Gaps + Imbalances + Wicks (MTF) - By Leviathan

The Gaps + Imbalances + Wicks (MTF) indicator identifies and visualizes key price action inefficiencies including gaps, fair value gaps, and candle wicks across multiple timeframes. This tool provides a comprehensive framework for identifying institutional liquidity zones and significant areas of interest with advanced filtering and customization options.

Usage

The Usage section describes how the script can be used to isolate specific price action structures. Users can toggle between three primary zone types to analyze different market behaviors:

• Imbalances (Fair Value Gaps): Identified using a three-candle sequence. When a sharp move occurs, the script plots a zone between the low of the first candle and the high of the third candle (for bearish moves) or vice-versa (for bullish moves).
• Gaps: Highlights areas where no trading activity occurred between the close of one candle and the open of the next.
• Wicks: Focuses on the upper and lower shadows of candles, representing price rejection.

Examples

1. Multi-Timeframe Analysis: By setting the "Zone Type" timeframe higher than the current chart, users can view high-timeframe supply and demand zones on a lower-timeframe execution chart.
2. Mitigation Tracking: Using the "Fill Condition" (Touch, Half Fill, or Full Fill), traders can monitor when a zone has been mitigated by price action, signaling a potential completion of an inefficiency retest.
3. Volatility Filtering: By enabling the "Filter Type" (ATR or Percentage), the script can be configured to only show significant imbalances that exceed a certain size, reducing chart noise during low-volatility periods.

Details

The script utilizes request.security to fetch data for multi-timeframe analysis. It handles complex visualization through the use of arrays for boxes and lines, ensuring that objects are updated or deleted based on user-defined lookback periods and mitigation logic.

• Imbalance Calculation: Defined as $(Low_n - High_{n-2})$ for bullish or $(Low_{n-2} - High_n)$ for bearish structures.
• Wick Calculation: Upper wicks are calculated from the candle high to the maximum of the open/close; lower wicks from the candle low to the minimum of the open/close.
• Filtering Logic: The script calculates the distance of the zone and compares it against an ATR-based threshold or a fixed percentage of price to determine if the zone meets the visual criteria.

Settings

General Settings

• Zone Type: Selects between Imbalance, Gap, or Wick detection and sets the specific timeframe for calculation.
• Middle/Top/Bottom Line: Toggles the visibility of horizontal levels within the detected zones.
• UP/DOWN Zones: Enables or disables bullish/bearish zones and allows for independent color customization.
• Fill Condition: Determines the logic for when a zone stops extending (Touch, Full Fill, or Half Fill).
• Lookback (D): Limits the historical depth of the script to a specific number of days.
• Hide Filled Levels: Removes zones from the chart once the mitigation condition is met.

Filter Settings

• Filter Type: Choose between ATR, Percentage, or None to filter zones by size.
• ATR Length + Mult: Sets the lookback period and multiplier for ATR-based volatility filtering.
• Percentage + Mult: Sets the threshold for filtering zones based on a percentage of price movement.

Zone Labels

• Labels: Toggles the text display for zones.
• Text Type: Selects the data shown in labels (Type, Volume, or Timeframe).
• Position/Size: Customizes the alignment and font size of the zone labels.

Other Settings

• Stop/Delete Zone: Defines whether a zone should stop extending or be deleted entirely after a certain number of bars.
• Line Style: Customizes the appearance (Solid, Dashed, Dotted) of the zone boundaries.
• Max Zones: Sets the maximum number of boxes and lines allowed on the chart to maintain performance.

FAQ

How can I see only the largest imbalances? Set the "Filter Type" to ATR and increase the "Mult" value. This ensures only price movements that are significantly larger than the average volatility are plotted.

What is the difference between "Touch" and "Full Fill"? "Touch" considers a zone mitigated as soon as price enters any part of the box. "Full Fill" requires price to trade completely through the entire range of the zone before it is considered mitigated.

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