Realtime Volume Bars w Market Buy/Sell/Neutral split & Mkt Delta

The Realtime Volume Bars w Market Buy/Sell/Neutral split & Mkt Delta indicator provides a real-time decomposition of trading volume into market buy, market sell, and neutral components to reveal underlying order flow dynamics. It enables traders to identify the specific intent behind volume spikes by visualizing market delta and volume distribution directly on the sub-chart.

Usage

The Usage section describes how the script can be used, examples should be provided in this section. This section also focuses on how main settings affect the indicator interpretation and output.

• Real-time Order Flow Analysis: Traders use the split volume bars to determine if a price move is backed by aggressive market buying (upticks) or selling (downticks). For example, a price increase accompanied by high market buy volume suggests strong bullish conviction.
• Market Delta Interpretation: The Net Delta value displayed above the bars represents the difference between market buys and market sells. A positive delta indicates buying pressure, while a negative delta indicates selling pressure.
• Trend Confirmation: By using the optional Volume Moving Average, traders can identify when real-time participation is significantly higher than the average, signaling potential trend continuations or reversals.
• Mode Selection: The indicator can be set to "Up/Down/Neutral" for a granular view or "Up/Down" for a simplified view where neutral volume is categorized based on the previous price movement.

Details

The script functions by tracking tick-level data as it arrives in real-time. Because historical bars on most charting platforms do not contain intra-bar tick movement data, the volume split and market delta features are only active for bars forming after the indicator has been loaded.

• Data Collection: A vertical dashed line marks the "Start Line." Data to the right of this line represents accurate real-time calculations.
• Calculation Logic: Volume transacted on price increases is categorized as Market Buy, price decreases as Market Sell, and unchanged prices as Neutral.
• Persistence: It is important to note that data is not stored. Refreshing the browser, changing symbols, or adjusting settings will reset the accumulated real-time volume data.

Settings

• Mode: Switches between "Up/Down/Neutral" (3-way split) and "Up/Down" (2-way split where neutral volume is assigned to the last known direction).
• Show Split: Toggles the visual color-coding of the volume bars into buy, sell, and neutral segments.
• Show Start Line: Enables or disables the dashed vertical line indicating where real-time data collection began.
• Show MA: Toggles the display of an Exponential Moving Average (EMA) on the volume bars.
• MA Period: Defines the lookback period for the Volume Moving Average.
• Show Net Delta Vol Above Bar: Displays the numerical difference between buy and sell volume above each bar.
• Colors (Net Delta +ve/-ve/0): Customizes the text colors for positive, negative, and neutral delta values.
• Scale Down Factor: Divides the displayed delta value by 1, 10, 100, 1000, or 10000 to improve readability on high-volume instruments.
• Font Size: Adjusts the size of the Market Delta labels.

FAQ

Why does the indicator look like a normal volume bar on historical data? The intra-bar movement required to calculate market buy and sell volume is only available in real-time. Therefore, historical bars display standard volume until the script begins capturing live ticks.

Will I lose my data if I switch timeframes or symbols? Yes, because the data is calculated on the fly and not stored in a database, switching symbols or refreshing the chart will reset the volume split calculations.

How do I access the Realtime Volume Bars w Market Buy/Sell/Neutral split & Mkt Delta? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.