Volume Profile Volume Delta OI Delta

The Volume Profile Volume Delta OI Delta indicator distinguishes volume delta for any asset and open interest (OI) delta specifically for Binance perpetual futures to visualize market pressure at specific price levels. This tool identifies aggressive buying and selling activity by calculating metrics at each tick level and displaying them via labels, lines, or heatmaps.

Usage

The indicator provides three primary data modes: Volume, Volume Delta, and OI Delta. Users can choose how price levels are distributed (by specific tick counts or percentage distance) and how the data is visualized on the chart.

• Data Selection: Choose "Volume" for total activity, "Vol. Delta" to see the difference between buy and sell volume, or "OI Delta" for Binance Perpetual Futures.
• Recalculation: Set the script to calculate from a fixed point in history or to reset based on a time threshold (e.g., every new day or week).
• Heatmap Visualization: Enable the heatmap to see a color-coded representation of delta intensity across price levels. This helps identify "high-interest" zones visually without cluttering the chart with labels.
• Classic Look vs. Tick Levels: The "Classic Look" divides each individual bar into a user-defined number of rows, whereas the standard mode tracks levels globally based on price movement.

Details

The script processes data using lower timeframe (1-minute) requests to provide granular accuracy. It employs two specific logic handling methods to ensure data consistency:

1. Volume Assumption: In standard scenarios, a tick might only record "buy" or "sell" volume. If the "Volume Assumption" setting is active, the script avoids recording "0" for the opposing side. Instead, it assumes a 60/40 split (e.g., if only buy volume is detected, it assumes 40% was actually sell volume) to better replicate the behavior of professional footprint and delta charting platforms.
2. Bar Division: If a one-minute bar covers multiple price levels, the script divides the volume or open interest by the number of levels breached. This prevents data from being concentrated on a single level when price moves rapidly through a range.

Note: The Open Interest feature is strictly compatible with Binance Futures symbols (e.g., BTCUSDT.P). It will not display data for spot assets or other exchanges.

Settings

• Data: Selects the metric to calculate (Volume, Vol. Delta, or OI Delta).
• Recalculation/Session: Determines if the script resets its calculations based on a specific timeframe (e.g., "D" for daily).
• Calculate Levels By: Choose "Ticks" for fixed price intervals or "Percentages" for volatility-adjusted levels.
• Classic Look: When enabled, divides each bar into a set number of rows rather than using global price levels.
• Use Volume Assumption: Enables the 60/40 split logic to avoid single-sided volume delta recording.
• Show Heatmap: Toggles the background color-coded intensity map.
• Show Label Color Outline: Adds a "neon effect" to labels for better visibility.
• Extend Lines: Options to extend the Point of Control (POC) or summed value lines across the chart.

FAQ

Which assets support the OI Delta feature?
The OI Delta functionality is exclusively designed for Binance Perpetual Futures pairs. It will not load data for other exchanges or spot market pairs.

How does the "Volume Assumption" setting affect my data?
It prevents the indicator from showing 100% buy or 100% sell volume at a specific level by assuming a 40% counter-trade. This is intended to smooth delta spikes and align the output with other professional order flow platforms.

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.