Order Blocks + Order-Flow Proxies

The Order Blocks + Order-Flow Proxies indicator combines structural market analysis with volume-derived proxy signals to help traders visualize significant institutional activity and structural shifts. By identifying displacement-based breaks of structure and correlating them with estimated order flow, the tool provides a comprehensive framework for chart annotation and contextual market study.

Usage

The tool is primarily used to identify high-interest zones where price previously showed strong displacement. Traders can use the following features for analysis:

• Structural Analysis: The script automatically marks Order Blocks (OB) following a Break of Structure (BOS). These zones act as potential areas of interest for future price reactions.
• Order-Flow Correlation: Users can verify price action within an OB using proxy signals like Cumulative Delta (CVD), Imbalance Ratios, and Effort vs. Result (EvR) to see if volume supports the structural move.
• Validation & Invalidation: Zones remain on the chart until the price closes or wicks beyond them (depending on settings) or a user-defined lifespan expires, ensuring the chart only displays relevant data.
• Contextual Filtering: Apply a higher-timeframe (HTF) EMA slope filter to ensure that lower-timeframe signals align with the broader market trend.

Details

This script uses specific algorithmic logic to identify market structure:

• Break of Structure (BOS): Defined when price closes beyond a recent swing high or low. To ensure quality, a displacement filter based on the Average True Range (ATR) is used to ignore minor fluctuations.
• Order-Flow Proxies: Since TradingView lacks access to raw exchange order books, this tool calculates "Delta" using bar direction and volume. The Imbalance Ratio normalizes this data, while "Effort vs. Result" compares volume intensity to actual price movement to identify potential exhaustion or absorption.
• Pruning Mechanism: To maintain performance and visual clarity, the script includes a pruning system that removes older zones once a maximum count is reached.

Settings

Structure & OB

• Swing length: Determines the lookback period for identifying swing highs and lows.
• ATR length & Displacement factor: Controls the sensitivity and required strength of a structural break.
• Body vs. wick reference: Toggles whether the OB zone is drawn based on the candle body or the full wick range.
• Invalidation rule: Sets whether a zone is removed upon a wick breach or a candle close beyond the level.
• Lifespan (bars): Defines how many bars a zone stays active before expiring.

Order-Flow Proxies

• Delta mode: Switches between "Close vs. Previous Close" or "Body" for calculating the delta proxy.
• EMA length: Sets the smoothing period for delta and imbalance calculations.
• Z-score lookback: Defines the window for calculating volume intensity in the Effort vs. Result logic.

FAQ

How do I interpret the "Effort vs. Result" signal?

Effort vs. Result (EvR) highlights discrepancies where high volume (effort) fails to move the price significantly (result), often indicating absorption or an upcoming reversal.

What is the difference between the Delta and Imbalance settings?

Delta is the estimated net difference between buying and selling pressure, while the Imbalance Ratio normalizes this value against total volume to provide a percentage-based view of pressure.

How do I get access to Order Blocks + Order-Flow Proxies?

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