mirror image to the downside), No Demand (rally with low volume = buyers absent), No Supply (decline with low volume = sellers absent). Small, discreet markers above/below the candle.
HTF Trend filter — Compares the close of a higher timeframe (auto-tuned to 4-6× the current TF) against a 50-period EMA. Close above = HTF bull trend, below = bear. Bubbles aligned with HTF trend get +1 to their score, counter-trend bubbles get -1 and become more transparent automatically. Toggle off if not needed.
Intra-candle VWAP — Calculates VWAP using lower timeframe data within the current candle. If the close lands on the delta's side (positive delta with close above intra-candle VWAP, or negative delta with close below), bonus +1 to score. Meaning: whoever pushed stayed in control all the way to the close.
Confluence Score 0–5★ — Sum of five base conditions (delta aligned with candle direction, relative volume confirmed, delta strong by z-score, liquidity sweep detected, expansive candle structure) plus bonuses/penalties from HTF trend and intra-candle VWAP. Clamped to 0–5. Visualized as stars in labels and graduated bubble transparency.
Effort vs Result — Bonus VSA pattern: high volume + small candle body = massive effort, no result, typical of ongoing absorption or distribution. Marked with a small yellow diamond at the candle's midpoint.
Auto-Tuning by Timeframe — Automatically detects the chart timeframe category (Scalping, Short / Medium / Long Intraday, Swing, Position, Long-term) and applies coherent presets for Lower Timeframe, Higher Timeframe, max bubble size, display filter, and confirmed-bars-only mode. Change the chart TF → everything reconfigures. Want to override a single parameter? Just toggle Auto off and use the manual values.
Operational Dashboard — Configurable corner table (5 positions, 3 sizes) summarizing in 8 rows: Mode (Auto/Manual), active preset, current Delta, Z-Score in σ, Score as stars, HTF Trend state, CVD direction, intra-candle VWAP position, and a State row that translates everything into a readable label (STRONG BUY, STRONG SELL, BUY ABSORB, SELL ABSORB, DIV BULLISH, DIV BEARISH, UT, SP, ND, NS, Neutral).
No-repaint mode — Toggle that renders all markers only on closed bars. Auto-enabled on scalping and short intraday (where intra-bar noise is most deceiving), disabled on medium and high TFs (where you want to see flow forming live).
11 configurable alerts — Delta Bubble, Buy/Sell Delta Bubble, Buy/Sell Absorption, High Confluence (4★+), Max Confluence (5★), Up Thrust, Spring, CVD Bullish/Bearish Divergence, Effort vs Result. All compatible with webhooks and push notifications.
Indicator
Swing Failure Pattern (SFP) - Advanced & ImprovedSwing Failure Pattern (SFP) automatically detects liquidity sweeps on your chart — bars that wick past a prior swing high or low and close back inside it — and marks them with labels, swept level lines, and optional retest tracking.
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WHAT IS AN SFP?
Every significant swing high and low on your chart has a cluster of orders sitting just beyond it. Stop losses from traders who are long, buy stops from traders waiting for a breakout, limit orders placed at round numbers. All of that sitting at one level is called liquidity.
An SFP is what happens when the market reaches that level, triggers all those orders, and then immediately reverses. Price makes a new high or low — just enough to sweep the liquidity — then snaps back and closes on the other side of the level.
Bullish SFP — wick below a prior swing low, close back above it. The sell stops below that level got triggered. The sellers who just got filled are now trapped. Price is labeled below the wick.
Bearish SFP — wick above a prior swing high, close back below it. The buy stops above that level got triggered. The buyers who just got filled are now trapped. Price is labeled above the wick.
SFP+ and SFP++ — the same wick swept 2 or 3 stacked swing levels at once. More liquidity was grabbed in a single move, which tends to produce a stronger and more sustained reversal.
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HOW THE DETECTION WORKS
The indicator tracks the most recent swing highs and lows using pivot detection (configurable lookback, stored up to max_age days). Each closed bar is checked against all stored pivots:
The wick must exceed the pivot level by at least the minimum sweep size (ATR-based) to filter out micro-wicks that barely graze the level.
The close must reject back past the swept level with a minimum close position (top or bottom X% of the bar), filtering weak closes near the middle.
Optionally, the bar must have above-average volume — real stop hunts typically show a volume spike.
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WHEN IT DOES NOT WORK
An SFP is a liquidity event, not a reversal guarantee. Two conditions reduce its reliability significantly:
Trading against a strong trend. A bearish SFP in the middle of a powerful uptrend often produces only a brief pause before the move continues. The stop hunt happened, but the underlying demand is too strong to reverse. The HTF Trend Filter setting exists for this reason — enabling it filters SFPs that go against the higher timeframe EMA direction.
No supporting context at the level. An SFP that fires at a random mid-range price tends to fail more often than one that occurs at a meaningful confluence of levels — a weekly high, a significant VWAP, a well-established volume node, or a clean structural area that multiple timeframes agree on. The signal is the same but the odds are different. Using this indicator alongside tools that measure level significance will separate the high-quality setups from the noise.
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SETTINGS
Pivot Detection
Intraday pivot bars — confirmation bars required on each side for intraday timeframes (1m to 4H). Default 8.
HTF pivot bars — confirmation bars for Daily and above. Default 3. Kept lower because daily swings are structurally significant with less confirmation needed.
Max pivots stored — how many recent swing levels are tracked per side. Default 5.
Max pivot age (days) — levels older than this are expired. Default 20.
Filters
Min sweep size — wick must exceed the level by at least this ATR multiple.
Min close position % — for bullish SFP, close must be in the top X% of the bar. For bearish, the bottom X%.
Volume confirmation — optionally require above-average volume on the SFP bar.
HTF Trend Filter
When enabled, bullish SFPs only show during uptrends and bearish SFPs only during downtrends, defined by price relative to a configurable EMA on a higher timeframe.
Session Filter
Optionally restrict signals to the London open and NY open windows (UTC hours, fully configurable). SFPs during these windows tend to be institutionally driven rather than low-liquidity noise.
Retest Tracking
After an SFP fires, the swept level is stored. If price later returns to that level and holds, a small R label marks the retest candle. The retest is often a cleaner entry than the SFP candle itself.
Display
Draw swept level lines — dashed line from the original pivot bar to the SFP bar, showing which level was grabbed.
Show tracked pivot levels — draws all currently tracked pivots as dashed lines so you can watch levels in real time before an SFP forms.
Remove pivot when swept — cleans up the level from storage once it has been used.
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RECOMMENDED TIMEFRAME
Works on all timeframes. Pivot bars auto-adjust between intraday and HTF values. Most actionable on 1H to 4H for intraday setups and Daily for swing trading.
Indicator
Delivery Shift CISD [Viprasol]Overview
This indicator is based on an open-source "Change in State of Delivery (CISD)" community script, which detects the ICT concept of a delivery shift — the moment price reverses and closes back through the opening level of the opposing momentum leg that produced it. The original tracks swing-point liquidity, detects bullish and bearish CISD events using a displacement-ratio test, marks the origin level, and flags "strong" CISDs that occur right after opposing liquidity is swept. This version keeps that detection engine intact and adds a Viprasol confluence and execution layer: a 0-4 confluence score with A/B/C grading, optional volume-surge and higher-timeframe bias filters, a signal cooldown, a minimum-score gate, and an ATR-anchored Entry/SL/TP risk overlay drawn on qualified signals.
It is built for ICT/SMC traders who use CISD as a confirmation of intraday delivery direction and want each event graded by confluence, with optional filters and an automatic risk projection.
How It Works
Swing Liquidity (from original):
Pivot highs and lows over the swing period create horizontal liquidity lines that extend forward each bar. A line is mitigated when price trades through it (high >= level for a high, low <= level for a low) on a confirmed bar, and removed; lines older than the expiry threshold stop updating. The most recently mitigated high and low, and how many bars ago they were taken, are retained for the sweep test below.
CISD Detection (from original):
When a candle flips color (a down candle followed by an up candle, or vice versa), its open is stored as a potential CISD origin along with its bar index. On each later bar the script checks whether price has closed back beyond that stored open. If it has, it measures the displacement of the leg as a ratio: for a bearish CISD, (highest close in the leg − origin open) / (top of the bearish run − origin open). If that ratio exceeds the Noise Filter, the event qualifies as a CISD, the origin level is drawn, and the trend state flips. Weaker candidates are discarded and the scan continues to older candidates.
Liquidity-Sweep Confluence (from original):
A CISD is flagged "strong" when it fires within the liquidity-lookback window after the opposing liquidity was swept — a bearish CISD where a swing high was just taken and price closed back below it, or a bullish CISD where a swing low was taken and price closed back above. These print the labeled sweep arrows.
Confluence Score & Grade (new):
Every CISD event is scored 0-4 by summing four independent confluence checks:
score = strongDisplacement? + liquiditySweep? + htfAligned? + volumeSurge?
- strongDisplacement = the measured ratio is at least halfway between the Noise Filter and 1.0 (a decisively strong leg, not a marginal one).
- liquiditySweep = the original sweep confluence is present.
- htfAligned = the CISD direction agrees with the higher-timeframe EMA.
- volumeSurge = volume on the CISD bar exceeds its rolling average × the multiplier.
The score maps to a grade — A (>= 3), B (= 2), C (<= 1) — labeled at the origin level.
Filters & Qualified Signals (new):
Four optional gates can be applied without altering the original CISD drawing: a volume-surge requirement, a higher-timeframe EMA bias (bull only above, bear only below), a per-signal cooldown (minimum bars between qualified signals), and a minimum-confluence-score requirement. A CISD that passes all active gates becomes a "qualified" signal, which is what the risk overlay and the two new qualified alerts use. With every gate at its default (cooldown 0, filters off, min score 0), every CISD qualifies and the original behaviour is unchanged.
Risk Overlay (new):
On a qualified CISD, the script projects three lines: Entry at the CISD origin level, Stop-Loss beyond the CISD swing extreme (the highest/lowest close captured during detection) plus an ATR buffer, and Take-Profit at Entry ± risk × the Risk:Reward ratio, where risk is the Entry-to-SL distance. Colored ENTRY/SL/TP price labels mark the line ends. Only the most recent qualified signal's projection is kept, to avoid clutter.
What Is Original (Viprasol Additions)
1. Confluence score (0-4) and A/B/C grade per CISD, from displacement strength, liquidity sweep, HTF alignment, and volume surge.
2. Minimum-confluence-score gate and the "qualified signal" concept layered on top of raw CISD detection.
3. Optional volume-surge filter (volume above its rolling average × multiplier on the CISD bar).
4. Optional higher-timeframe EMA bias filter (and an always-computed HTF read used for grading).
5. Per-signal cooldown to prevent qualified-signal clustering.
6. ATR-anchored Entry/SL/TP risk overlay with colored price labels, with the stop anchored to the CISD swing extreme.
Key Features
From the Original:
- Swing-point liquidity lines with forward extension, mitigation, and expiry
- Displacement-ratio CISD detection for both directions with a Noise Filter
- Origin-level lines drawn on each CISD
- Trend/delivery-state tracking
- Liquidity-sweep confluence with labeled strong-CISD arrows
- Swing-high / swing-low dots
- Trend-gradient candle coloring
Added in This Version (Viprasol):
- 0-4 confluence score with A/B/C grade label
- Minimum-score gate and qualified-signal logic
- Volume-surge filter, HTF EMA bias filter, and signal cooldown
- ATR-anchored Entry/SL/TP risk overlay with price labels
- Info dashboard (delivery state, last grade, sweep, HTF bias, volume, live liquidity counts)
- Two new alerts for qualified bull/bear signals; all alert messages made dynamic
How to Use
Getting Started:
1. Add to a standard candlestick chart (not Heikin Ashi).
2. With defaults, every CISD is drawn and graded — read the A/B/C label to judge each event's confluence.
3. To trade only stronger setups, raise the Minimum Confluence Score or enable the volume / HTF filters.
Reading the Chart:
- Candles tint green/red with the current delivery state.
- A thick green/red horizontal line marks a CISD origin level; the A/B/C label shows its grade.
- ▲/▼ arrows mark strong CISDs that followed an opposing liquidity sweep.
- On a qualified CISD (with SL/TP enabled), Entry/SL/TP lines and price labels project to the right.
Recommended Starting Points:
- Intraday (1m-15m): Swing Period 10-12, Noise Filter 0.6-0.7, Min Score 0-1
- Swing (1H-4H): Swing Period 15-20, Noise Filter 0.7-0.8, Min Score 2, enable HTF bias
- Higher conviction: Min Score 3 (grade A), or require volume surge + HTF bias
These are starting points only — every market and timeframe behaves differently. Backtest and adjust before trading live.
Settings
Calculations: Noise Filter (displacement ratio threshold), Swing Period, Expiry Bars, Liquidity Lookback.
Signal Filters (Viprasol): signal cooldown, volume-surge requirement (length + multiplier), and HTF EMA bias (resolution + length).
Confluence & Quality (Viprasol): show grade on CISD, minimum confluence score.
Risk Overlay (Viprasol): show SL/TP on qualified CISD, show price labels, ATR period, SL ATR buffer, Risk:Reward.
Appearance: bullish/bearish colors, candle body and wick transparency, hide expired levels, hide mitigated levels.
Dashboard / Display: dashboard toggle and position.
Alerts
1. Swing High Mitigation — a swing-high liquidity line was taken
2. Swing Low Mitigation — a swing-low liquidity line was taken
3. Bearish CISD — a bearish change in state of delivery fired
4. Bullish CISD — a bullish change in state of delivery fired
5. Strong Bearish (Sweep) — bearish CISD following an opposing liquidity sweep
6. Strong Bullish (Sweep) — bullish CISD following an opposing liquidity sweep
7. Qualified Bull — a bullish CISD that passed all active filters and the score gate
8. Qualified Bear — a bearish CISD that passed all active filters and the score gate
All alerts include {{ticker}}, {{close}}, and {{interval}} for dynamic notification messages.
Limitations & Disclaimer
- CISD detection scans backward through stored candidate origins and uses closing relationships; signals are evaluated as bars confirm and the displacement ratio is measured after the move.
- The HTF EMA bias uses request.security with lookahead disabled; HTF values update only as the higher-timeframe bar develops.
- Swing liquidity lines are capped (oldest pruned) and can expire; in fast markets some mitigations may occur off-screen relative to the visible levels.
- The risk overlay's stop is anchored to the captured swing extreme plus an ATR buffer — it is a mechanical projection, not an optimized stop, and the lines are visual references only; they do not place or manage trades.
- Filters and the minimum-score gate reduce the number of qualified signals; in choppy conditions valid CISDs may not qualify, while with all gates off qualified signals equal raw CISDs.
- Past performance does not guarantee future results. This indicator is for educational and analytical purposes only and is not financial advice. Always use proper risk management and test on historical data before trading live.
Credits & Attribution
Based on an open-source "Change in State of Delivery (CISD)" community indicator, which provided the swing-point liquidity lines with extension/mitigation/expiry, the displacement-ratio CISD detection for both directions, the origin-level drawing, the trend/delivery-state tracking, the liquidity-sweep confluence with labeled strong-CISD arrows, the swing dots, and the trend-gradient candle coloring. CISD is an Inner Circle Trader (ICT) concept. Added by Viprasol: the 0-4 confluence score and A/B/C grading, the minimum-score gate and qualified-signal logic, the volume-surge and HTF EMA bias filters, the signal cooldown, the ATR-anchored Entry/SL/TP risk overlay with colored price labels, the info dashboard, and the two additional qualified-signal alerts with dynamic messages.
Published open-source per PulseWire House Rules.
Indicator
Session CVD DivergenceSession CVD Divergence splits Cumulative Volume Delta into three independent session streams (Asian, London, and New York) and automatically detects all four divergence types between price and order flow.
TWO-SCRIPT SETUP
This indicator comes as a pair:
Session CVD Divergence (this script) — add to a new pane. Shows the CVD lines for each session and draws divergence lines between the CVD pivots.
Session CVD — Chart Labels — add as an overlay. Draws the same divergence lines between the price pivots on the main chart, with labels at each signal.
Both scripts must be on the chart together for the full picture. Settings (session times, pivot length, colors) are identical between the two, keep them in sync.
Session CVD Chart Labels:
WHY SESSION-SCOPED CVD?
A standard CVD indicator runs continuously across the entire day. That means London's aggressive buying gets buried inside Asia's quiet accumulation, and by the time New York opens you're reading a blended signal with no session context.
This indicator resets CVD to zero at the open of each session. What you see is the net order flow within that session only, independent of what happened before.
THE FOUR DIVERGENCE TYPES
Regular divergences (reversal signals, solid lines)
BD — Bullish Divergence: price makes a lower low, CVD makes a higher low. Selling pressure is drying up.
BrD — Bearish Divergence: price makes a higher high, CVD makes a lower high. Buying pressure is fading.
Hidden divergences (continuation signals, dashed lines)
hBD — Hidden Bullish Divergence: price makes a higher low, CVD makes a lower low. Uptrend remains intact beneath the surface.
hBrD — Hidden Bearish Divergence: price makes a lower high, CVD makes a higher high. Downtrend continuation despite apparent strength.
Each signal draws a line directly between the two pivots that form the divergence: on the CVD pane between the CVD pivot values, and on the main chart between the price pivot values. Solid lines for reversals, dashed lines for continuations.
SAME-SESSION CONSTRAINT
Divergence is only detected between two pivots that belong to the same session. A CVD pivot from the Asian session and a pivot from the London session are never compared, as their CVD scales are incompatible since each resets independently. This eliminates a significant source of false signals present in most divergence tools.
DELTA APPROXIMATION
Each bar's volume delta is estimated using the close-position formula:
delta = V x ( 2 x (C - L) / (H - L) - 1 )
A bar closing at its high contributes its full volume as buying. A bar closing at its low contributes its full volume as selling. Everything between is proportional.
SETTINGS
Session Boundaries — all session open/close times are configurable in UTC hours. Defaults: Asian 00 to 08, London 08 to 16, NY 13 to 21.
Pivot Detection Bars — controls sensitivity. Lower = more signals. Higher = only major pivots confirmed by more bars on each side.
Regular / Hidden divergence — each type can be toggled independently.
Colors — all four divergence types and all three session lines are individually customizable.
Session background — subtle shading shows which session each bar belongs to.
RECOMMENDED TIMEFRAME
15m to 4H. A warning label appears if the indicator is applied to a daily or higher timeframe.
Indicator
