Session Probability Grid

The Session Probability Grid indicator provides an open-source session auction map that builds percent-based ladder levels from the active session open, tracks historical hit behavior, and displays probability context for expansion and exhaustion. It solves the problem of session framing by recording historical outcomes and converting them into actionable ladder probabilities for better situational awareness.

Usage

The Usage section describes how the script can be used to interpret current session movement against historical norms.

• Session Framing: Upon the session open, the tool generates six upside and six downside levels based on configurable percentage steps. These frame how far price has moved relative to its starting point.
• Probability Cards: On the right side of the chart, probability cards display the historical likelihood of price reaching specific ladder levels. Traders can use these to gauge if a move is statistically "normal" or stretched.
• Expansion vs. Exhaustion:
  • Expansion: Identified when price moves through areas with supportive historical continuation data (e.g., crossing Step 4 with a high hit probability).
  • Exhaustion: Marked when price reaches extreme ladder levels (Step 6) where historical continuation is lower and volatility suggests a potential mean reversion.
• Session VWAP Gradient: Use the optional VWAP gradient to compare current price action against the volume-weighted average price, providing a reference for the session’s value area.

Details

The script utilizes a rolling memory system to create its statistical framework. At the end of every session, the indicator updates arrays storing hit counts, sample counts, and continuation distances for each ladder level. This creates a dynamic sample size (up to the user-defined limit) that adapts to changing market conditions rather than relying on static calculations.

The "Opening Range" is a critical calculation component; the first few bars of the session define a balance area which the indicator uses to calibrate the ladder steps. By distinguishing between early balance and later expansion, the script provides a nuanced view of the auction process.

Settings

• Active Session: Defines the time range for the trading session (e.g., "0930-1600").
• Opening Range Bars: Sets the number of initial bars used to establish the opening balance.
• Stat Sample Cap: Limits the number of historical sessions stored in memory for probability calculations.
• Open-Relative Ladders: Toggles the visibility of the percent-based step levels.
• Step 1–6: Customizable percentage values that determine the distance of each ladder level from the session open.
• Auction State Zones: Enables visual highlights for expansion and exhaustion zones.
• Continuation Probability Gate: Sets the statistical threshold required to trigger an "Expansion" signal.
• Session VWAP Gradient: Toggles a color-changing VWAP line based on price distance from the mean.
• Dashboard: Displays a real-time summary of session state, nearest ladder, and hit probabilities.

FAQ

How does the script calculate "Probability"? Probabilities are calculated using a rolling historical sample of how often price has touched a specific ladder level during previous sessions, adjusted by the total number of sessions recorded.

Why are the ladder levels different every day? The ladders are built relative to the session open and the volatility of the opening range. If the opening range is wider, the ladder steps will adjust accordingly to reflect the increased volatility.

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.