Cobalt Session Ledger

The Cobalt Session Ledger indicator provides an all-in-one intraday context solution featuring session VWAP, synthetic volume delta, liquidity sweep detection, and automated trade mapping. It is designed to help traders identify whether the market is extending, reverting, or building pressure around active session value areas.

Usage

The Usage section focuses on how the indicator interprets session data and provides visual planning aids based on price location and volume sentiment.

Session and VWAP Context

The script calculates VWAP and deviation bands (Sigma Rails) specifically for the configured session window. Traders use these to determine if price is overextended (near outer bands) or balanced.

• VWAP Bias: Price above VWAP suggests bullish intraday control; below suggests bearish control.
• Sigma Levels: The indicator plots up to three levels of standard deviation to highlight extreme mean-reversion zones.

Volume and Delta Analysis

Since many instruments lack native tick delta, the script uses a Synthetic Delta engine to estimate pressure from candle anatomy and volume.

• Session CVD: Accumulates synthetic delta throughout the session to show the net trend of volume pressure.
• Absorption: Highlighted when high volume occurs within a narrow price range, suggesting localized limit order interest.

Liquidity and Signals

The script automatically detects Liquidity Sweeps when price moves beyond recent pivots and rejects back into the range.

• Confirmed Reclaims: Occur when a sweep is accompanied by specific wick skew and VWAP alignment.
• Managed Ledger Map: When high-confidence signals occur, the script can project a visual trade plan including entry, stop, and three target levels (T1, T2, T3) based on ATR and Risk/Reward multiples.

Details

The Cobalt Session Ledger is constructed using Pine Script v6 and focuses on five core pillars:

1. Session Engine: Resets calculations at the start of the defined timezone/session (e.g., New York Open).
2. Synthetic Delta: Uses a weighted formula involving candle body position, close location relative to range, and total volume to proxy for bid/ask pressure.
3. Confidence Scoring: A multi-factor model (0-100) that weights VWAP location, delta momentum, liquidity events, and volume spikes to classify market state (e.g., "Apex", "Firm", or "Dull").
4. Wick Skew: Analyzes the ratio of upper to lower wicks to identify hidden rejection before it reflects in the closing price.
5. Visual Ledger: Uses box and line primitives to create a non-repainting historical record of potential trade setups.

Settings

Session and Sensitivity

• Session Window: Defines the time range for the VWAP and CVD accumulation.
• Session Timezone: Sets the local time for session resets.
• Liquidity Pivot Length: The lookback used to identify recent swing highs and lows for sweep detection.
• ATR Length: The period for Average True Range, affecting volatility bands and trade targets.

Analysis Multipliers

• Volume Spike Multiplier: The threshold above the baseline volume required to trigger absorption markers.
• Absorption Range Ceiling: Controls how "compact" a candle must be to qualify as absorption.
• VWAP Sigma (One, Two, Three): Multipliers for the deviation bands surrounding the session VWAP.

Trade Map and Display

• Show Managed Trade Map: Toggles the visibility of the entry/target boxes.
• Target R Multiples: Sets the risk-to-reward ratios for the three projected targets.
• Signal Cooldown: The number of bars to wait after a signal before another can be displayed, preventing clutter.
• Show Right-Side Price Labels: Displays price tags for the trade map on the chart's y-axis.

FAQ

How do I interpret the Dashboard? The top-right dashboard summarizes session health, showing current Sigma levels, CVD slope, and the overall Confidence Score to determine if the current trend is "Firm" or "Soft."

Is the Synthetic Delta accurate for all symbols? Because it is a synthetic estimation based on price action and total volume, it is highly effective for FX and Crypto but should be compared with exchange-traded volume on Equities or Futures for maximum precision.

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