ORB + VWAP + RSI + TP Levels + Order Flow (ES/NAS100)

The ORB + VWAP + RSI + TP Levels + Order Flow (ES/NAS100) indicator provides a comprehensive intraday trading framework by combining Opening Range Breakout (ORB) logic with multi-timeframe RSI filters, VWAP alignment, and smoothed order flow analysis to identify high-probability entries.

Usage

The Usage section focuses on identifying breakout and retest opportunities within the context of institutional order flow and trend filters. This script is primarily designed for high-liquidity index futures like ES and NAS100.

• ORB Strategy: The indicator marks the high and low of a user-defined session (defaulting to the first 15 minutes of the US market open). A signal is generated when price breaks out of this range.
• Trend Filtering: Users can enable the VWAP filter to ensure long trades only occur above the VWAP and short trades below it. Additionally, a 5-minute "Bias RSI" ensures the higher-timeframe trend supports the entry.
• Retest Logic: For more conservative entries, the "Require Retest" setting forces the script to wait for price to return to the ORB level and bounce before triggering a signal.
• Order Flow Confirmation: For ES and NAS100 symbols, the script analyzes Cumulative Volume Delta (CVD) and smoothed bar delta to ensure that market participants are actively supporting the breakout direction.
• Risk Management: Upon a signal, the tool automatically plots a Stop Loss (SL) and three Take Profit (TP) levels based on customizable Reward-to-Risk ratios (1:1, 1:2, and 1:3).

Details

The script executes logic based on several technical layers:

1. Opening Range: It captures the maximum high and minimum low during the orbSession. Once the session ends, the range is "locked" for the remainder of the day.
2. Multi-Timeframe RSI: It pulls RSI data from a 5-minute timeframe for trend bias and a separate timeframe (e.g., 1-minute) for immediate entry momentum.
3. Order Flow Proxy: Since standard charts may lack tick-level data, the script uses a volume-weighted price direction proxy. It calculates a smoothed EMA of bar delta and tracks the direction of CVD to confirm if buying or selling pressure is increasing.
4. Trade Levels: Stop loss levels can be anchored to the opposite side of the ORB range or the signal candle's high/low. TP levels are then projected forward from the entry price.

Settings

ORB Settings

• ORB Window: Defines the time range (exchange time) used to set the initial High/Low boundaries.
• Show ORB High/Low: Toggles the visibility of the breakout levels.
• One Signal Per Direction Per Day: Limits the script to one long and one short signal per session to prevent overtrading.

Filters

• Use VWAP Filter: Restricts signals based on price relative to the Volume Weighted Average Price.
• Require Retest: If enabled, price must break the ORB, touch it again, and then move back in the breakout direction.
• Entry RSI Timeframe: Determines the timeframe used for the fast RSI entry check.

Order Flow Filter

• Use Order-Flow Filter for ES/NAS100: Enables delta and CVD confirmation logic specifically for index tickers.
• Delta Smoothing Length: Adjusts the EMA period applied to the volume delta for smoother trend identification.
• Min Smoothed Delta: Sets a minimum threshold for delta strength required to validate a signal.

Risk / TP

• Stop Mode: Choose between "Opposite ORB" for wider stops or "Signal Candle Low/High" for tighter risk.
• TP1/2/3 (R): Sets the reward-to-risk multipliers for the automated take profit targets.

FAQ

Which assets are best suited for this indicator? While the script can work on various assets, the order flow and session logic are specifically optimized for ES (S&P 500) and NAS100 (Nasdaq) futures or their corresponding ETFs (SPY/QQQ).

Can I change the breakout window? Yes, the ORB Window setting allows you to define any time period, such as the first 5, 15, or 30 minutes of the trading day, depending on your preferred strategy.

How can I get access to the ORB + VWAP + RSI + TP Levels + Order Flow (ES/NAS100) indicator? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.