Volume Suite - By Leviathan (CVD, Volume Delta, Relative Volume)

The Volume Suite - By Leviathan indicator provides an all-in-one volume analysis toolkit featuring CVD, Volume Delta, Relative Volume, and Buy/Sell Volume to visualize market participation and supply/demand imbalances.

Usage

The Usage section describes how the script can be used to interpret volume dynamics through various data visualizations:

• Relative Volume (RVOL): Compares current volume to historical averages. A value of 2.0 indicates trading activity is twice the average, highlighting periods of high interest.
• Cumulative Volume Delta (CVD): Tracks the running total of Buy versus Sell volume. It is primarily used to identify trend exhaustion or strength through divergences between price and cumulative volume.
• Volume Delta: Displays the net difference between buying and selling volume per bar. Positive values indicate buying pressure, while negative values indicate selling pressure.
• Buy/Sell Volume: Visualizes the estimated raw buying and selling activity within a single bar based on lower timeframe candle data.
• Volume-Price Imbalances: Highlighting features allow you to identify "High Volume + Small Price Change" (potential absorption/accumulation) or "Low Volume + Large Price Change" (lack of liquidity or easy movement).

Details

The script calculates Volume Delta and Buy/Sell volume by utilizing lower timeframe (LTF) data via request.security_lower_tf. Since standard charts do not provide tick-level data, this method analyzes the direction of LTF candles to estimate whether volume within a larger bar was aggressive buying or selling.

The tool includes multiple threshold calculation types for its highlights:

• SMA: Uses a Simple Moving Average of the volume to determine significant peaks.
• Relative: Normalizes volume against a specific lookback period.
• Z-Score: Statistically measures how many standard deviations the current volume is from the mean.

Settings

General

• Display: Selects the primary data set to visualize (Volume, RVOL, CRVOL, Buy/Sell Volume, Delta, or CVD).
• Primary Colors: Sets the default colors for bullish and bearish volume activity.

Large Change Thresholds

• Mult 1/2/3: Toggles and sets the multipliers for volume highlights. When volume exceeds these levels, the bars change color to signify high-intensity activity.

Volume-Price Imbalances

• High Volume + Small Price Change: Toggles highlights for bars where volume is high but price movement is restricted (Absorption).
• Low Volume + Large Price Change: Toggles highlights for bars where price moves significantly on minimal volume (Lack of liquidity).

Moving Averages

• MA Type & Length: Options to overlay SMA, EMA, VWMA, or VWAP on the volume data to identify mean reversion or trend deviations.

Additional Settings

• LTF Timeframe: Determines the granularity used for Buy/Sell volume calculations.
• Threshold Calculation Type: Choose between SMA, RELATIVE, or Z-SCORE for the highlighting logic.
• Color Candles: When enabled, the indicator will overlay its coloring logic onto the price chart candles.

FAQ

How is Buy/Sell Volume calculated? The script uses lower timeframe candle data to estimate whether volume was initiated by buyers or sellers based on the close/open relationship of those smaller candles.

What is the difference between Volume Delta and CVD? Volume Delta shows the net volume for a single bar, whereas CVD (Cumulative Volume Delta) is a running sum that displays the total net volume over the entire chart history.

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.