Whale Liquidity and Absorption Profile

The Whale Liquidity and Absorption Profile tool maps intrabar buying, selling, delta, and absorption activity into stacked horizontal profiles to identify areas of aggressive participation and liquidity interaction. It utilizes lower timeframe volume sampling to reconstruct activity within each candle, helping traders pinpoint where volume was absorbed and where imbalances formed.

Usage

The script provides several visualization layers to interpret market activity:

• Multi-Layer Volume Profile: Displays stacked buying and selling activity. It separates "strong" and "weak" activity based on a percentile-based strength filter.
• Delta Heatmap: Shows the net difference between buying and selling volume (delta) for each price bin, highlighting dominant pressure.
• Absorption Profile & Zones: Aggregates wick-based volume (buying at highs, selling at lows) to show where liquidity absorbed incoming pressure. Areas with significant absorption peaks are projected as support and resistance zones.
• Historical Heatmap: Provides a rolling snapshot of absorption over time to identify repeated liquidity interaction levels.
• Strong Activity Bubbles: Plotted directly on the price chart, these mark the highest percentile volume events for immediate visual reference.

Traders can use the "Strong Only" mode to filter out noise and focus on high-participation events, or use the "Detect Value Area" setting to highlight the most active price ranges within the lookback period.

Details

The indicator employs request.security_lower_tf() to sample volume data from lower timeframes. This intrabar data is categorized into price bins across a configurable lookback range.

• Strength Filter: Uses a percentile ranking (default 97th) to distinguish between standard trading activity and "Whale" activity.
• Absorption Logic: Specifically tracks volume occurring in the upper wicks of bullish candles and lower wicks of bearish candles, which often represents passive orders absorbing aggressive market orders.

Settings

• Profile Lookback: The number of bars used to calculate the active profiles and zones.
• Bar Granularity: Determines the depth of lower-timeframe sampling; higher values provide more detail but increase calculation load.
• Strength Filter: The percentile threshold for identifying strong volume (e.g., 97 means the top 3% of samples).
• Strong Only: Toggles the display between all volume segments or only those exceeding the strength threshold.
• Profile Resolution: The number of vertical price bins used for calculations.
• Detect Value Area: Highlights the bins containing a specified percentage of total volume.
• Show Bubbles: Toggles the display of percentile-ranked volume bubbles on the price chart.
• Show Absorption Heatmap: Enables the historical visual representation of absorption accumulation.

FAQ

How do I interpret the Delta Heatmap? The Delta Heatmap shows the signed difference between buy and sell volume. A large positive delta indicates aggressive buying, while a large negative delta suggests aggressive selling at that specific price bin.

What is the difference between Volume and Absorption? Volume represents all participation, while Absorption specifically tracks volume occurring in wicks, suggesting where one side of the market stopped the other's momentum using passive liquidity.

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