Delta Volume Bubble [Quant Z-Score]

The Delta Volume Bubble [Quant Z-Score] indicator is a quantitative order flow tool that visualizes statistically significant volume and delta anomalies directly on the price chart. It utilizes Z-Score statistics to filter out market noise and highlight institutional interest, exhaustion, or absorption areas by adapting to changing volatility.

Usage

This tool is primarily used for identifying trend exhaustion, validating breakouts, and finding institutional support or resistance levels.

• Trend Exhaustion (Climax): A large bubble appearing at the top of an uptrend with a long upper wick or small candle body suggests buying exhaustion and passive selling (absorption).
• Breakout Validation: If a price level is breached and accompanied by a high Z-Score bubble, it suggests institutional backing for the move.
• Support/Resistance Defense: The "True VWAP" placement of the bubbles acts as a significant level. Traders can watch for price reactions when the market retraces to the center of a previous large bubble.
• Absorption Detection: When the "Detect Absorption" feature is enabled, the tool identifies "Trapped Traders" by highlighting candles where high volume (effort) results in minimal price movement (result).

Details

The indicator moves away from fixed volume thresholds by using an Adaptive Z-Score methodology. This calculates how many standard deviations the current volume is from a historical average, ensuring that volume spikes are relative to the current market session (e.g., distinguishing between the quiet Asian session and the volatile New York Open).

Furthermore, the script utilizes a "True VWAP" placement logic. By using lower timeframe data, it calculates the exact Volume Weighted Average Price within a single candle and plots the bubble at that specific price level, rather than simply at the high, low, or close.

Settings

Data Settings

• Calculation Source: Selects between Volume Delta (buying vs. selling pressure) or standard Total Volume.
• Lower TF Granularity: The timeframe used to calculate the "True VWAP" location and delta aggregation.
• Statistical Lookback: The number of bars used to establish the mean and standard deviation for the Z-Score.

Quant Logic

• Calculation Mode: Choose between "Adaptive (Z-Score)" for statistical significance or "Fixed" for raw volume thresholds.
• Z-Score Threshold: Sets the sensitivity for triggers. A value of 2.0 represents the top 5% of statistical occurrences.

Absorption Logic

• Detect Absorption: Enables highlighting of candles where high volume occurs with a small price body.
• Absorption Ratio: Sets how small the candle body must be relative to the average to be considered absorption.

Visuals

• Scale Size by Z-Score: When enabled, bubble sizes (Small, Medium, Large) grow based on the intensity of the signal.
• Adaptive Color Intensity: Fades the bubble opacity dynamically based on the strength of the Z-Score.
• Glow Effect: Adds a visual halo around bubbles for better visibility.

FAQ

How do I interpret the different bubble sizes? Bubble sizes scale based on the Z-Score. Larger bubbles indicate more extreme statistical anomalies, suggesting higher institutional activity or more significant effort.

What is the difference between Volume Delta and Regular Volume modes? Volume Delta analyzes the difference between aggressive buying and selling ticks, whereas Regular Volume looks at the total amount of shares or contracts traded regardless of direction.

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