Delta Volume Weighted - Intraday

The Delta Volume Weighted - Intraday indicator tracks and accumulates net volume throughout a trading session, providing traders with a weighted perspective on intraday buying and selling pressure.

Usage

The Usage section focuses on monitoring the cumulative flow of volume to determine the dominant market sentiment within a specific session.

• Trend Identification: When the histogram is green and rising, it indicates a bullish accumulation where buying volume (weighted by price action) is dominant. Conversely, a red and falling histogram suggests bearish distribution.
• Zero-Line Crosses: A crossover above the zero line signifies that the net weighted volume has turned positive for the day, while a crossunder suggests a shift to negative net volume.
• Intraday Filtering: By default, the tool resets at the start of the cash session (e.g., 9:50 AM for the ASX), allowing traders to focus exclusively on active trading hours.

Details

The script calculates "Net Volume" by evaluating the direction of each candle. If a candle closes higher than it opened, the volume is considered positive; if it closes lower, the volume is considered negative.

To provide more meaningful insights than standard cumulative volume, this indicator applies a weight to the volume based on the price spread (Close - Open). This ensures that candles with significant price movement and high volume have a greater impact on the indicator's value than small "doji" style candles with high volume, which often represent churn rather than directional conviction. The values reset at the start of each new daily session to ensure the data remains relevant to intraday participants.

Settings

Session & Timezone

• UTC time zone: Adjusts the script to match your local or exchange timezone to ensure session resets occur at the correct time.
• Cash Start Hour/Minute: Defines the exact time the intraday accumulation begins.
• Cash End Hour/Minute: Defines when the accumulation period ends.
• Turn on Delta Vol for overnight session: When disabled, the indicator will only display and calculate data during the defined cash session.

FAQ

How do I access Delta Volume Weighted - Intraday?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.

Why does the indicator reset daily?

The reset ensures that the volume profile is specific to the current day's auction, preventing historical volume from skewed intraday momentum analysis.

How is the weighting calculated?

The volume is multiplied by the absolute difference between the open and close of the bar. This gives more statistical "weight" to bars that show strong directional conviction.