Fair Value Gap Profiles

The Fair Value Gap Profiles indicator identifies unfilled price gaps and augments them with intra-gap volume profiles sourced from lower timeframe data. This tool is designed to help traders visualize liquidity voids and assess the strength of potential mitigation areas by providing detailed volume distribution within each gap.

Usage

The indicator automatically detects bullish and bearish Fair Value Gaps (FVG) and visualizes them as expandable boxes. A bullish FVG occurs when the current low is above the high of two bars ago, while a bearish FVG occurs when the current high is below the low of two bars ago.

• Volume Profiles: Each gap contains a mini-volume profile histogram derived from a user-defined lower timeframe. This helps determine if the gap was created on high participation or thin trading activity.
• Low-Volume Zones: The tool highlights sub-zones within the gap that contain the least amount of trading activity. These areas often act as specific price magnets during a gap fill.
• Gap Mitigation: Boxes extend dynamically to the right until price action retraces and "fills" the gap, at which point the box is marked as mitigated.
• Volatility Filtering: Use the "Minimum Gap Width Multiplier" to filter out insignificant noise and only display gaps that exceed a specific volatility-adjusted size.

Details

The script utilizes a volatility-adjusted threshold based on the Average True Range (ATR) to qualify gaps. When a gap is identified, it samples data from a lower timeframe (LTF) using request.security_lower_tf to construct the volume profile. A sliding window scan is then applied to the profile bins to locate the continuous sub-range with the lowest aggregate volume, representing the "true" inefficiency within the FVG.

Settings

FVG Detection

• Volatility Length: The lookback period for the ATR used to calculate the gap threshold.
• Minimum Gap Width Multiplier: A multiplier for the ATR; smaller values result in more frequent gap detections.
• Zone Expiration Date: The maximum number of bars a box will extend before being removed.
• Prevent Overlap: If enabled, new gaps that overlap existing unfinished gaps are ignored.
• Show Bullish/Bearish FVGs: Toggles the visibility of price-up or price-down gaps.

Profile

• Lower Timeframe: The source timeframe for the volume profile calculations.
• Profile Bin Count: The number of horizontal segments the gap is divided into for volume analysis.
• Low-Volume Window Size: The number of bins evaluated together when searching for the low-volume zone.

Appearance

• Colors: Customizable color settings for bullish and bearish boxes.
• Show Volume Profile: Toggles the visibility of the internal volume histogram.
• Show Low Volume Zone: Toggles the highlighted lowest-volume area within the gap.
• Profile Gradient Coloring: Applies a gradient effect to the volume profile based on relative volume levels.

FAQ

• What is a Fair Value Gap? A Fair Value Gap represents an inefficiency or imbalance where price moved so rapidly that there was a lack of two-way trading, often revisited by price later.
• Why is the volume profile helpful? It identifies specific price levels within the gap that saw the least amount of interest, which often serve as precise targets for price action reversals.
• How do I access Fair Value Gap Profiles? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.