Indicator
Parallel Transport & Holonomy [DAFE]Parallel Transport & Holonomy - (⟡ PTH)
This publication presents the quantitative mechanics and theoretical architecture behind the Parallel Transport & Holonomy engine. This system models price and volume dynamics as trajectories on a continuous two-dimensional manifold. By computing the parallel transport of multi-scale momentum vectors, tracking their covariant derivatives, and integrating their path-dependent rotational deficit ( Holonomy ), the indicator identifies macro regime shifts, structural pivots, and trend continuations.
The architecture is entirely self-contained, featuring a Legit Footprint Toggle that automatically falls back to an advanced Synthetic Footprint Engine when tick-level footprint data is unavailable. It is strictly anchored by a Rolling Confidence Matrix (RCM) and modulated by an Ensemble Dynamic Volatility Scaling (DVS) engine.
The core principle of this system is geometric invariance: signal evaluation is not based on static, lagging thresholds but on the coordinate-invariant deviation of momentum from its natural geodesic path.
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Riemannian Price-Volume Manifold & Metric Tensor
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We define the market state as a coordinate point on a two-dimensional Riemannian manifold
M, where the coordinates are:
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Parallel Transport & Covariant Derivatives
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Let V be a momentum vector on the tangent space of the manifold, constructed at three distinct temporal scales: Fast (vecFast), Medium (vecMed), and Slow (vecSlow). The coordinate components of the vector scale k are computed as:
Geodesic Deviation
A path is geodesic if its covariant derivative along the direction of travel is zero (representing the path of least resistance on the manifold). We define the geodesic deviation Zgeodesic as the rolling z-score of the absolute transport deviation:
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Holonomy & Phase Accumulation
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Holonomy describes the geometric phenomenon where parallel transporting a vector along a closed loop returns a vector with a changed orientation. This angular deficit directly measures the total curvature enclosed by the loop.
Holonomy Group Classifications
Based on the magnitude of the accumulated rotation (HolonomyNorm), the local coordinate space is classified into four geometric groups:
Trivial (Norm<0.10): The manifold is flat; parallel transport is path-independent, indicating quiet consolidated ranges.
Abelian (Norm<0.25): Minor commutative drift; the vector field undergoes predictable linear shifts.
Non-Abelian (Norm<0.50): Significant non-commutative curvature. Parallel transport is highly path-dependent, signaling complex trend development and institutional accumulation.
Singular (Norm≥0.50): Severe rotational deficit. The manifold geometry has collapsed or rotated sharply, marking high-probability reversal peaks and structural transitions.
Holonomy Regime Shifts
A Regime Shift is triggered when HolonomyNorm exceeds the user-defined threshold (i_holoThresh). Depending on the sign of the accumulated loop (sgn(H)) and the divergence between the fast and slow vectors, the engine classifies the transition into one of the following states:
Bull Rotation : Enclosed path yields a positive rotational deficit combined with positive multi-scale momentum.
Bear Rotation : Enclosed path yields a negative rotational deficit combined with negative multi-scale momentum.
Geodesic Break : Extreme localized acceleration causing the momentum field to tear away from its expected trajectory.
Scale Divergence : High-frequency (fast) and low-frequency (slow) vectors rotate in opposite directions, enclosing a singular point.
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Rolling Confidence Matrix (RCM)
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The Rolling Confidence Matrix (RCM) acts as a structural anchor. It takes multi-scale geometric indicators from the transport engine and compiles them into a state-space model that dynamically controls signal permissions.
State Space Representation
The matrix maintains a rolling assessment of market structure across three distinct states:
Established (State 0): The trend is structurally intact; manifold bands are compressed, and parallel transport confirms high directional persistence.
Transition (State 1): Price is approaching key structural levels or experiencing a holonomy spike. Manifold bands widen, and standard signals are gated.
Damaged (State 2): Price has broken through primary defensive corridors. Structural confidence is compromised; bands expand by the Damage Band Expansion multiplier
(i_damageWiden), and counter-trend positions are heavily penalized.
External Evidence Injection
On every bar, the system injects external geometric parameters from the manifold:
This evidence is integrated into the RCM, outputting structural permissions (allowLong, allowShort) and score modulations that are applied to the final signal scoring calculations.
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Ensemble Dynamic Volatility Scaling (DVS)
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To adapt the mathematical models to varying market volatility, the script runs three independent volatility estimators concurrently on every bar:
Ensemble Combinatorics
The baseline values are calculated as moving averages over the memory period. The script then computes the ratios of the current estimators to their historical baselines:
This ratio dynamically scales the width of the holographic manifold bands and the RCM damage thresholds: during highly volatile regimes, thresholds are expanded to prevent whipsaws; during compression regimes, thresholds are tightened to capture early breakouts.
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Footprint & Synthetic Fallback Engine
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The script includes a Use Legit Footprint toggle (i_useFp). When enabled on charts supporting tick databases, the system requests official exchange-traded order flow data:
fp=request.footprint(i_fpTicks,i_fpVA)
The Advanced Synthetic Footprint Engine
If the user deactivates the footprint toggle, or if the asset/timeframe does not support tick database access (e.g., historical bars or Forex), the Synthetic Footprint Fallback Engine** takes over, simulating volume-at-price and directional delta using high-frequency mathematical approximations:
This estimated delta reconstructs the synthetic buy and sell pressures:
Kyle's Lambda (Price Impact & Liquidity Risk)
Using these directional volumes, we calculate Kyle's price impact coefficient λ, measuring the price change per unit of volume flow:
High values of λ represent illiquid, thin, or toxic conditions. The system calculates the z-score of lambda (Zλ). If Zλ > 2.0, signal scores are dynamically penalized to protect capital from low-liquidity slippage.
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Structural Scoring & Signal Gating
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The system generates a directional Signal Score using a two-tier quantitative scoring process.
Stage 1: Structural Base (Minimum of one required)
Siege Corridor Proximity : Price is within 1.2 ⋅ ATR of a verified support or resistance level.
ScoreBase = 0.28+(Hold Probability⋅0.18)
EMA21 Geodesic Pullback : Price pulls back to the EMA21 in trend alignment.
ScoreBase = 0.25
RSI Extreme Exhaustion : RSI is below 25 (for longs) or above 75 (for shorts).
ScoreBase = 0.28
Stage 2: Confirmations (Additive)
Multi-pattern confluence (2+ patterns matching): +0.15
Pressure bar strength exceeds thresholds: +0.08 to +0.15
Metric curvature aligns with structural turn: +0.10
Volume expansion exceeds historical average: +0.10
Holonomy phase shifts or loop spikes: +0.12
Directional Scaling & Gating
The score is adjusted based on trend alignment. With-Trend (WT) setups (longs above the EMA50, shorts below) are evaluated using standard thresholds. Counter-Trend (CT) setups face a strict scaling penalty:
ScoreCT = ScoreRaw ⋅ clamp(1.0−Trend Strength⋅0.15,0.45,1.0)
Additionally, the score passes through three gates:
Liquidity Penalty : Reduced by up to 30% if order flow thickness is classified as Desert or Frozen.
Kyle Lambda Gate : Penalized if price impact is highly volatile (Zλ > 2.0).
Danger Gate : Score is multiplied by 0.60 if the composite risk danger index exceeds 75.
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Input Reference
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═══ GEOMETRY ENGINE ═══
Hurst Period (30 to 200, default 80): Lookback window for R/S calculations to evaluate trend persistence.
Pivot Length (2 to 15, default 5): Lookback/lookahead buffer for swing pivot detection.
TF Preset (Auto, 1m-5m Scalp, 10m-15m Intra, 30m-1H Swing, 4H-D Position): Set the timeframe scaling preset. Auto dynamically scales lookbacks based on the current chart timeframe.
Use Legit Footprint (Boolean, default true): Toggles whether to query exchange tick database for real footprint data.
Footprint Ticks/Row (1 to 500, default 100): Height of the footprint rows in tick units.
Footprint VA % (50 to 90, default 70): Percentage of volume enclosed within the Value Area.
═══ TRANSPORT & HOLONOMY ═══
Vector Fast Scale (3 to 21, default 8): Periods for tracking short-term momentum vectors.
Vector Medium Scale (10 to 55, default 21): Periods for intermediate momentum geometry.
Vector Slow Scale (21 to 144, default 55): Baseline vector window representing the macro manifold.
Holonomy Window (13 to 89, default 34): Size of the temporal loop used to integrate local deviations.
Holonomy Spike Threshold (0.10 to 0.90, default 0.35): Sensitivity threshold for identifying rotational shifts.
Geodesic Deviation Sensitivity (0.5 to 3.0, default 1.5): Sensitivity for flagging off-path momentum.
Enable Continuation Signals (Boolean, default true): Toggles secondary pullback entries in strong trends.
═══ ROLLING CONFIDENCE MATRIX ═══
Block Transition Signals (Boolean, default true): If active, blocks standard entry signals when the matrix is in transition state.
Conf Band Tightening Factor (0.0 to 1.0, default 0.35): Compression multiplier for manifold bands under high confidence.
Damage Band Expansion (1.0 to 1.5, default 1.15): Expansion multiplier for manifold bands under structural damage.
═══ DYNAMIC VOLATILITY SCALING (DVS) ═══
Enable Ensemble DVS Engine (Boolean, default true): Toggles whether to scale target multiples and thresholds by volatility.
DVS Method (ATR Ratio, Parkinson, Garman-Klass, Ensemble): Method for calculating real-time volatility.
DVS Memory Period (20 to 200, default 100): Baseline lookback window for historical volatility.
DVS Sensitivity (0.3 to 1.5, default 0.7): Exponent scaling parameter for the DVS ratio.
═══ SIGNAL GATING ═══
Signal Threshold (0.10 to 0.85, default 0.40): Minimum score required to fire a signal.
Cooldown Bars (1 to 50, default 6): Minimum bar spacing between consecutive signals.
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Visual System & Dashboard Interpretation
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Transport Field Manifold : A multi-layered band surrounding price. It contracts during clean, high-confidence geodesic flow and expands during high-entropy, damaged, or volatile regimes. Its color is determined by the RCM state: Green for bullish stability, Red for bearish, and Purple during transitions.
Siege Corridors : Plotted as horizontal support (Green) and resistance (Red) zones with an ATR-scaled boundary. At the right-hand side of the chart, these corridors display critical metrics: the total historical hit count, the estimated break probability (Pbreak), and the fail/reversal probability (Pfail).
Vector Field Lines : Small arrow-headed lines plotted on every third bar. They show the mathematical direction of the Fast momentum vector. They visually represent the difference between the actual observed path of the market and the expected parallel-transported baseline.
Holonomy Phase Ring : An indicator plotted at the right edge of the chart displaying the current phase angle (e.g., ◐ 144∘).
Glitch Markers: Flagged on the chart as ◈ GLITCH when anomalous pricing data or sudden coordinate jumps are detected on the manifold.
Dashboard: Displays real-time metric readings from all quantitative modules:
Tensor Metrics: Curvature, Entropy, Hurst Exponent, and Price Pressure.
Volatility: Dynamic DVS Ratio, active estimator method, and scaling state.
RCM Brain: State classification, integrity index, and gate permissions.
Performance: Total trades, win rate, total profit (R-multiple), profit factor, and max drawdown.
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Limitations and Disclaimers
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This tool is for analytical purposes only and does not predict future market direction.
Historical Simulation: The built-in simulator represents hypothetical performance on historical data. Past results do not guarantee future performance.
Volume Approximations: The synthetic footprint engine uses OHLCV approximations to estimate volume-at-price and directional delta. It is not an actual connection to L2 exchange data feeds or a central clearing book.
Persistence: Reinforcement learning weights are state-space variables that exist within the local execution thread; they reset to 1.0 on every chart load or browser reload.
— Dskyz. Trade with insight. Trade with anticipation. (It's lonely at the top) Indicator
Viprasol Naive Bayes Order FlowOverview
This indicator is based on "Institutional Order Flow Signals " by PMT, an open-source script that classifies order-flow conditions with a Naive Bayes classifier trained on Cumulative Volume Delta (CVD) features. The original produces a posterior probability that the current bar belongs to a Bull, Bear, or Diverged regime, then prints directional signals when that probability clears a threshold and price agrees with a trend EMA. This version keeps that classifier intact and layers a Viprasol signal-filter stack on top: a signal cooldown, an optional volume-surge confluence requirement, a bar-close confirmation gate, live classifier hit-rate tracking, and regime-flip detection.
It is built for traders who want a probabilistic read on whether buying or selling pressure (measured through volume delta) is currently dominating, with explicit noise controls applied before any signal fires.
How It Works
Cumulative Volume Delta (from original):
Each bar's volume is split into buying and selling pressure by where the close sits inside the bar's range. Buy volume = volume × (close − low) / range; sell volume = volume × (high − close) / range. The bar delta is buy minus sell, and these deltas are summed into a running CVD line. CVD rising means net buying pressure is accumulating; falling means net selling.
Three Classifier Features (from original):
The classifier is trained on three z-score-normalised features so they are comparable across instruments:
- F1 — CVD rate of change over the momentum period, normalised against its own rolling mean and standard deviation.
- F2 — price/flow divergence: price ROC minus CVD ROC, normalised. Large values flag price moving without matching flow (or vice versa).
- F3 — CVD slope: the first difference of a linear regression on the CVD line, normalised. Captures the acceleration of flow.
Naive Bayes Classification (from original):
Every bar is labelled into one of three classes from the prior bar's outcome — Bull (price up and CVD up), Bear (price down and CVD down), or Diverged (anything else). For each class the script maintains running sums of each feature and each feature squared, from which it derives a per-class mean and standard deviation online (no arrays of history needed). The likelihood of the current feature vector under each class is the product of three Gaussian PDFs (the "naive" independence assumption). Combined with class priors (the observed class frequencies), Bayes' rule yields the posterior probability of each class:
posterior(class) = prior(class) × likelihood(class) / evidence
A signal requires the posterior to clear the entry threshold, price to be on the correct side of the trend EMA, and CVD to be moving in the signal's direction. Signals fire only on the first bar of a new cluster to avoid consecutive repeats.
Signal Cooldown (new):
After any signal fires, a configurable number of bars must elapse before the next signal of any direction is allowed, tracked as bar_index − lastSignalBar >= cooldown. During fast moves the classifier can re-cross the threshold repeatedly; the cooldown collapses those into one actionable signal. A cooldown of 5 bars on a 15-minute chart enforces a 75-minute minimum gap between entries.
Volume-Surge Confluence (new):
When enabled, a signal is additionally gated on current volume exceeding its rolling average by a multiplier (default 1.5×). The logic is volume > sma(volume, length) × multiplier. This filters out classifier signals that occur on thin participation, where flow estimates are least reliable.
Bar-Close Confirmation (new):
When enabled, signals are only confirmed on a fully closed bar (barstate.isconfirmed). Because the posterior and CVD update intrabar, a developing bar can flip in and out of a signal state before it closes; this gate holds the signal until the bar settles.
Classifier Hit-Rate Tracking (new):
On every live bar the script takes the argmax of the three posteriors as its prediction, then on the following bar compares that prediction to the realised class label. It accumulates a running hit count and evaluation count and displays the ratio as a live "Hit Rate" in the dashboard. This is an honest in-sample diagnostic of how often the classifier's single most-likely class matched the next realised label — not a trade win rate.
Regime-Flip Detection (new):
The script tracks the active regime (+1 bull, −1 bear, 0 neutral) and fires a dedicated alert whenever it transitions into a new bull or bear regime, independent of the entry-cluster logic. Useful for traders who want to be notified of context shifts rather than individual entries.
Diverged Class Surfaced (new):
The original computes a third "Diverged" class but never displays its posterior. This version surfaces P(Diverged) in the dashboard so the trader can see when the classifier considers the tape conflicted (price and flow disagreeing) rather than directional.
What Is Original (Viprasol Additions)
1. Signal cooldown system — enforces a minimum bar gap between signals to prevent clustering during fast moves.
2. Volume-surge confluence filter — optionally requires above-average volume on the signal bar so signals occur on real participation.
3. Bar-close confirmation gate — optionally holds signals until the bar closes, removing intrabar flip-flop.
4. Classifier hit-rate tracking — online comparison of the argmax-posterior prediction to the next realised class, displayed live.
5. Regime-flip detection — separate state machine and alert for bull/bear regime transitions.
6. Diverged-class posterior surfaced in the dashboard, exposing the third class the original computed but hid.
Key Features
From the Original (PMT):
- CVD line built from close-position volume splitting
- Three z-score-normalised classifier features (CVD ROC, price/flow divergence, CVD slope)
- Online Naive Bayes classifier over Bull / Bear / Diverged classes with Gaussian likelihoods
- Posterior-probability entry threshold with trend-EMA and CVD-direction agreement
- Confidence tiers (high / mid / normal) driving signal shape and band opacity
- Confidence-scaled posterior band and regime background shading
- ATR-based SL/TP projection lines
- Warmup gate (LIVE only after the classifier has trained on enough bars)
- Zen mode for clean screenshots
Added in This Version (Viprasol):
- Signal cooldown, volume-surge confluence, and bar-close confirmation filters
- Live classifier hit-rate diagnostic
- Regime-flip detection and alert
- Diverged-class posterior in the dashboard
- Colored TP / ENTRY / SL price labels on the projection lines
- Expanded info dashboard with selectable position
- Six alert conditions with dynamic {{ticker}} / {{close}} / {{interval}} messages
How to Use
Getting Started:
1. Add to a standard candlestick chart (not Heikin Ashi).
2. Wait for the dashboard to read LIVE — the classifier needs to train on enough bars first (status shows WARMUP and an N-trained counter until then).
3. Long signals print below the bar (circle = high conviction, triangle = normal); short signals print above the bar.
Reading the Dashboard:
- Bull P / Bear P / Diverged P — the three class posteriors. The dominant one drives the regime.
- CVD Flow — whether net delta is currently rising (buy) or falling (sell).
- Vol Surge — whether the current bar cleared the volume-surge threshold.
- Hit Rate — share of bars where the most-likely class matched the next realised class.
- N Trained — how many bars the classifier has trained on; ✓ once warmed up.
Recommended Starting Points:
- Crypto/Forex (5m-15m): Lookback 100, Threshold 0.70, Cooldown 3
- Stocks (15m-1H): Lookback 120, Threshold 0.72, Cooldown 5
- Indices (1H-4H): Lookback 150, Threshold 0.75, Cooldown 8
These are starting points only. Volume data quality and tape behaviour differ by instrument — backtest and adjust before trading live.
Settings
Naive Bayes Classifier: classifier lookback (bars before signals go live), entry threshold (minimum posterior), and prior bull probability.
CVD Features: CVD momentum period, CVD slope period, and the z-score normalisation window applied to all features.
Signal Filters (Viprasol): signal cooldown in bars, bar-close confirmation toggle, volume-surge requirement with average length and multiplier.
Signal Levels: show SL/TP lines, show price labels, SL ATR multiplier, risk:reward ratio, ATR period, and trend EMA period.
Visual: posterior band toggle, regime background toggle, and bull / bear / diverged colors.
Dashboard / Display: Zen mode, dashboard toggle, and dashboard position.
Alerts
1. Long Signal — bull posterior cleared the threshold with CVD rising and all filters passed
2. Short Signal — bear posterior cleared the threshold with CVD falling and all filters passed
3. Any Signal — either direction fired
4. High-Conviction Long — long signal with P(Bull) at or above 85%
5. High-Conviction Short — short signal with P(Bear) at or above 85%
6. Regime Flip — the active regime transitioned into a new bull or bear state
All alerts include {{ticker}}, {{close}}, and {{interval}} for dynamic notification messages.
Limitations & Disclaimer
- The classifier trains in-sample on the chart's own history and updates continuously; the displayed hit rate is a diagnostic of class-label agreement, not a trade win rate, and is not predictive of future results.
- CVD here is approximated from candle range and volume, not from true bid/ask tick data. Volume quality varies by broker and instrument, so the same symbol on different feeds can produce different signals.
- The classifier needs a warmup period before signals appear; on fresh charts or low-history symbols it may stay in WARMUP for a long time.
- Posteriors and CVD update intrabar; without bar-close confirmation enabled, signals can appear and disappear before a bar closes.
- SL/TP lines and price labels are visual references only — they do not place or manage trades.
- Filters reduce noise but also reduce signal count; in fast trends the cooldown may delay otherwise valid entries.
- 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 "Institutional Order Flow Signals " by PMT, which provided the CVD construction, the three z-score-normalised classifier features (CVD ROC, price/flow divergence, CVD slope), the online Naive Bayes classifier over Bull/Bear/Diverged classes with Gaussian likelihoods, the posterior-threshold entry logic with trend-EMA and CVD agreement, the confidence tiers, the posterior band and regime background, and the ATR-based SL/TP projection lines. Added by Viprasol: signal cooldown, volume-surge confluence filter, bar-close confirmation gate, live classifier hit-rate tracking, regime-flip detection and alert, the surfaced Diverged-class posterior, TP/ENTRY/SL price labels, an expanded dashboard, and a six-condition dynamic alert set.
Published open-source per PulseWire House Rules.
Indicator
MIDAS Fibonacci Cloud [JOAT]MIDAS Fibonacci Cloud
Introduction
MIDAS Fibonacci Cloud is an open-source VWAP-based analytical tool that combines a MIDAS-anchored volume-weighted average price with six Fibonacci-scaled standard deviation bands, a Z-score probability engine, and a synthetic order flow score to produce an integrated picture of institutional value, statistical deviation, and directional pressure on a single overlay.
The problem this solves is band relevance. Standard VWAP deviations use fixed multipliers (1×, 2×, 3× standard deviation) that carry no structural meaning in market terms. Replacing those multipliers with Fibonacci ratios (0.236, 0.382, 0.5, 0.618, 1.0, 1.618) means the band levels correspond to proportional retracement relationships that institutional participants commonly reference. The 1.618 band in particular acts as an extreme extension zone where reversion probability, quantified by the built-in Z-score engine, typically exceeds 99.7%.
Core Concepts
1. MIDAS VWAP with Configurable Anchoring
The VWAP calculation uses the MIDAS method — cumulative volume-weighted price that resets at a user-selected anchor point rather than running as a continuous session VWAP. The anchor can be set automatically (based on the current timeframe), manually to a specific higher timeframe, or to a precise date. This allows the VWAP to be anchored to any significant market event.
The variance term used for standard deviation is computed directly from the volume-weighted sum of squared prices, producing a statistically correct VWAP standard deviation:
float midasVwap = sumVolPrice / sumVol
float variance = (sumVolSq / sumVol) - math.pow(midasVwap, 2)
float stdDev = math.sqrt(math.max(0, variance))
2. Fibonacci Deviation Bands
Six band pairs are computed above and below the VWAP anchor using the standard deviation scaled by a global sensitivity multiplier and each Fibonacci ratio. Upper bands are colored in the bull theme color with decreasing opacity from band 1 to band 6; lower bands in the bear theme color with the same gradient. A gradient fill connects the outer zone (fib4–fib6) to visually highlight the extreme deviation region.
3. Z-Score and Bell Curve Probability
Each bar's Z-score is computed as the signed distance from the VWAP in units of standard deviation. The dashboard converts this to a mean-reversion probability using standard normal distribution thresholds: within 1σ = 68.2%, within 2σ = 95.4%, within 3σ = 99.7%, beyond 3σ = 99.9%.
4. Synthetic Order Flow Score
A bar-level order flow score is computed from three components: candle body-to-range ratio (directional conviction), volume relative to the 20-bar average (institutional participation), and wick rejection percentage (price acceptance or rejection). These are weighted 40/35/25 and scored 0 to 100. VWAP crossover signals are gated by this score — crossovers with low order flow scores are filtered as noise.
5. Gradient Fill Zones
The two outer Fibonacci bands (fib4 and fib6) are connected with a gradient fill that creates a visual glow effect identifying the extreme deviation zones — the regions where price is statistically most likely to be overextended.
Features
MIDAS VWAP with three anchor modes: Auto (timeframe-adaptive), Timeframe (manual higher TF), Date (specific date anchor)
Six Fibonacci deviation band pairs: Levels at 0.236, 0.382, 0.500, 0.618, 1.000, 1.618 × standard deviation × global sensitivity
Gradient fill on extreme zones: Color-to-transparent gradient between fib4 and fib6 identifies overextension zones
Z-score and reversion probability: Computed every bar with bell curve probability output (68.2% / 95.4% / 99.7% / 99.9%)
Synthetic order flow gate: Body ratio, volume participation, and wick rejection combined into a 0-100 score that gates VWAP cross signals
Candle coloring by Z-score: Bar colors intensity-coded by distance from VWAP — neutral near center, saturated at extremes
Band labels at right edge: Each band level labeled with its Fibonacci ratio and price value, updated each bar
Anchor reset marker: Vertical marker in elite theme color at each VWAP reset point
Four color themes: Phantom, Neon, Classic, Solar
Non-repainting: VWAP and bands computed cumulatively from anchor; no future data referenced
Institutional dashboard: 8-row table showing VWAP price, distance %, Z-score, reversion probability, order flow score, and market state
Input Parameters
Anchor Settings:
Anchor Method: Auto / Timeframe / Date
Manual Timeframe: Timeframe to anchor to when method is Timeframe
Manual Date: Specific timestamp when method is Date
Fibonacci Multipliers:
Global Sensitivity: Scales all band widths proportionally (default: 1.2)
Fib Level 1 through 6: Individual Fibonacci ratios (defaults: 0.236, 0.382, 0.500, 0.618, 1.000, 1.618)
Visual Styles:
Color Theme: Phantom / Neon / Classic / Solar
Highlight Candles: Toggle candle coloring by Z-score
Show Band Labels: Toggle right-edge price labels on each band
Table Position and Size
How to Use This Indicator
Step 1: Choose Your Anchor
For intraday scalping, use Auto or Daily anchor. For swing trading, use Weekly or Monthly. For event-driven analysis, use Date and anchor to a specific earnings release, FOMC announcement, or major swing point.
Step 2: Read Band Levels as Statistical Reference
The 0.5 band is one half standard deviation from VWAP — a mild deviation typical of normal trending behavior. The 1.618 band is the extreme extension zone. Price at the 1.618 band has a statistical reversion probability above 99.7%, but this does not mean reversion is imminent or guaranteed.
Step 3: Check the Reversion Probability
Read the Reversion Prob row in the dashboard. As Z-score rises above 2, reversion probability exceeds 95.4%. This quantifies how unusual the current deviation is relative to the full history from the anchor point.
Step 4: Confirm with Order Flow Score
The Order Flow score reflects whether the current bar has institutional characteristics. A high score (above 60) during a VWAP cross suggests genuine participation. A low score (below 30) during a cross suggests a potentially false signal.
Indicator Limitations
The VWAP standard deviation widens significantly with the anchor period. Bands anchored to a six-month period will be very wide; bands anchored to one day will be tight. The global sensitivity parameter must be adjusted accordingly
The Z-score probabilities assume normally distributed returns, which markets do not produce. Fat tails mean extreme Z-scores occur more frequently than the percentages suggest
The synthetic order flow score uses tick volume as a proxy for actual order flow. On assets with low tick frequency, this approximation is less reliable
VWAP-based analysis is most relevant for liquid instruments
This indicator does not generate entry or exit signals. It provides statistical deviation context
Originality Statement
Replacing standard deviation band multipliers with Fibonacci ratios (0.236 through 1.618), scaled by a volume-weighted standard deviation from a MIDAS anchor, is not replicated in existing open-source Pine Script v6 VWAP publications
The combination of Z-score computation, bell curve probability quantification, and a synthetic order flow score as a gate for VWAP cross signals within a single indicator is an original integration
The candle coloring gradient driven by Z-score intensity provides real-time deviation awareness directly on price bars without requiring a separate oscillator panel
Disclaimer
This indicator is provided for educational and informational purposes only. It is not financial advice. Trading involves substantial risk of loss. Statistical deviation probabilities are based on a normal distribution assumption that financial markets do not satisfy. Past VWAP behavior does not predict future price action. The author accepts no responsibility for trading losses resulting from use of this indicator.
Made with passion by jackofalltrades
Indicator
Sloped LinReg Volume Profile [MarkitTick]💡 This indicator introduces a highly dynamic approach to volume and price analysis by merging standard volume principles with vector-based linear regression. Rather than plotting volume distributions on a static horizontal plane, this tool maps volume nodes parallel to the prevailing mathematical trend. By constructing a localized volume profile that follows the trajectory of price action, it captures momentum-adjusted value areas, providing an advanced lens for interpreting market geometry, support/resistance, and volume anomalies. It is strictly engineered for standard candlestick charts, specifically excluding non-standard formats to ensure pristine volume and price data integrity.
● ✨ Originality and Utility
Standard volume profiles aggregate historical volume at fixed price levels, which often creates fragmented or obsolete value nodes when a market is actively trending. This indicator resolves that structural limitation by angling the volume bins to match the slope of a linear regression channel.
It identifies where volume is concentrated relative to the trend's axis, not just the absolute price.
It reveals volume-weighted momentum, highlighting whether buying or selling pressure is accelerating in the direction of the regression slope.
The tool includes an integrated, dark-mode optimized analytics dashboard that processes quantitative metrics natively on the chart without requiring secondary oscillators.
● 🔬 Methodology and Concepts
The foundational logic relies on computing a rolling linear regression to establish a baseline trajectory over a specified period. The methodology relies on Pine Script's time-series event loop, evaluating arrays of data dynamically as new bars form.
Vector-Based Binning: Instead of horizontal rows, the profile utilizes a dynamic upper and lower deviation band. The mathematical distance between these bands is partitioned into a user-defined number of rows.
Volume Distribution: As the script loops through the historical lookback window, it evaluates the volume of each bar. The volume is divided proportionally across the sloped bins that intersect the bar's high-low range.
Directional Volume (Delta): Each bin further categorizes volume into "Buy" or "Sell" categories based on whether the bar's closing price was greater than or equal to its opening price.
Value Area Calculation: The Point of Control (POC) identifies the sloped bin with the highest total volume. The Value Area High (VAH) and Value Area Low (VAL) expand outward from the POC until they encapsulate a specific percentage of the total allocated volume, dynamically updating as price action develops.
● 🎨 Visual Guide
Every visual element is rendered utilizing Pine Script's advanced drawing arrays and is fully user-configurable to support dark-mode analytical environments.
• The Sloped Profile
Volume Bars: Rendered as polygons extending inward from the right side of the channel. The length of each polygon represents the relative volume allocated to that specific standard deviation bin.
Color Coding: Bullish volume defaults to a translucent teal, while bearish volume displays as a translucent red. Bins experiencing extraordinary volume influxes override with a bright, high-visibility color to highlight anomalous market participation.
• Channel and Level Lines
Regression Bounds: Solid or semi-transparent lines mapping the start and end of the regression channel, defining the upper and lower standard deviation extremes.
POC Line: A thick, solid yellow line plotting the Point of Control across the length of the channel.
Value Area Lines: Dashed blue lines tracking the VAH and VAL. The area between these lines is shaded with a deep blue fill to instantly highlight the trend's core acceptance zone.
Delta POC: A dashed fuchsia line identifying the bin with the most extreme difference between buying and selling volume.
• Analytics Dashboard
Located in the top right, this table provides real-time quantitative readouts formatted to precise tick values.
LinReg Slope: Indicates the mathematical direction of the trend (Bullish/Bearish).
Price Regime: Identifies if the current close is inside the channel or breaking the upper/lower bounds.
Volume POC & Delta POC: Displays the exact price equivalents of the sloped control lines at the current bar index.
Buy Vol Bias: A visual progress bar detailing the ratio of bullish to bearish volume within the regression window.
Vol Compression: Evaluates the density of the value area. A highly concentrated value area yields a higher compression score.
● 📖 How to Use
The indicator serves as a complete environmental map for trending markets.
Trend Qualification: Utilize the slope of the regression channel to establish the primary directional bias. Trades should ideally align with the slope.
Value Area Rejections: The VAH and VAL lines function as dynamic support and resistance. A price action rejection at the VAH within a downward-sloping channel offers a high-probability continuation setup.
POC Magnetism: Price will naturally gravitate toward the sloped POC. Deviations far outside the Value Area typically mean-revert to the POC unless accompanied by a severe volume imbalance.
Interpreting Delta: Compare the traditional POC to the Delta POC. If the Delta POC rests significantly higher or lower than the overall Volume POC, it indicates an aggressive concentration of directional absorption (trapped buyers or sellers).
Repainting Warning: Because this indicator calculates a dynamic linear regression over a moving lookback window, the visual placement of the channel and profile will continually recalculate and shift on the real-time bar until the bar closes. This is standard behavior for dynamic geometric overlays, but users should wait for bar confirmation before executing trades based on channel interactions.
● ⚙️ Inputs and Settings
• Linear Regression Settings
Channel Length: Defines the historical lookback window (default is 100). Higher values create smoother, macro-trend profiles.
Source: The price data used for the regression calculation (Open, High, Low, Close, HL2, HLC3, OHLC4).
Upper/Lower Deviation: Toggles the outer bounds of the channel and sets the standard deviation multipliers.
• Sloped Volume Profile Settings
Number of Rows: The granularity of the profile. More rows create thinner, more precise volume nodes.
Profile Width %: Determines how far the volume polygons stretch across the screen relative to the channel length.
Value Area %: The percentage of total volume to include within the VAH and VAL bounds (default 70%).
• Advanced Quant Analytics
Highlight Footprints: Visually isolates volume bins that exceed two standard deviations above the mean bin volume.
Calculate Anchored VWAP: Toggles the inclusion of an Anchored VWAP (anchored to the start of the regression window) within the dashboard matrix.
⚠️ Disclaimer
All provided scripts and indicators are strictly for educational exploration and must not be interpreted as financial advice or a recommendation to execute trades. I expressly disclaim all liability for any financial losses or damages that may result, directly or indirectly, from the reliance on or application of these tools. Market participation carries inherent risk where past performance never guarantees future returns, leaving all investment decisions and due diligence solely at your own discretion. Indicator
Indicator
CVD Multi-Timeframe DashboardCVD Multi-Timeframe Dashboard
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WHAT IT DOES
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Most CVD tools only show you the timeframe you're standing on. This one shows
you the whole stack at once. Stay on your execution chart — 1m, 3m, 5m,
whatever you trade — and read the net buying vs. selling pressure of the 5m,
15m, 1h, 4h, Daily and Weekly in a single on-chart table.
In one glance you know whether the bigger picture is backing your trade or
fighting it.
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WHY IT'S USEFUL
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Price can rise while volume delta quietly turns negative — buyers stepping
back even as the candle stays green. That divergence is an early warning, and
it's far more powerful when you can see it line up (or break down) across
multiple timeframes:
- All rows green → broad, one-sided buying. Trend trades have the wind behind them.
- All rows red → broad selling pressure. Longs are swimming upstream.
- Mixed rows → the timeframes disagree — often a pullback, rotation, or a
turning point forming.
This turns CVD from a single-timeframe reading into a top-down confluence tool.
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HOW IT WORKS
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Volume Delta = volume hitting the offer (buying) minus volume hitting the bid
(selling). The script uses PulseWire's ta.requestVolumeDelta() engine, which
scans lower-timeframe data to approximate that split as accurately as the
data allows.
Each row anchors that engine to a different timeframe and reports the NET delta
of that timeframe's CURRENT, developing bar — i.e. how much net buy/sell flow
has built up since that candle opened. As a higher-timeframe bar progresses,
its value accumulates; when a new bar opens, it resets. That's why the rows
genuinely differ from one another instead of repeating the same number.
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READING THE TABLE
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TF → the monitored timeframe
CVD Δ → net volume delta of its current bar (auto-formatted K / M / B)
Bias → BUY (positive) or SELL (negative), colour-coded
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SETTINGS
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- Timeframes to monitor — up to 6 slots, each with its own on/off toggle and
timeframe. Set them equal to or higher than your chart timeframe.
- Lower timeframe — resolution used to approximate up/down volume. Automatic
by default; lower = more precise, higher = more history.
- Style — table position, text size, and your own positive/negative colours.
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ALERTS
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"CVD bias flip" fires the moment any monitored timeframe's delta crosses
between positive and negative — useful for catching a shift in flow without
staring at the screen.
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NOTES & LIMITATIONS
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- Monitor timeframes ≥ your chart timeframe; lower ones aren't meaningful.
- The symbol must provide volume data, or the script will tell you.
- Lower-timeframe scanning approximates buy/sell volume — it isn't true
tick or bid/ask data. Use it as a directional gauge, not an exact figure.
Built on PulseWire's open-source CVD logic and the ta.requestVolumeDelta()
function from the PulseWire/ta library. Open-source — feedback and forks
welcome. Indicator
Live Footprint Center Frame📊 Live Footprint Center Frame
Live Footprint Center Frame is a footprint-style chart overlay designed to help traders study candle-by-candle volume behavior directly on the main chart. The script displays centered footprint frames around candles and breaks each candle into multiple price slots so volume structure can be viewed more clearly.
🔎 What It Does
The script visualizes estimated internal candle activity using lower-timeframe OHLCV data. It displays price-slot volume, delta behavior, POC, value area, imbalance markings, absorption-style highlights, delta bars, POC trail, and a compact HUD panel for quick market structure reading.
Key visual elements include:
• Footprint-style candle frames
• Price-slot volume ladder
• Estimated ask/bid style cell values
• Positive and negative delta coloring
• POC highlight
• Value Area highlight
• Imbalance arrows
• Absorption-style border highlights
• Small delta bar below candles
• POC trail between candles
• Compact HUD with ASK, BID, DEL, POC, VA, VOL, CVD, and bias information
🧠 General Logic
Live Footprint Center Frame uses lower-timeframe OHLCV data to approximate how volume is distributed inside each candle. The script divides the candle range into price slots, distributes lower-timeframe volume across those slots, and then calculates estimated delta, total volume, POC, value area, and balance information.
This is not true exchange-level bid/ask footprint data. It is an educational footprint-style approximation based on the data available through PulseWire.
📌 Why It Is Useful
This tool can help traders study more than just candle open, high, low, and close. It gives a clearer visual view of where volume activity is concentrated inside the candle and how that activity changes from candle to candle.
It can be useful for observing:
• Where volume is concentrated
• How POC shifts between candles
• Whether delta supports or disagrees with price movement
• Where value area develops inside the candle
• Whether activity appears balanced or imbalanced
• Possible absorption-style areas
• Short-term volume structure around important price zones
🎨 Visual Reading Guide
Green-style cells show stronger positive delta behavior.
Red-style cells show stronger negative delta behavior.
Orange areas highlight the POC zone.
Blue-style areas highlight the value area.
Yellow borders can show absorption-style conditions.
Small delta bars below candles show candle delta direction and strength.
The HUD gives a quick summary of ASK, BID, DEL, POC, VA, VOL, CVD, and bias.
🧭 How To Use
1. Add the script to a clean chart.
2. Use intraday charts for clearer footprint-style reading.
3. Watch the POC area to see where the highest slot volume appears.
4. Compare candle delta with candle direction.
5. Use value area to understand where most candle activity is located.
6. Use imbalance and absorption highlights as context only.
7. Check the HUD for a quick summary of current candle conditions.
8. Combine this with market structure, support and resistance, liquidity zones, and proper risk management.
⚙️ Settings Overview
Lower timeframe precision controls the lower timeframe data used for the footprint approximation.
Closed bars to keep controls how many previous footprint candles remain visible.
Price slots per candle controls how many horizontal volume rows appear inside each candle.
Cell text controls whether cells show volume, delta, delta percentage, or estimated ask/bid style values.
Frame width adjusts the centered footprint frame width around each candle.
Live candle update allows the active candle footprint to update while the candle is forming.
POC trail connects POC movement between candles.
Value Area highlights the main volume zone.
Imbalance ratio controls imbalance sensitivity.
Absorption slot volume percentage controls absorption-style highlighting.
HUD settings control the compact panel position and visibility.
Color settings allow visual customization of bullish, bearish, neutral, POC, value area, frame, and delta elements.
⚠️ Limitations
This script uses PulseWire-available OHLCV data and lower-timeframe calculations. It does not access true exchange order book data or true bid/ask footprint data on most symbols. Values can vary depending on symbol, timeframe, lower-timeframe availability, volume quality, and chart settings.
The live candle can update while it is still forming. Confirmed candles are more stable than the active candle.
✅ Educational Use Only
This script is provided for educational market analysis and visual order-flow style study. It does not provide financial advice, guaranteed results, or automatic trade decisions. Traders should use proper risk management and combine this information with their own analysis. Indicator
KAS Volume DeltaKAS Volume Delta is a per-candle volume delta histogram that shows the directional buy and sell pressure behind every bar. It reads each candle's direction together with its volume to estimate net order pressure, then adds a signal line and highlights bars with exceptional delta. It is a clean, lightweight way to add order-flow context to any chart that provides volume data.
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WHAT IT DOES
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Plots a per-candle volume delta histogram (green for net buying, red for net selling).
Splits indecision (Doji) candles by their close position so flat bars still carry a directional bias.
Draws a Delta SMA signal line to track whether pressure is accelerating or fading.
Highlights dominant bars where the absolute delta exceeds twice its recent average.
Optionally normalizes delta by average volume for cross-instrument comparison.
Optionally tints the main-chart candles by delta direction (off by default).
Shows a compact status readout: current bias, SMA signal state, dominant state.
Includes four alerts on delta zero-cross and SMA-cross events.
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HOW IT WORKS
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Bar-Level Delta: Each candle's delta is set to +volume when close is above open (net buying) and -volume when close is below open (net selling). This is a transparent estimate computed directly from OHLC and volume, with no lower-timeframe dependency.
Doji Handling (hl2 midpoint): On indecision candles where close equals open, delta is split by the close-versus-midpoint position. A close at or above hl2 yields +0.5x volume (soft buying); below hl2 yields -0.5x volume (soft selling). Flat bars therefore still contribute a directional bias instead of a zero.
Delta SMA Signal Line: A simple moving average of delta over a configurable length (default 21) acts as a signal line. Delta crossing above the SMA indicates buying pressure accelerating; crossing below indicates selling pressure building.
Dominant Bar Detection: The absolute delta is compared against its own 20-bar average. When a bar's magnitude exceeds twice that average, it renders at full opacity and greater width, surfacing exceptional single-bar pressure with no manual reading.
Optional Normalization: When enabled, delta is divided by the 20-bar volume average, producing a relative ratio that makes delta intensity comparable across different instruments and timeframes.
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WHY IT'S UNIQUE
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Unlike PulseWire's native Volume Delta, which relies on lower-timeframe intrabar data and can behave inconsistently on higher timeframes or illiquid symbols, this indicator computes a transparent bar-level delta directly from each candle, with no lower-timeframe dependency.
Unlike scripts that assign zero delta to indecision candles, this indicator splits Doji volume by the close-versus-midpoint (hl2) position at plus or minus 0.5x volume, preserving directional bias on flat bars.
Unlike cumulative delta tools that focus on a single running aggregate line, this indicator stays per-candle and flags dominant bars whenever delta magnitude exceeds twice its own recent average.
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HOW TO USE
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Add to any timeframe; works well from 5m to 4h for intraday and swing context.
Default settings are calibrated for liquid symbols (major crypto, large-cap stocks, major FX).
Read the histogram against the SMA signal line: sustained bars beyond the line confirm momentum; dominant bars mark exceptional initiation or exhaustion.
Enable Normalization when comparing delta intensity across different instruments.
Pair with your existing price structure or trend tools for confluence.
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LIMITATIONS
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Requires a symbol that provides volume data; on feeds without volume the histogram will be empty.
The bar-level method is an approximation of order flow based on candle direction. It does not measure true intrabar buy/sell execution.
The SMA signal line lags by design and reacts after a move has begun.
This tool is for analytical purposes only and does not constitute financial advice.
Past signal behavior is not indicative of future results.
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KNECHT ALPHA SIGNALS
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Institutional-grade Volume Delta, Momentum, and MTF Analysis for PulseWire.
Built for traders who demand precision over noise. Indicator
Daily Bias Liquidity Profiler [MarkitTick]💡 This advanced analytical framework is engineered to decode market structure, track liquidity sweeps, and map volatility profiles on an intraday basis. Built natively for the sophisticated Pine Script version 6 environment, this indicator transcends basic charting by aggregating Previous Day metrics, session-specific liquidity pools, Fair Value Gap (FVG) confluences, and probabilistic bias models into a single, cohesive visual interface. It is designed for quantitative and algorithmic traders who require a deep understanding of market mechanics, offering unparalleled insight into where resting liquidity is likely positioned and how daily volatility is structured based on pure statistical variance.
✨ Originality and Utility
● Comprehensive Architectural Design
Most standard technical indicators focus on a single mathematical transformation, such as moving averages or simple momentum oscillators. The originality of this profiler lies in its multi-faceted approach, unifying advanced price action concepts that typically require multiple separate scripts. By leveraging Pine Script version 6 User-Defined Types (UDTs), the script maintains an incredibly lightweight footprint while calculating complex, interconnected market states without degrading chart performance.
● Algorithmic Session Tracking
The utility of the indicator is profoundly evident in its automated handling of time-based liquidity. Rather than manually drawing boxes around the Asian and London sessions, the script dynamically profiles these periods. It treats their boundaries not as mere historical artifacts, but as active, magnetic liquidity pools that drive future price action.
● Real-Time Bias Computation
This tool introduces a dynamic probability engine that continuously evaluates the likelihood of price sweeping the Previous Day High or Previous Day Low based on current opening momentum and accumulated volatility. This gives traders a statistical edge in determining their daily directional bias without relying on subjective chart patterns.
🔬 Methodology and Concepts
● Daily Range Profiling
At the core of the script's methodology is the Daily Profile engine. It systematically captures the Previous Day High, Previous Day Low, and Previous Day Close. These levels represent the absolute boundaries of yesterday's value area. The script calculates the total range of the previous day to establish a baseline for current-day expectations and statistical deviation limits.
● Session Liquidity Engineering
The script defines distinct macro-economic windows, specifically targeting the Asian and London trading sessions.
Asian Session Consolidation: Often characterized by tight ranges, the Asian session builds resting liquidity above its highs and below its lows. The algorithm tracks these exact price levels dynamically.
London Session Expansion: The script monitors the London open for initial expansion moves that frequently sweep the liquidity accumulated during the Asian session, triggering internal alerts when these specific thresholds are pierced.
● Fair Value Gap (FVG) Confluence
Market imbalances are identified through a precise Fair Value Gap detection algorithm. The script does not just highlight every random gap on the chart; it specifically looks for FVG formations that align with the directional bias and occur in proximity to session sweeps. This creates a high-probability confluence signal, indicating that the market is rapidly moving to rebalance price delivery.
● Advanced Volatility Metrics
Volatility is not measured through standard lagging indicators. Instead, the script utilizes an Average Daily Range (ADR) calculation. It dynamically tracks the percentage of the ADR that has been fulfilled during the current day. By calculating how many bars it typically takes to reach standard deviation milestones of the ADR, the script provides a predictive model for intraday exhaustion.
● Dynamic Bias Scoring Engine
The indicator calculates a running score to determine the daily bias. It awards positive and negative weights based on several factors: the location of the current price relative to the daily open, whether a session liquidity sweep has occurred, the presence of FVG confluences, and the proximity to the Previous Day's extremes. This score is translated into a probability percentage for sweeping either the high or the low.
🎨 Visual Guide
● Liquidity Zones and Range Boxes
Session Boxes: Distinct, shaded rectangular regions drawn over the chart to encapsulate the high and low bounds of the Asian and London sessions. These boxes visually isolate the accumulation phases.
Range Zone Boxes: Projected areas above and below the current price action representing high-probability reversal or expansion targets based on the ADR calculations.
● Structural Lines
Previous Day Boundaries: Solid, distinct horizontal lines marking the exact price levels of the Previous Day High and Previous Day Low.
Midlines: Subtler horizontal lines traversing the center of the calculated range zones to indicate equilibrium levels where price action may stall or pivot.
● Dynamic Labels and Alerts
Sweep Labels: Textual annotations that appear exactly when price pierces a session boundary or previous day extreme, explicitly confirming a liquidity sweep.
Bias State Text: A dedicated label displaying the current statistical bias, updating dynamically as volatility metrics shift throughout the trading day.
📖 How to Use
● Establishing Directional Bias
Begin your analysis by referencing the Bias State metric displayed on the chart. If the script calculates a high probability of sweeping the Previous Day High, prioritize bullish setups. Conversely, a high probability for the Previous Day Low dictates a bearish posture. Do not fight the algorithmic bias without significant contradicting evidence from higher timeframes.
● Executing the Sweep and Reverse
Monitor the Asian and London session boxes. A prime setup occurs when price aggressively breaks outside a session box and immediately faces strong rejection. This false breakout is the trigger for a mean-reversion trade targeting the opposite side of the session range. Look for the script's sweep labels to confirm the level has been compromised.
● Filtering with Volatility
Consult the Volatility Metrics before entering a trade. If the current daily range has already fulfilled a high percentage of the Average Daily Range (ADR), the probability of further directional expansion diminishes. In such cases, avoid breakout trades and look for exhaustion reversals at the projected Range Zone extremes.
● Utilizing FVG Confluence
When a sweep occurs, wait for the algorithm to highlight a valid Fair Value Gap in the opposite direction of the sweep. Enter the market on the retracement into this FVG, placing stop losses just beyond the sweep extreme for optimal risk-to-reward ratios.
⚙️ Inputs and Settings
● Time and Session Configuration
Asia Session Hours: Allows the user to precisely define the start and end times of the Asian session based on their specific exchange and timezone.
London Session Hours: Configurable inputs to match the precise opening and closing dynamics of the European market.
● Volatility Parameters
ADR Lookback Length: The historical window (number of days) used to calculate the Average Daily Range. A shorter lookback makes the indicator more responsive to recent volatility spikes, while a longer lookback provides a smoother, more stable expected range.
● Visual Toggles
Show Session Boxes: A boolean toggle to enable or disable the shaded background for trading sessions, allowing for a cleaner chart if only the boundary lines are desired.
Show Sweep Labels: Allows users to turn off the text annotations for liquidity sweeps to reduce visual clutter during highly volatile, choppy market conditions.
🔍 Deconstruction of the Underlying Scientific and Academic Framework
● Auction Market Theory and Liquidity
The foundational logic of this script is deeply rooted in Auction Market Theory. Financial markets operate as a continuous dual-auction process, seeking areas of high liquidity to facilitate trade execution for large-scale participants. The script mathematically models this by isolating session highs and lows, recognizing them as high-density zones for stop-loss orders and breakout triggers.
● Statistical Variance and Range Forecasting
The Volatility Metrics engine relies on historical variance. By computing the Average Daily Range over a predefined dataset, the script applies a simplified standard deviation model to predict the expected boundaries of the current day. This creates a probabilistic bell curve of expected price distribution, where the extremes of the ADR represent the tails of the distribution curve, indicating areas of high mean-reversion probability.
● Microstructural Order Flow Imbalances
The Fair Value Gap (FVG) detection logic is an algorithmic representation of order flow imbalance. In academic market microstructure, when price moves with extreme velocity, it creates a void in the bid-ask spread where only one side of the market was effectively matched. The script mathematically identifies these structural inefficiencies, utilizing them as high-probability zones for future price retracements, as the market naturally seeks to re-auction these inefficiently traded areas.
● Probabilistic Modeling
The bias engine utilizes a rudimentary form of multi-factor linear weighting. By assigning specific values to isolated market events (e.g., crossing the open price, sweeping a specific session), the model computes a composite score. This deterministic approach strips away emotional trading by replacing it with a quantifiable metric that guides directional expectations.
⚠️ Disclaimer
All provided scripts and indicators are strictly for educational exploration and must not be interpreted as financial advice or a recommendation to execute trades. I expressly disclaim all liability for any financial losses or damages that may result, directly or indirectly, from the reliance on or application of these tools. Market participation carries inherent risk where past performance never guarantees future returns, leaving all investment decisions and due diligence solely at your own discretion. Indicator
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Order Block Matrix Trade Engine [Alpha Extract]A sophisticated institutional-grade order block ecosystem combining advanced liquidity mapping, dynamic volume-distribution visualization, and fully integrated automated trade-engine logic into a unified execution framework. The system identifies high-probability bullish and bearish order blocks through adaptive breadth analysis, overlays volumetric mountain profiling to visualize liquidity concentration inside each block, and automatically converts qualified reactions into fully managed trade setups with real-time performance analytics. By integrating smart mitigation handling, ATR-adaptive risk management, rejection-based confirmations, and live statistical tracking, the indicator delivers a complete order flow trading environment designed for precision execution across trending and ranging markets.
🔶 Advanced Institutional Order Block Detection Engine
Implements a sophisticated order block discovery framework using multi-candle structure analysis combined with ATR-adjusted breadth logic to isolate high-quality institutional accumulation and distribution zones. The system scans for bullish and bearish displacement structures, validates directional intent through sequential candle confirmation, and dynamically defines order block boundaries using either Full Candle mode or Breadth mode for adaptive precision.
= checkObCondition(obLookback)
if is_bullish
topValue = high
botValue = low
if is_bearish
topValue = high
botValue = low
🔶 Liquidity Mountain Volume Profiling System
Features a unique volumetric “mountain” rendering engine that visualizes liquidity density inside each order block through dynamically generated layered volume structures. Instead of traditional flat rectangles, the system creates evolving liquidity formations representing volume concentration and order flow intensity across the zone. Each mountain adapts in real-time based on relative block strength versus average market participation.
The engine applies multiple gaussian distribution curves combined with sinusoidal ridge modulation to simulate realistic institutional liquidity concentration, creating an intuitive representation of where absorption and participation occurred inside the order block.
🔶 Smart Order Block Strength Classification
Calculates dynamic order block strength using relative volume normalization against rolling market participation averages. Each block receives a live strength multiplier representing institutional conviction.
strength = ta.sma(volume, 20) > 0 ? block.totalVolume / ta.sma(volume, 20) : na
Higher strength blocks represent stronger participation and receive enhanced trade priority within the trade engine. This allows traders to isolate high-conviction zones instead of treating all order blocks equally.
🔶 Adaptive Mitigation & Invalidity Framework
Implements intelligent mitigation handling to continuously maintain chart cleanliness and signal quality. The system automatically removes invalidated order blocks once price fully breaches the defined risk boundary using configurable Close or Wick mitigation logic.
Close-based mitigation waits for candle body confirmation beyond the zone, while Wick-based mitigation aggressively removes invalidated structures immediately upon liquidity sweep. This flexibility allows adaptation between conservative and aggressive execution styles.
🔶 Automated Order Block Trade Engine
Transforms passive order block analysis into a complete semi-automated execution framework. Once price interacts with a qualified order block, the system automatically generates trade entries, calculates stop-loss placement, projects take-profit targets, and tracks the trade lifecycle in real time.
The engine supports both:
• Touch Entries — executes immediately when price enters the order block.
• Rejection Entries — waits for confirmation rejection before triggering.
triggered = trade_triggerMode == "Touch" ? inside : rejected
This allows traders to adapt between aggressive front-running entries and more conservative confirmation-based execution.
🔶 Dynamic Risk-to-Reward Projection System
Features fully automated risk management architecture calculating stop-loss and take-profit placement immediately upon entry. The system supports both:
• Block Edge Stops — uses structural order block invalidation.
• ATR Stops — volatility-adjusted dynamic stop placement.
Take-profit targets are generated through configurable risk-to-reward multipliers.
risk = math.abs(obEntry - obSL)
obTP := obEntry + risk * trade_rr
This creates standardized trade management across all setups while maintaining volatility awareness.
🔶 Real-Time Trade Lifecycle Tracking
Provides comprehensive active trade monitoring with live entry, stop-loss, take-profit, floating R-multiple, timer tracking, and duration analytics directly on the chart.
The system continuously tracks:
• Live R performance
• Bars held
• Time in trade
• Strength of originating order block
• Trade direction
• Open trade status
All statistics update in real time without repainting.
🔶 Institutional Performance Analytics Dashboard
Features a fully integrated professional trade statistics panel providing institutional-level strategy analytics directly inside PulseWire.
The framework tracks:
• Total trades
• Win rate
• Net R
• Average R
• Profit factor
• Buy vs sell performance
• Best and worst trades
• Average holding duration
• Winning and losing streaks
profitFactor = obSumLossR > 0 ? obSumWinR / obSumLossR : na
avgR = obTotalTrades > 0 ? obNetR / obTotalTrades : na
This transforms the indicator into a fully self-monitoring execution environment rather than a simple visual overlay.
🔶 Advanced Visual Architecture
Creates an institutional-quality visual experience through layered transparency systems, dynamic border rendering, volumetric liquidity structures, and adaptive color gradients.
Bullish order blocks use deep liquidity teal structures while bearish blocks utilize aggressive distribution crimson tones. Volume badges dynamically update with:
• Total order block volume
• Relative strength multiplier
• Block direction
The system maintains full visual clarity even during high-density market conditions.
🔶 Smart Block Overlap Resolution
Implements automatic overlapping order block resolution preventing redundant liquidity zones from cluttering the chart. When new blocks intersect existing structures, the framework intelligently prioritizes the latest active institutional zone and removes obsolete overlapping regions.
This creates significantly cleaner market structure visualization compared to traditional order block indicators.
🔶 Window-Based Performance Optimization
Features advanced processing optimization using configurable historical windowing to reduce unnecessary rendering overhead while maintaining full historical integrity.
This allows smooth performance even on lower timeframes with dense historical data.
🔶 Non-Repainting Confirmation Logic
Built using fully confirmed bar-state logic ensuring all order blocks, entries, exits, and statistical calculations remain stable after candle close. The framework avoids intrabar repainting behaviour commonly found in lower-quality order block systems.
This guarantees consistent backtesting behaviour and reliable live-market execution.
🔶 Comprehensive Alert Ecosystem
Provides a complete professional alert infrastructure supporting both discretionary traders and automated webhook systems.
Alerts include:
• New Bullish Order Block
• New Bearish Order Block
• Bullish Rejection Confirmation
• Bearish Rejection Confirmation
• Buy Entry Trigger
• Sell Entry Trigger
• Take Profit Hit
• Stop Loss Hit
Webhook-ready JSON payloads enable direct integration into external automation systems and execution infrastructure.
🔶 Why Choose Order Block Matrix Trade Engine ?
This indicator goes far beyond traditional order block visualization by combining institutional liquidity mapping, volumetric participation analysis, automated execution logic, and professional-grade statistical tracking into one unified framework. Rather than simply drawing supply and demand zones, the system actively interprets order flow quality, measures participation strength, filters low-conviction setups, and transforms reactions into fully managed trade structures with integrated risk management. Indicator
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CVD MTF Dashboard with InsightsThe hardest part about Cumulative Volume Delta isn’t finding a CVD indicator.
It’s actually understanding what the data is trying to say before price punishes you for misunderstanding it.
Most traders who first encounter CVD quickly realize the same thing:
The raw data is powerful…
But interpreting it in real time is difficult.
Especially across multiple timeframes.
Especially during transitions, traps, divergences, and session rotations.
That’s where this dashboard separates itself from typical CVD tools.
Instead of simply plotting delta and forcing the user to “figure it out,” this system acts more like a real-time market interpreter — translating complex participation behavior into structured, readable context that traders can immediately act on.
At its core, the dashboard combines:
Multi-timeframe CVD flow analysis
Buyer vs seller participation modeling
Momentum acceleration detection
ADX regime filtering
Divergence recognition
Trend freshness analysis
Context-aware market insights
But the real innovation is not any single component.
It’s the way the information is organized into a decision-support framework that dramatically lowers the learning curve of CVD interpretation while still remaining advanced enough for experienced traders.
The dashboard doesn’t just tell you:
“Buyers are active.”
It tells you things like:
Whether participation is expanding or fading
Whether momentum is accelerating or slowing
Whether lower timeframes are leading higher timeframes
Whether the move is fresh or becoming exhausted
Whether divergence warns against chasing
Whether conditions favor continuation, patience, or caution
That is an enormous difference.
Most CVD tools leave inexperienced traders staring at squiggly lines trying to guess what matters.
This dashboard transforms that complexity into readable market structure.
The INSIGHTS engine is arguably the standout feature.
Rather than forcing traders to manually interpret conflicting signals, the system synthesizes
multiple layers of market behavior into plain-English contextual guidance such as:
“Strong bullish participation. CVD supports long continuation setups.”
“Bear trend active, but freshness is fading. Avoid chasing lows.”
“Participation is weak and rotational. Patience favored.”
“Divergence active. Watch for traps, failed continuation, or reversal pressure.”
This is where the indicator begins to feel less like a traditional study and more like a professional-grade market intelligence panel.
Another standout feature is the emphasis on freshness.
Many indicators can identify trend direction.
Very few can communicate whether the move is still developing or already becoming stale.
By tracking the age and recency of directional participation across multiple timeframes, the dashboard helps traders avoid one of the most common retail mistakes:
entering trends after the highest-probability portion of the move has already occurred.
The visual design also deserves recognition.
Rather than cluttering the screen with overwhelming oscillator noise, the interface presents institutional-style information architecture:
Clean state classifications
Structured momentum visualization
Simplified buyer/seller participation bars
Multi-timeframe alignment summaries
Minimalistic premium styling
Readable divergence alerts
Clear regime identification
The result is an indicator that feels surprisingly approachable despite the sophistication under the hood.
For newer traders, it makes CVD understandable.
For experienced traders, it makes CVD actionable.
And that combination is rare.
In a market flooded with recycled oscillators and cosmetic overlays, this dashboard stands out because it solves a real problem:
It bridges the gap between raw order-flow complexity and practical decision-making.
This is the kind of tool that feels less like another indicator…
and more like having a professional market interpreter sitting beside you during live trading.
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Order Flow VWAP Deviation [LuxAlgo]The Order Flow VWAP Deviation indicator provides a comprehensive toolkit for analyzing market structure through volume-weighted price levels, liquidity zones, and order flow imbalances.
It combines classic VWAP standard deviation bands with dynamic stop-run detection and localized volume profiles to identify high-probability reversal and expansion zones.
🔶 USAGE
The tool is designed for intraday and swing traders who focus on liquidity "sweeps" and mean reversion. By plotting significant pivot highs and lows (Stop Zones) alongside VWAP bands, the indicator highlights areas where institutional liquidity is likely resting.
When price pierces these zones on high volume, the script flags a potential stop-run, signaling that a trend exhaustion or reversal may be imminent.
🔹 Stop Zones and Liquidity
The script tracks historical pivot points and extends them as dashed lines. When price crosses these lines with a volume surge (defined by the Stop Zone Volume Multiplier), it indicates that resting orders have been triggered.
These events are marked with circles on the chart to alert the trader to a shift in order flow.
🔹 Anchor Volume Profile
A specialized Volume Profile anchors to a specific time range (e.g., New York Open). This profile appears on the right side of the chart, highlighting the Point of Control (POC) in yellow and high-volume "Stop Nodes" in orange.
Each significant node displays a volume multiplier (e.g., 2.5x) and a buyer/seller bias (B/S) to show which side of the market is dominant at that price level.
🔹 Inversion Fair Value Gaps (IFVGs)
The indicator can optionally track Fair Value Gaps that have been "inverted." An IFVG occurs when a bearish gap is closed above or a bullish gap is closed below.
These act as refreshed support or resistance levels and are visualized as boxes on the chart until they are mitigated by price action.
🔶 DETAILS
The script utilizes a proxy for delta volume, calculating the bias based on the relationship between the close and the high/low of each bar within the profile calculation.
The Stop Zone logic uses a lookback period to ensure only significant structural pivots are considered, preventing chart clutter while focusing on major liquidity pools.
🔶 SETTINGS
VWAP Anchor: Determines the period for VWAP calculation (Session, Week, Month, or Year). Std. Dev Multiplier: Sets the distance for the upper and lower deviation bands. Pivot Lookback: The number of bars used to identify significant highs and lows for stop zones. Max Active Lines: Limits the number of horizontal liquidity levels displayed on the chart. Profile Rows: Adjusts the vertical granularity of the anchored Volume Profile. Anchor Time Range: Specifies the exact time (HHMM) used to start the volume collection for the profile. Stop Zone Volume Multiplier: Defines the threshold relative to average volume required to highlight a "Stop Node" in the profile. Show IFVGs: Toggles the visibility of Inversion Fair Value Gaps. IFVG Volatility Filter: A multiplier used to ensure only gaps formed by significant price moves are tracked. Indicator
VWAP DELTA🇬🇧 ENGLISH
VWAP DELTA is a Volume Weighted Average Price that uses delta volume magnitude as its weighting factor instead of total volume. Unlike a standard VWAP — where every bar contributes proportionally to its raw volume — VWAP DELTA gives more weight to bars where buyers or sellers clearly dominated, and less weight to bars where volume was balanced between both sides. The result is a price level that better reflects where the market agreed during high-conviction moves.
HOW IT WORKS:
Delta volume is estimated from each candle's shape by splitting volume between buyers and sellers using the high-low range. Bars that close near the high have high buy delta; bars that close near the low have high sell delta. The VWAP is then computed weighting each price by the absolute value of its delta, so only directional pressure counts.
COMPONENTS:
1. Delta Volume — Estimated as: Buy Vol = Volume × (Close − Low) / (High − Low), Sell Vol = Volume × (High − Close) / (High − Low). Delta = Buy Vol − Sell Vol.
2. VWAP Delta — Formula: Sum(HLC3 × |Delta|) / Sum(|Delta|), anchored and reset at each new period (Session, Week, Month, Quarter or Year).
3. Standard Deviation Bands — Delta-weighted variance bands above and below the VWAP Delta, showing price extension during high-conviction moves. Useful as dynamic support and resistance zones.
4. Dynamic Color — The line turns teal when cumulative session delta is positive (buyers dominating the strong moves) and red when negative (sellers dominating). At a glance you know which side has been more active in the meaningful bars of the session.
USE CASES:
• Confirm the direction of "active money" — price above VWAP Delta means high-conviction moves were bullish.
• Filter false signals — balanced-volume candles barely move the indicator, reducing noise.
• Spot divergences — price rising but VWAP Delta lagging or falling signals a rally with weak buying conviction.
• Intraday bias — color tells you who dominated the strong bars of the session without reading order flow tools.
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🇪🇸 ESPAÑOL
VWAP DELTA es un Precio Medio Ponderado por Volumen que usa la magnitud del volumen delta como factor de ponderación en lugar del volumen total. A diferencia del VWAP estándar — donde cada vela contribuye de forma proporcional a su volumen bruto — VWAP DELTA otorga más peso a las velas donde compradores o vendedores dominaron claramente, y menos peso a las velas donde el volumen estuvo equilibrado entre ambos lados. El resultado es un nivel de precio que refleja mejor dónde acordó el mercado durante los movimientos de alta convicción.
CÓMO FUNCIONA:
El volumen delta se estima a partir de la forma de cada vela dividiendo el volumen entre compradores y vendedores usando el rango high-low. Las velas que cierran cerca del máximo tienen alto delta comprador; las que cierran cerca del mínimo tienen alto delta vendedor. El VWAP se calcula ponderando cada precio por el valor absoluto de su delta, de modo que sólo cuenta la presión direccional.
COMPONENTES:
1. Volumen Delta — Estimado como: Vol Comprador = Volumen × (Close − Low) / (High − Low), Vol Vendedor = Volumen × (High − Close) / (High − Low). Delta = Vol Comprador − Vol Vendedor.
2. VWAP Delta — Fórmula: Sum(HLC3 × |Delta|) / Sum(|Delta|), anclado y reiniciado en cada nuevo período (Sesión, Semana, Mes, Trimestre o Año).
3. Bandas de Desviación Estándar — Bandas de varianza ponderada por delta por encima y por debajo del VWAP Delta, que muestran la extensión del precio durante movimientos de alta convicción. Útiles como zonas dinámicas de soporte y resistencia.
4. Color Dinámico — La línea se muestra en verde azulado cuando el delta neto de la sesión es positivo (compradores dominando los movimientos fuertes) y en rojo cuando es negativo (vendedores dominando). De un vistazo sabes qué lado ha sido más activo en las velas importantes de la sesión.
CASOS DE USO:
• Confirmar la dirección del "dinero activo" — precio por encima del VWAP Delta significa que los movimientos de alta convicción fueron alcistas.
• Filtrar señales falsas — las velas de volumen equilibrado apenas mueven el indicador, reduciendo el ruido.
• Detectar divergencias — precio subiendo pero VWAP Delta plano o bajando señala un rally sin convicción compradora real.
• Sesgo intradiario — el color indica quién dominó las velas importantes de la sesión sin necesidad de herramientas de order flow. Indicator
Dominance Sweep Tracker [JOAT]Dominance Sweep Tracker
Introduction
Dominance Sweep Tracker (DST) is an open-source, institutional-grade order flow engine that combines three detection layers — market structure dominance, liquidity sweep identification, and order block entry confirmation — into a single, unified trading framework. It tracks confirmed swing pivots, identifies when body-close breaks through those levels signal a structural shift in market dominance, detects liquidity sweeps where wicks pierce prior pivots and price closes back inside, and marks the last opposing candle before each sweep as the entry order block. ATR-based trade visualizations with risk/reward boxes and per-session win rate tracking complete the system.
The core problem DST solves is the fragmentation of ICT order flow analysis across multiple manual steps. Traders watching for structural dominance shifts, hunting sweeps of prior swing liquidity, and locating order block entries typically need to perform those three steps separately, often missing the interaction between them. DST connects all three into a single detection pipeline that fires on confirmed bars, identifies the relevant entry zone automatically, and tracks the resulting trade outcome against configurable TP and SL levels across four distinct trading sessions.
Core Concepts
1. Swing Pivot Detection
DST uses Pine Script's built-in ta.pivothigh() and ta.pivotlow() functions to identify confirmed swing highs and lows. These are inherently non-repainting — a pivot is only confirmed after the required number of bars on both sides have formed. The most recent confirmed swing high and low are stored as the active liquidity levels.
2. Market Dominance Detection
A dominance shift occurs when a bar's body — not its wick — closes beyond a confirmed swing level. Bullish dominance is confirmed when the close exceeds the most recent swing high. Bearish dominance is confirmed when the close falls below the most recent swing low. This body-close requirement eliminates wick-based false breaks and isolates genuine structural displacement:
bool bullDom = close > swingHi and open > swingHi
bool bearDom = close < swingLo and open < swingLo
3. Liquidity Sweep Detection
A sweep occurs when a bar's wick pierces a prior swing level and the close returns back inside. DST applies a minimum wick depth filter (default: 0.2 ATR) to avoid noise from trivial touches. A bullish sweep fires when the low exceeds the swing low but the close is above it. A bearish sweep fires when the high exceeds the swing high but the close is below it. Both are gated on barstate.isconfirmed.
4. Order Block from Last Opposing Candle
When a sweep is confirmed, DST scans back through recent bars to identify the last candle that moved in the opposite direction of the sweep. For a bullish sweep setup (price swept below a low and recovered), the last bearish candle before the sweep is marked as the entry order block. This zone represents the origin of the move that created the liquidity pool — the level where institutional positioning likely occurred.
5. Session-Aware Trade Tracking
Each detected signal is tagged with the trading session active at that bar (Asia, London, NY, or Off-Session). ATR-based stop loss and take profit levels are calculated at signal time and visualized as color-coded boxes. Outcome is tracked against those levels, and win/loss counters are maintained per session for statistical context.
Features
Swing Pivot Tracking: Confirmed swing highs and lows rendered as horizontal reference lines — the primary liquidity pool levels
Body-Close Dominance Detection: Structural breaks confirmed only on candle body close beyond swing level, eliminating wick-false-break noise
Liquidity Sweep Detection: Wick-beyond, close-inside detection across all recent pivots with configurable ATR depth filter
ATR Wick Filter: Minimum wick penetration depth prevents noise from triggering sweep signals on trivial pokes
Order Block Identification: Automatic scan of last opposing candle before each sweep — rendered as a colored zone box
OB Touch Signal: Secondary signal fires when price returns to touch an active order block zone
EMA 750 Trend Filter: Optional filter that requires price to be on the correct side of the EMA 750 for long and short signals
ATR-Based TP/SL Boxes: Risk (SL) and reward (TP) areas visualized as colored boxes from entry — default 1.5× ATR stop, 3:1 reward
Session Detection: Asia, London, NY, and Off-Session windows (configurable) tag each signal for session-specific tracking
Per-Session Win Rate: Independent win/loss/total counters for all four sessions displayed in the dashboard
Non-Repainting: All signals gated on barstate.isconfirmed; ta.pivothigh/ta.pivotlow inherently confirmed
Dashboard (Top Right): Session win rates for Asia, London, NY, and Off-Session with color-coded performance indicators
BOS Dominance Labels: "BOS ▲" and "BOS ▼" dominance labels replace simple B/S markers — clearly communicates the direction of each confirmed structural break on the chart
Order Block Dominance Labels: "BULL DOM" and "BEAR DOM" labels placed inside order block boxes at creation — identifies the structural context in which each OB was formed
Dominance Candle Tint: Candles colored teal when dominant bull conditions are active, rose when dominant bear — encodes structural dominance state directly into price bar color
Upgraded TP/SL Pip Labels: SL and TP labels now include session name and RR ratio in the format "142p TP 3.0R | London" — full trade context visible directly on the chart
Sweep and Dominance Shift Counters: Sweep counter and dominance shift counter displayed in the dashboard — cumulative structural activity metrics updated on each confirmed event
Expanded Dashboard (8 Rows): Dashboard expanded to 8 rows — now includes sweep count and dominance shift count alongside existing session win rate data
Input Parameters
Pivot Settings:
Swing Lookback: Number of bars on each side required to confirm a pivot (default: 5)
Sweep Settings:
Min Sweep Wick (ATR×): Minimum wick depth relative to ATR (default: 0.2)
Sweep Lookback Bars: How many recent bars to scan for swing levels to test against (default: 50)
Order Block:
OB Scan Back: How far back to search for the last opposing candle (default: 10)
OB Max Active: Maximum number of live order blocks displayed simultaneously (default: 5)
Filter Settings:
EMA Trend Filter: Require price on correct side of EMA 750 for signal confirmation (default: enabled)
EMA Length: Period for the trend EMA (default: 750)
Risk Management:
ATR Length: Period for ATR calculation (default: 14)
ATR SL Multiplier: Stop loss distance as ATR multiple (default: 1.5)
Reward:Risk Ratio: Take profit as multiple of stop distance (default: 3.0)
Session Settings:
Timezone, Asia/London/NY window hours — fully configurable per session
How to Use This Indicator
Step 1: Identify the Current Structural Context
Swing highs and lows on the chart represent the live liquidity pools. Price above the most recent swing high in an uptrend signals buy-side liquidity accumulation. Price below swing lows signals sell-side liquidity. The dominance signal (filled triangle) fires when price body-closes through a swing, marking a genuine structural shift.
Step 2: Monitor for Sweep Signals
When a sweep label appears, price has taken liquidity from a swing level and rejected back inside. This is the setup precondition — the liquidity event has occurred. The order block zone identified at that bar is the entry reference level.
Step 3: Enter at the Order Block
The last opposing candle before the sweep is rendered as a box. Price returning to that zone represents a potential re-entry into the displacement move. Combine with EMA 750 trend direction for higher-probability setups.
Step 4: Manage the Trade with TP/SL Boxes
ATR-based SL and TP boxes extend from the entry bar. Stop loss is set 1.5× ATR below (long) or above (short) entry. Take profit is at 3:1 reward by default. Both are fully configurable.
Step 5: Review Session Performance
The per-session win rate table highlights which killzones have historically produced the best outcomes on your instrument and timeframe. Use this to weight your activity toward higher-performing sessions.
Indicator Limitations
Swing pivot detection requires a minimum number of confirmed bars on both sides of the pivot. On very fast timeframes (sub-1 minute), pivot lookback may be impractically long relative to the session window
The order block scan selects the last opposing candle within a fixed lookback window. In trending conditions with extended single-direction candle runs, no opposing candle may be found within the scan range
Session win rate counters reset when the indicator is removed and re-added, or when the chart is refreshed with no history. They are valid only within the current chart session
The EMA 750 filter is based on a 750-period EMA. On shorter timeframes, 750 bars may not be available on instruments with limited history, causing the EMA to be inaccurate until sufficient data loads
ATR-based TP and SL levels are static from entry — they do not trail or adjust. Volatile markets may require manual adjustment of the ATR multiplier for realistic risk sizing
Originality Statement
DST integrates three distinct ICT order flow concepts — structural dominance, liquidity sweeps, and order block entry — into a unified detection and tracking pipeline. This combination is original for the following reasons:
The three-layer detection pipeline (dominance → sweep → order block) processes each concept in sequence, where a sweep only becomes significant in the context of the structural level it targets, and the order block is identified relative to that sweep specifically — not as an independent scan
The body-close dominance confirmation (requiring the entire body, not just the wick, to close beyond the swing level) is a stricter filter than standard breakout detection, reducing false structural break signals in choppy conditions
Per-session win rate tracking, maintained independently for four distinct trading windows within a single indicator, provides empirical context for which market periods generate the most consistent outcomes on a given instrument
The order block touch signal — a secondary detection layer that fires when price returns to interact with a previously identified OB zone — closes the loop between zone creation and zone interaction without requiring separate indicators
Disclaimer
This indicator is provided for educational and informational purposes only. It is not financial advice or a recommendation to buy or sell any financial instrument. Trading involves substantial risk of loss. Liquidity sweeps and order block zones are historical reference levels. The appearance of a sweep signal does not guarantee price continuation in any direction. Session win rates are based on historical bar data and do not predict future performance. Always apply proper risk management. The author is not responsible for any trading losses resulting from the use of this indicator.
-Made with passion by jackofalltrades
Indicator
ORDER FLOW DASHBOARD [DOM, Tape, Big Contracts] Percentage Based
A compact, non-intrusive percentile order flow dashboard for futures scalping and intraday trading on /NQ, /MNQ, /ES, /MES and other CME instruments. Three panels, one glance.
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WHAT IS IT
Most order flow tools require expensive data feeds or dedicated platforms like Bookmap or Sierra Chart. This dashboard brings the core concepts of DOM pressure, tape reading and big contract detection directly onto your PulseWire chart using bar structure and volume as proxies. It is designed to sit quietly in the corner of your chart, update in real time, and give you directional context without cluttering your price action.
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THE THREE PANELS
DOM Panel
Estimates bid vs ask pressure by splitting each bar's volume based on where price closed within the bar's range. A bar closing near its high suggests buying pressure — near the low suggests selling. Displays Buyers %, Sellers % and a Net Delta over your chosen lookback period. The dominant side lights up automatically.
Tape Panel
Estimates aggressive vs passive order flow. Bars closing in the upper half of their range are classified as aggressive buyers (market orders lifting the offer). Lower half = aggressive sellers (hitting the bid). Shows aggressive buy %, aggressive sell % and passive %. The leading side highlights.
Big Contracts Panel
Flags bars where total volume exceeds your threshold — a proxy for institutional or block trade activity. Each entry shows price, volume, direction (BID or ASK) and a New York exchange-time timestamp for chart cross-reference. Supports a lower detection timeframe — use 1 min detection on a 2 min chart for more granular results.
Confluence Signal
Combines DOM and Tape into a single directional read at the bottom of the Tape panel.
▲ BUYERS LEAD — both DOM and Tape show buyers in control. Strongest bullish signal.
▼ SELLERS LEAD — both DOM and Tape show sellers in control. Strongest bearish signal.
? DOM BULL / TAPE BEAR — conflicting signals. Potential absorption or reversal brewing.
? DOM BEAR / TAPE BULL — conflicting signals. Same as above but reversed.
BALANCED — neither side clearly dominant on either panel.
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DISPLAY MODES
Minimalistic Mode — strips all row background colors from DOM and Tape panels. Only text colors remain. Blends cleanly into any chart style or theme. Big Contracts panel keeps its colors for easy scanning.
Color Blind Friendly Mode — replaces red/green color scheme with blue/orange throughout the entire dashboard. One toggle in settings. Works alongside minimalistic mode.
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⚠ IMPORTANT — NOT REAL ORDER BOOK DATA
Pine Script does not have access to real Level 2 DOM data, true bid/ask volume splits or individual order sizes. Everything this dashboard shows is a bar structure approximation, not real order book data.
DOM proxy: buyVol = volume × (close − low) / (high − low)
Tape proxy: close position in range = aggressor classification
Big Contracts proxy: total bar volume spike — NOT individual order size
Use this dashboard as a confirming tool alongside price action. For true order flow data use Bookmap, Sierra Chart, Quantower or NinjaTrader with a proper CME data feed.
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HOW TO USE IT
Watch for confluence — when DOM and Tape both agree on a direction that is your strongest signal. A single panel reading alone is less reliable.
Use the Big Contracts panel to identify when institutional-sized volume hits. A cluster of big BID bars at a support level, combined with DOM buyers leading and tape aggressive buy dominant, is a classic accumulation pattern. The timestamp on each entry makes it easy to find the bar on your chart.
Watch the Net Delta — a rising price with falling net delta can signal a weakening move or absorption. A falling price with rising net delta may indicate buyers stepping in.
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RECOMMENDED SETTINGS BY TIMEFRAME
1 min — DOM: 8-10 bars | Tape: 5-8 bars | NQ: 1500-2000 | ES: 300-500
2 min — DOM: 5-8 bars | Tape: 4-6 bars | NQ: 2000-3000 | ES: 500-800
3 min — DOM: 5-6 bars | Tape: 4-5 bars | NQ: 2500-3500 | ES: 600-1000
5 min — DOM: 4-6 bars | Tape: 3-5 bars | NQ: 3000-5000 | ES: 800-1500
15 min — DOM: 3-5 bars | Tape: 3-4 bars | NQ: 5000-8000 | ES: 1500-3000
MNQ and MES: divide NQ/ES thresholds by 10.
Tip: set Big Contracts detection timeframe to 1 min when charting on 2 min.
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CUSTOMISATION
Every color, background, transparency and threshold is adjustable from settings.
General — show/hide dashboard, DOM + Tape panels, Big Contracts panel, confluence row, minimalistic mode, color blind mode, dashboard position, text size, background transparency, chart background tint, session filter.
DOM — lookback period, alert threshold, full color and background customization per row.
Tape — lookback period, alert threshold, full color and background customization per row.
Cumulative Delta — optional full-width row at bottom of dashboard, display as number only, bar chart only or both, daily reset time.
Big Contracts — volume threshold, extra large threshold, detection timeframe, max entries to display, daily reset time, full color customization.
Alerts — 8 individually toggleable alert conditions covering big contracts, DOM dominance, tape dominance and confluence signals.
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DESIGNED FOR
Futures scalpers and intraday traders who want order flow context without cluttering their chart or paying for a separate platform. Works on any instrument with volume data — optimized for CME futures.
Indicator
Indicator
Adaptive Volume-Delta Score (VDS) | Order-Flow & DivergenceThe Adaptive Volume-Delta Score (VDS) is a technical analysis tool for the statistical classification of volume-delta activity. It utilizes an Adaptive-Switch Logic that toggles between historical bar reconstruction (request.security_lower_tf) and a real-time Rolling-Window Live-Tracker.
🛠 Core Functionality
1. The VDS Engine (Statistical Mapping)
Wick-Weighted Delta: The calculation is based on wick-weighting: (close-open)/range * volume. This weights the delta according to price displacement within the bar.
Symmetrical Mapping (-4.5 to 4.5): Raw values are statistically categorized via ta.percentrank and mapped onto a fixed scale.
+4.5 (100% Rank): The absolute maximum within the chosen lookback period.
+2.25 (75% Rank): Significant activity relative to the period.
0 (Median): The statistical midpoint (50% Rank).
-4.5 (0% Rank / Min.): The absolute floor of activity for the period.
Visualization Logic: This mapping is primarily used to plot volume activity and delta aggression within the same visual space, providing a consistent reference frame for comparing relative dominance.
Context Dependency: Signals are not absolute recommendations. The significance depends heavily on the Lookback Period, Thresholds, and the specific market environment.
2. Adaptive Logic & Data Integrity
Signal-Bridge: On lower timeframes (LTF), the indicator simulates the behavior of the Main Timeframe (Main-TF) using a rolling window. This allows for the observation of delta development while the bar is still forming.
🛡️ Integrity Dashboard: Visualizes the statistical consistency between live data and the historical baseline. Deviations (e.g., due to Pine Script's 5000-bar limit) are displayed transparently as warnings.
3. Dynamic Alert System
Automation: Alerts utilize the alert() function with the "Any function call" setting.
Intelligence: Messages are fully dynamic, reporting the mode (Live vs. History), signal type, safeguard status, and data integrity.
🚀 Quick Calibration Guide
Sensitivity: A longer Lookback Period stabilizes the statistics; a shorter period makes the score more reactive to short-term volume spikes.
Threshold Setup: Calibrate the Dominance Threshold (default 3.0) to isolate extreme aggression. Use the Volume Threshold to ensure a minimum level of market participation.
Visual Match: Activate the Price Chart Overlays and adjust your thresholds until the markers (Diamonds) correspond with your individual market interpretation.
Dashboard Check: Monitor the Confidence Score. If red warning values appear, consider adjusting your Lookback or Timeframe to maintain a stable statistical foundation.
🎨 Visual Guide: Understanding the Scale
Navy/Blue Columns: Standard activity within the selected statistical window.
Gray Columns: Phases below the Low Volume Threshold, indicating low relative market participation.
Lime/Fuchsia (Dominance): Occurs when volume and delta simultaneously exceed the defined thresholds (Aggression).
Olive/Maroon (Divergence): Period delta is positive/negative while price action is opposite (Decoupling/Absorption).
Diamonds: Optional projection of oscillator signals directly onto the candles in the price chart.
⚠️ Important Technical Notifications
The "Signal Bridge" (Rolling vs. Fixed Window):
HTF-Request Mode (Fixed): Measures delta starting from the candle open (e.g., 12:00 PM).
Live-Transfer Mode (Rolling): Analyzes a sliding window (e.g., the last 120 minutes). This provides a Lead-Time Advantage, detecting aggression as it happens regardless of the HTF clock. Both modes converge at the HTF bar close.
Data Integrity & Anomalies:
Session Gaps: High Main-TFs (like D1) can be affected by irregular session hours (e.g., Forex Sunday). Always monitor the Confidence Score (🛡️).
Replay Mode:
Displays "No Stat. Control" if historical LTF data is unavailable. We prioritize data honesty over estimated data.
🔔 How to set Alerts (Smart Signals)
Preparation: Open the VDS settings. Under "Alert Settings", choose which signals should trigger: Dominance, Divergence, or both.
Condition: Select "Adaptive Volume-Delta Score...".
Trigger Logic: Change setting to "Any alert() function call".
Frequency: Managed by the script (once_per_bar_close) to ensure statistical honesty.
Timeframe Choice: Use the Main-TF for final confirmed signals, or a Lower-Timeframe for Live-Tracker early warnings.
📊 Statistical Transparency (Data Window)
Raw metrics are displayed exclusively in the PulseWire Data Window to keep the chart clean:
Runtime-Safe LTF: The analysis interval currently in use.
Max Safe Lookback: The mathematical limit for your current setup (5,000-bar ceiling).
Active Bar Limit: The actual usable data foundation.
Converted Sum of LTF Request Bars: The historical baseline used as an anchor for the Live-Tracker.
Relative Live-Data Size: Numerical basis of the Confidence Score (100% = Perfect Integrity).
Overall Requested Bars: Total data points analyzed within your Lookback Period. Indicator
