Volume Analysis - Heatmap and Volume Profile

The Volume Analysis - Heatmap and Volume Profile indicator provides a comprehensive visualization of intra-bar volume distribution, price movement heatmaps, and volume profile metrics to identify liquidity zones and market sentiment. It utilizes high-frequency lower timeframe data to construct a detailed view of volume activity across multiple dimensions within a single charting window.

Usage

The Usage section describes how the script can be used to visualize market dynamics. The tool allows users to break down individual candles into a grid (columns and rows) to see exactly where volume was transacted.

• Heatmap Interpretation: Boxes within the grid are colored based on volume intensity and price direction. Brighter colors represent higher relative volume, while the hue indicates whether the price movement was bullish or bearish.
• Volume Profile & POC: Users can enable a volume profile with up to 25 rows to identify the Value Area (VA), Value Area High (VAH), Value Area Low (VAL), and the Point of Control (POC). This can be displayed in the indicator pane or overlaid on the main chart.
• Grid Positioning: The indicator supports two location modes: "Absolute," which places the heatmap data at the actual price levels, and "Zero Line," which centers the data for relative volume analysis.
• Market Hours Data Integrity: For instruments that do not trade 24/7 (like equities), the script automatically removes data gaps from weekends and holidays to ensure a continuous visual flow without empty columns.

Details

The script leverages advanced Pine Script features like methods, enums, and force_overlay to handle complex data processing. It retrieves up to 100,000 data points per candle via request.security_lower_tf to calculate the volume distribution accurately.

The color of each box is calculated based on lower timeframe closing price movements and volume magnitude. The indicator also provides a cumulative volume display and a "Difference" mode, which highlights the net delta between buy and sell volumes for every column in the analyzed period. An automated info panel adjusts its background based on the chart's theme (light or dark) to maintain readability.

Settings

Setup

• Plan: Selects the account tier (Lower Tier or Premium+) to determine the minimum available lower timeframe for data fetching.
• Number of Columns: Sets the horizontal resolution of the heatmap for each candle.
• Number of Rows: Sets the vertical resolution/price tiers for the heatmap.
• Location of Candles: Toggles between "Absolute" price placement or a "Zero Line" centered view.
• Colors: Customizable color palette for bullish and bearish activity.

Volume Profile

• Volume Profile: Enables the histogram showing volume distribution by price.
• Value Area Volume: Sets the percentage of total volume to be included in the Value Area (default is 70%).
• Show Volume Profile in Main Chart: Overlays the profile onto the main price action.
• Show POC: Toggles the Point of Control line.
• Number of Rows: Adjusts the vertical granularity of the profile (up to 25).

Volume

• Show Volume: Displays volume bars for each heatmap column.
• Cumulative: Shows the total accumulated volume across the analyzed range.
• Difference: Displays the buy/sell volume delta.

Extras & Background

• Closing Price: Shows the lower timeframe closing price path (only in Absolute mode).
• Show Candle Body: Highlights the original candle structure behind the heatmap.
• Empty Box Transparency: Adjusts the visibility of grid cells with no volume.

FAQ

How do I adjust the resolution of the heatmap? You can modify the "Number of Columns" and "Number of Rows" in the Setup section to increase or decrease the detail of the volume grid.

Why does the data appear consolidated without gaps on weekends? The script includes an optimization feature that removes time gaps for markets that are not open 24/7, ensuring the heatmap remains contiguous even after market closures.

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