CVD - Cumulative Volume Delta Candles

The CVD - Cumulative Volume Delta Candles indicator provides a visual representation of cumulative volume delta (CVD) using candle structures for enhanced market analysis. By utilizing intrabar data, it achieves higher precision in tracking volume delta—the difference between buying and selling volume—than standard methods that rely solely on the chart's timeframe.

Usage

The Usage section explains how to interpret the CVD candles and configure the script for various trading strategies.

• Market Sentiment: Candles above the zero line indicate a generally bullish cumulative volume delta, while candles below suggest a bearish state.
• Trend Identification: Traders can analyze the progression of CVD candles (uptrends, downtrends, or stagnation) similarly to price action to gauge buying or selling pressure.
• Divergence Spotting: Divergences occur when the price action direction conflicts with the CVD candle polarity. Users can enable visual cues to highlight these occurrences.
• Total Volume Context: Optionally, the tool can plot "Total Volume Candles" behind the CVD candles. This allows traders to see the relative size of the delta compared to the total volume traded during that bar.

Details

The script uses a compromise between simple OHLC-based volume delta calculations and tick-by-tick data. It employs intrabar analysis by requesting a lower timeframe (LTF) to inspect price movement within a single chart bar.

Volume Assignment Logic:

• Polarity: If an intrabar's close is higher than its open, the volume is assigned to "up" volume; if lower, it is assigned to "down" volume.
• Price Change: If open and close are equal, the script compares the current close to the previous intrabar's close.
• Last Known: As a final fallback, if there is no movement, the last known polarity is used.

CVD Calculation: The candle levels are derived as follows:

• Open: The cumulative delta at the start of the bar.
• High/Low: The maximum and minimum delta values reached during the intrabar analysis.
• Close: The final aggregated delta for the bar.

Settings

CVD Reset & Precision

• CVD Resets: Determines when the accumulation resets (None, Stepped HTF, Fixed HTF, Fixed Time, Regular Session, First Visible Bar, or Trend Change).
• Intrabar Precision: Controls the lower timeframe used for analysis. Higher precision provides more detail but limits the historical depth of the calculation.
• Volume Delta Calculation: Choose between raw "Volume Delta" or "Volume Delta Percent."

Visuals

• CVD Candles: Toggles the visibility of the delta candles and their respective up/down colors.
• Divergences: Options to color candle bodies or the background when price and delta diverge.
• Total Volume Candle Borders: Displays the total volume as a background candle for scale.
• CVD Line & MA: Options to plot the CVD close as a line and/or add a Moving Average (either a standard SMA or a cumulative average since the last reset).
• Information Box: Displays technical metadata such as the current HTF and LTF used.

FAQ

What is the benefit of using intrabar data for CVD?
Intrabar data provides a more granular look at price movement within a single bar, leading to a much more accurate representation of buying vs. selling pressure than standard timeframe calculations.

Why does the CVD reset periodically?
Resets allow traders to analyze volume delta across manageable sessions (like daily or weekly) rather than looking at a value cumulated from the beginning of the chart’s history, which can become less relevant over time.

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