Waindrops

The Waindrops indicator plots custom volume profiles on user-defined periods, slicing each period in half to provide independent VWAP, volume distribution, and traded volume per price level. This tool is designed to improve volume readability on intraday charts by visualizing bullish, bearish, or neutral sentiment through vertical histograms.

Usage

The Usage section focuses on interpreting the Waindrop structures and configuring them for different trading sessions. Waindrops function as custom candlesticks that display the high and low of a period alongside two Volume Weighted Average Prices (VWAPs): one for the first half (left) and one for the second half (right).

Users can identify market sentiment based on the relationship between these two VWAPs:

• Bullish (Green): The right VWAP is higher than the left VWAP.
• Bearish (Red): The right VWAP is lower than the left VWAP.
• Neutral (Blue): The difference between the right and left VWAPs is within the user-defined "Neutral Threshold."

Practical Examples

• Balanced Waindrops: Standard setup where both halves of the period are equal (e.g., a 60-minute period resulting in two 30-minute profiles).
• Unbalanced Waindrops: Useful for futures traders to separate overnight and cash sessions. For example, setting a period to cover a full session and analyzing the volume shift between the pre-market and the open.
• Full Session Volume Profile: By extending the period and using only the first half, the tool can act as a standard session volume profile for assets like EURUSD or SPY.

Details

The indicator utilizes the expanded drawing limits of Pine Script (up to 500 lines/labels) and drawing arrays to construct detailed vertical histograms. Because it calculates volume at every price tick within a bar, performance is linked to the symbol's volatility and tick size.

It is restricted to intraday timeframes (up to 720 minutes/12 hours) and requires price, time, and volume data. Consequently, it will not function on indices or instruments without volume data. To optimize performance on high-volatility assets like BTCUSD, users should adjust the "Updates per period" setting or use futures contracts with larger tick sizes (e.g., BTC1!).

Settings

General & Bars

• Period Size: Defines the total duration of the Waindrop in minutes (Max 2880).
• Bars: Enables/disables the central and VWAP bars.
• Bars Color Mode: Toggles between a fixed "Bars" color or dynamic "Histogram" colors based on sentiment.
• Bars Pixels: Sets the visual thickness of the bars.

Histogram

• Execution Window: Determines how many 24-hour periods in the past the volume profiles will be rendered.
• Ticks per Bar: Sets the price granularity (width) of each histogram row. Lower values provide more detail but consume more resources.
• Updates per Period: Controls how often the histogram refreshes (One, Two, Four, or Each Bar).
• Neutral Threshold: The minimum tick difference between the left and right VWAPs required to classify a move as bullish or bearish.
• Histogram Colors: Customizable colors for Bearish, Bullish, and Neutral states.

Volume & Tracking

• Volume Labels: Toggles the display of numerical volume values on the profile.
• Track Price: Displays a yellow dot tracking the real-time price, which is useful when traditional candlesticks are hidden.

FAQ

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

Why is the indicator not displaying on my chart? Ensure you are on an intraday timeframe (1m to 720m) and that the asset provides volume data. Also, check if the "Help Info" toggle is active, as the indicator will not plot while the help menu is displayed.

What should I do if I get a "Calculation takes too long" error? This usually occurs on instruments with very small tick sizes and high volatility. Increase the "Ticks per bar" setting or reduce the "Updates per period" to "ONE" or "TWO" to improve script performance.