Bookmap-ish Volume Diagram • Aggregated Delta + Level Flags [v5.3]

The Bookmap-ish Volume Diagram • Aggregated Delta + Level Flags [v5.3] indicator provides a comprehensive order flow visualization suite designed to analyze buying and selling aggression through a dedicated volume diagram pane. By aggregating delta from lower timeframes, it offers insights into market pressure, cumulative volume delta (CVD), and localized supply/demand interactions at key technical levels.

Usage

The tool is designed for order flow traders who require a visual representation of market aggression without cluttering the main price chart.

• Volume Diagram: The indicator displays buy and sell volume columns, allowing you to see the relative strength of market participants.
• Net Delta & CVD: Delta bars show the net difference between buying and selling volume per bar, while the CVD line tracks the cumulative flow over time to identify long-term exhaustion or absorption.
• Pressure Oscillator: A normalized oscillator highlights shifts in momentum. When the pressure line crosses its signal, it indicates a change in aggressive positioning.
• Level Flags: The tool automatically identifies high-probability areas where high pressure meets technical structure:
  • L+ (Bullish @ Lower): Strong buying pressure occurring at lower VWAP bands or pivot lows (Demand).
  • U- (Bearish @ Upper): Strong selling pressure occurring at upper VWAP bands or pivot highs (Supply).
  • VW+/VW-: Aggressive positioning occurring at the VWAP (Acceptance or Rejection).

Details

The script utilizes request.security_lower_tf to fetch granular volume data, ensuring that the delta calculations reflect actual market participation rather than simple candle direction. It calculates the Close Location Value (CLV) to determine volume distribution within a bar. The "Pressure" metric is derived by smoothing the aggregated delta and normalizing it against a simple moving average of absolute delta, creating a bounded oscillator that highlights extreme aggression.

Settings

Delta / Pressure Engine

• Use wicks (full range) for CLV: Determines if the delta calculation uses the full high-low range or just the body of the candle.
• Lower TF for delta aggregation: Sets the specific timeframe used to calculate the intra-bar delta.
• Pressure smoothing: The length used for the EMA of the delta.
• Pressure normalization: The period used to scale the pressure oscillator.
• Pressure signal length: The period for the signal line on the pressure oscillator.
• Show CVD: Toggles the visibility of the Cumulative Volume Delta line.
• Show pressure oscillator: Toggles the visibility of the pressure and signal lines.

Diagram Style

• Show Buy/Sell volume: Toggles the background buy and sell aggression columns.
• Show Delta bars: Toggles the net delta histogram.
• Volume/Delta scale: Adjusts the vertical size of the volume and delta elements for better visibility.

Pressure-at-Levels (Flags)

• Use VWAP bands: Integrates VWAP and standard deviation bands for flag detection.
• Use pivots: Integrates pivot highs and lows for flag detection.
• VWAP stdev length/multiplier: Configures the sensitivity and width of the VWAP bands.
• Level tolerance (ATR ×): Defines how close the price must be to a level to trigger a flag.
• Min |pressure| at level: The minimum oscillator value required to generate a signal.
• Show level flags: Toggles the visual labels for supply/demand interactions.

FAQ

How do I interpret the "L+" and "U-" flags? These flags indicate that high-volume aggression is occurring precisely at a structural support or resistance level, often signaling absorption or a potential reversal.

Why does the volume look different on different timeframes? The indicator uses lower timeframe data for its calculations. If the "Lower TF" setting is set to "1", it will look at 1-minute data regardless of your chart's timeframe, providing a consistent view of order flow.

How can I access the Bookmap-ish Volume Diagram • Aggregated Delta + Level Flags [v5.3]? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.