Heatmap Volume

The Heatmap Volume indicator colors volume bars and candles based on their statistical distance from the average volume to highlight significant trading activity. This tool provides a visual representation of volume intensity by calculating how many standard deviations the current volume deviates from a long-term moving average.

Usage

The Usage section describes how the script can be used to identify periods of unusual market activity. Traders can use the heatmap to distinguish between low-activity periods and high-conviction moves that may precede price reversals or trend continuations.

• Identifying Institutional Activity: Extra High and High volume bars often signify institutional participation or the exhaustion of a trend.
• Visualizing Volatility: By applying colors directly to the candles and the volume sub-pane, users can maintain focus on price action while simultaneously monitoring volume intensity.
• Zone Interpretation: The indicator can display heatmap zones as backgrounds or lines in the volume pane, providing a static reference for what constitutes "Normal" versus "Extra High" volume at any given time.

For an optimal visual experience, it is recommended to set candle borders and wicks to a neutral color in the platform settings.

Details

The script calculates the relative intensity of volume using a Z-score-like approach. It computes a Simple Moving Average (SMA) and the Standard Deviation of the volume over a user-defined lookback period. The core calculation determines the "stdbar" value: stdbar = (volume - mean) / standard deviation

Based on this value, the volume is categorized into five zones: Extra High, High, Medium, Normal, and Low. These categories are defined by user-adjustable multipliers that represent the number of standard deviations away from the mean.

Settings

• MA Length: Sets the lookback period for the volume Moving Average. Higher values highlight long-term volume trends, while lower values are more sensitive to short-term spikes.
• Standard Deviation Length: Sets the lookback period used to calculate volume volatility.
• Heatmap Threshold Multipliers: These inputs (Extra High, High, Medium, Normal) determine the standard deviation levels required to trigger each color zone.
• Colored Bars: Toggles whether the price candles on the main chart are colored according to the heatmap logic.
• Display Heatmap Zones as: Choose between None, Lines, Backgrounds, or Both to visualize the threshold levels in the volume pane.
• Color Mode:
  • Heatmap: Colors are based strictly on volume intensity regardless of price direction.
  • Up/Down: Combines volume intensity with price direction (bullish vs. bearish).
• Color Customization Groups: Separate groups allow for detailed adjustment of the colors used for Heatmap, Up, and Down modes across all five intensity levels.

FAQ

How do I interpret the different colors on the bars? The colors represent the statistical significance of the current volume. Red or "Extra High" colors typically indicate volume that is several standard deviations above the average, suggesting significant market events.

Can I use this for alerts? Yes, the script includes alert conditions for various volume thresholds (Extra High, High, Medium, etc.) and can further filter these alerts by bar direction (Up/Down).

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