Volume Profile: Intra-bar Volume

The Volume Profile: Intra-bar Volume indicator provides a granular breakdown of buying and selling pressure by analyzing volume data from a lower timeframe relative to the current chart. This tool allows traders to see the internal composition of a single candle, helping to identify whether price movement was driven by aggressive buying or selling activity.

Usage

The Usage section describes how the script can be used to interpret market sentiment. By deconstructing the total volume of a high-timeframe candle into its lower-timeframe components, traders can identify the conviction behind a price move.

• Identifying Sentiment: If a candle closes green but the indicator shows a high concentration of selling volume from the intra-bar analysis, it may suggest a potential reversal or weakening bullish momentum.
• Trend Confirmation: Strong buying volume on the lower timeframe during an upward move on the higher timeframe confirms the strength of the current trend.
• Balanced Volume: In periods of consolidation, the indicator may show "Balanced Volume" (neutral candles where open equals close), highlighting areas of market indecision.

To use the indicator effectively, users must align the "Bars of lower Timeframe" setting with their current chart. For example, if viewing a 1-hour chart with a 5-minute lower timeframe setting, the user should set the count to 12.

Details

The script operates by utilizing the request.security() function to fetch data from a user-defined lower timeframe. It executes a loop through the specific number of lower-timeframe bars that constitute one higher-timeframe bar.

The classification logic is based on candle polarity:

• Buying Volume: Sum of volume from lower-timeframe candles where the close is higher than the open.
• Selling Volume: Sum of volume from lower-timeframe candles where the close is lower than the open.
• Balanced Volume: Sum of volume from lower-timeframe candles where the open and close are identical.

Note that this method is an approximation of order flow based on price action; it does not access actual tick-level "buy" or "sell" market orders, but rather categorizes volume based on the outcome of the intra-bar price movement. This script is based on original concepts by Backtest-Rookies.

Settings

• Lower Timeframe to Assess: Determines the granularity of the intra-bar analysis (e.g., setting this to "5" while on a 1H chart looks at 5-minute intervals).
• Bars of lower Timeframe: The number of lower-timeframe candles that fit into one higher-timeframe candle (e.g., 12 bars of 5m in one 60m bar).

FAQ

How do I calculate the number of bars for the input? Divide the minutes of your main chart timeframe by the minutes of your selected lower timeframe. For example, a 15-minute chart using a 1-minute lower timeframe would require a setting of 15.

Why does the volume look different than the standard volume bar? Standard volume shows the total activity, whereas this indicator splits that total into three categories (Buying, Selling, and Balanced) based on the price action of the lower timeframe.

How can I access the Volume Profile: Intra-bar Volume indicator? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.