Volume Delta Analyzer

The Volume Delta Analyzer tool visualizes real tick-level volume delta to decompose market activity into buyer and seller-initiated trades. It provides a comprehensive suite for order flow analysis, including cumulative volume delta (CVD), absorption detection, and divergence alerts to identify potential reversals and market imbalances.

Usage

The Usage section describes how the script can be used to interpret market sentiment and order flow.

Order Flow Analysis

The indicator uses TradingView's premium tick data to provide an accurate breakdown of volume. Users can observe the delta (difference between buying and selling volume) to determine which side is in control of a specific price move. This is visualized via labels above/below bars or through candles colored by delta direction.

Divergence and Absorption

The script identifies two primary types of order flow patterns:

• Exhaustion: Occurs when price reaches a new extreme (pivot) but the CVD fails to confirm the move, suggesting the trend is losing momentum.
• Absorption: Occurs when CVD reaches a new extreme but price fails to follow, indicating that passive orders are absorbing the market pressure.

Volume Profile Mode

When enabled, the script transforms delta data into a horizontal histogram. This profile helps traders identify price levels where significant buying or selling pressure has occurred over a specified lookback period, acting as potential support or resistance.

Details

The Volume Delta Analyzer utilizes the ta.requestVolumeDelta() function to fetch actual tick data rather than using approximations based on candle direction. This ensures that the buyer/seller decomposition reflects true market intent.

The script includes a pivot-to-pivot divergence engine that monitors highs and lows over a user-defined length. It calculates "Signal Strength" based on ATR to filter out minor fluctuations and highlight significant market shifts. Additionally, the indicator features a signal cooldown mechanism to prevent repetitive alerts during periods of high volatility.

Settings

Core Settings

• Custom timeframe: Toggles the use of a specific lower timeframe for delta calculation.
• Timeframe: Sets the sub-timeframe (e.g., 1S) scanned for volume delta.
• Bars to show: Determines the number of historical bars that will display delta labels.
• Pivot length: The number of bars required on each side to confirm a high or low pivot.
• Signal cooldown: Suppresses consecutive signals within a specified number of bars.

Display and Profile

• Color bars by delta: Paints candles based on positive or negative delta.
• CVD line overlay: Plots the cumulative volume delta as a normalized line on the chart.
• Enable profile mode: Switches the visualization from bar labels to a horizontal volume profile.
• Profile levels: The number of horizontal price buckets used for the profile histogram.

Detection and Alerts

• Show absorption circles: Displays visual markers when high volume occurs within a narrow price range.
• Exhaustion/Absorption signals: Toggles the detection of specific divergence patterns.
• Min swing (ATR x): Filters out divergences that occur over small price distances.
• Delta spike alert: Triggers an alert when volume delta exceeds a specific multiple of the Average True Range.

FAQ

How do I interpret the Absorption circles?
Green circles indicate that buyers have absorbed selling pressure (often near bottoms), while red circles indicate that sellers have absorbed buying pressure (often near tops).

Why do I need a TradingView Premium plan?
This script relies on the ta.requestVolumeDelta() function, which requires access to professional tick-level data feeds provided in premium subscriptions.

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