Delta Imbalance Map

The Delta Imbalance Map indicator is an open-source tool that identifies three-bar fair value gaps and evaluates them using a composite scoring system based on gap size, candle drive, volume rank, and lower-timeframe participation. It aims to reduce chart noise by filtering for significant imbalances and managing overlapping zones to highlight only the most relevant price levels.

Usage

The Usage section describes how to interpret the indicator's data and how settings influence the visual output.

• Identifying Active Zones: Unfilled boxes represent active imbalances. Bullish imbalances (green-tinted) occur when a low is higher than the high from two bars prior, while bearish imbalances (red-tinted) occur when a high is lower than the low from two bars prior.
• Analyzing Participation: Each zone is split into buyer and seller participation sections based on lower-timeframe intrabar data. Use the dotted internal line to see the estimated delta tilt.
• Reading Zone Tags: When enabled, tags provide the exact price range, a composite quality score, and the ATR-relative gap size.
• Mitigation Logic: Use the "Mitigation" setting to choose between "Touch" (zone clears when price enters it) or "Full Fill" (zone clears only when price moves entirely through it).
• Contextual Analysis: Treat older, filled zones (which remain visible but faded by default) as historical support/resistance context, while prioritizing fresh zones with higher scores for current analysis.

Details

The script utilizes several advanced logic layers to refine its output:

• Three-Bar Detection: Uses standard fair value gap logic: bullGap = low > high[2] and bearGap = high < low[2].
• Lower-Timeframe (LTF) Proxy: Since true bid/ask delta isn't available on all feeds, this script requests LTF volume and candle direction to estimate buyer/seller participation within a single higher-timeframe bar.
• Composite Scoring: Zones are scored (0–100) based on a weighted calculation of the gap size (relative to ATR), the body drive of the breakout candle, the volume percentile rank, and the delta tilt.
• Overlap Management: To prevent "box stacking," the script uses an overlap guard. If a new zone overlaps an existing one, it can prioritize keeping the zone with the higher quality score.
• Birth-Bar Guard: To prevent immediate flickering, new zones cannot be marked as "filled" on the same candle they are generated.

Settings

Detection

• Delta lower TF: Sets the timeframe for intrabar volume analysis.
• Min gap ATR: Filters out tiny gaps; only imbalances larger than this ATR multiplier are plotted.
• Min delta tilt: The minimum percentage skew between buyers and sellers required to validate a zone.
• Min volume rank: Filters for gaps occurring on high-volume bars (percentile-based).
• Mitigation: Selects the trigger for clearing a zone (Touch or Full Fill).
• Prefer stronger overlap: When enabled, the script removes weaker zones that overlap with stronger ones.
• Zone life bars: The maximum number of bars a zone remains active before being automatically retired.

Visuals

• Max tracked zones: Limits the number of zones stored in memory.
• Keep filled zones: Toggles whether mitigated zones remain visible on the chart.
• Show zone tags/rails: Toggles the visibility of descriptive labels and extended price lines.
• Tint candles by active tilt: Softly colors the candles based on the dominant participation of active imbalances.

FAQ

How do I use the quality score? The score aggregates volume, size, and participation. Scores closer to 100 indicate imbalances backed by significant volume and a strong directional "tilt" in lower-timeframe participation.

Why do some zones disappear quickly? Zones may disappear due to the "Overlap Guard" if a stronger zone forms in the same area, or because they reached the "Zone life bars" limit or were mitigated by price action based on your selected Mitigation mode.

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.