Depth of Market (DOM) [LuxAlgo]The Depth Of Market (DOM) tool allows traders to look under the hood of any market, taking price and volume analysis to the next level. The following features are included: DOM, Time & Sales, Volume Profile, Depth of Market, Imbalances, Buying Pressure, and up to 24 key intraday levels (it really packs a punch).
As a disclaimer, this tool does not use tick data, it is a DOM reconstruction from the provided real-time time series data (price and volume). So the volume you see is from filled orders only, this tool does not show unfilled limit orders.
Traders can enable or disable any of the features at will to avoid being overwhelmed with too much information and to make the tool perform faster.
The features that have the biggest impact on performance are Historical Data Collection, Key Levels (POC & VWAP), Time & Sales, Profile, and Imbalances. Disable these features to improve the indicator computational performance.
🔶 DOM
This is the simplest form of the tool, a simple DOM or ladder that displays the following columns:
PRICE: Price level
BID: Total number of market sell orders filled or limit buy orders filled.
SELL: Sell market orders
BUY: Buy market orders
ASK: Total number of market buy orders filled or limit sell orders filled.
The DOM only collects historical data from the last 24 hours and real-time data.
Traders can select a reset period for the DOM with two options:
DAILY: Resets at the beginning of each trading day
SESSIONS: Resets twice, as DAILY and 15.5 hours later, to coincide with the start of the RTH session for US tickers.
The DOM has two main modes, it can display price levels as ticks or points. The default is automatic based on the current daily volatility, but traders can manually force one mode or the other if they wish.
For convenience, traders have the option to set the number of lines (price levels), and the size of the text and to display only real-time data.
By default, the top price is set to 0 so that the DOM automatically adjusts the price levels to be displayed, but traders can set the top price manually so that the tool displays only the desired price levels in a fixed manner.
🔹 Volume Profile
As additional features to the basic DOM, traders have access to the volume profile histogram and the total volume per price level.
This helps traders identify at a glance key price areas where volume is accumulating (high volume nodes) or areas where volume is lacking (low volume nodes) - these areas are important to some traders who base their decision-making process on them.
🔹 Imbalances
Other added features are imbalances and buying pressure:
Interlevel Imbalance: volume delta between two different price levels
Intralevel Imbalance: delta between buy and sell volume at the same price level
Buying Pressure Percent: percentage of buy volume compared to total volume
Imbalances can help traders identify areas of interest in the price for possible support or resistance.
🔹 Depth
Depth allows traders to see at a glance how much supply is above the current price level or how much demand is below the current price level.
Above the current price level shows the cumulative ask volume (filled sell limit orders) and below the current price level shows the cumulative bid volume (filled buy limit orders).
🔶 KEY LEVELS
The tool includes up to 24 different key intraday levels of particular relevance:
Previous Week Levels
PWH: Previous week high
PWL: Previous week low
PWM: Previous week middle
PWS: Previous week settlement (close)
Previous Day Levels
PDH: Previous day high
PDL: Previous day low
PDM: Previous day middle
PDS: Previous day settlement (close)
Current Day Levels
OPEN: Open of day (or session)
HOD: High of day (or session)
LOD: Low of day (or session)
MOD: Middle of day (or session)
Opening Range
ORH: Open range high
ORL: Open range low
Initial Balance
IBH: Initial balance high
IBL: Initial balance low
VWAP
+3SD: Volume weighted average price plus 3 standard deviations
+2SD: Volume weighted average price plus 2 standard deviations
+1SD: Volume weighted average price plus 1 standard deviation
VWAP: Volume weighted average price
-1SD: Volume weighted average price minus 1 standard deviation
-2SD: Volume weighted average price minus 2 standard deviations
-3SD: Volume weighted average price minus 3 standard deviations
POC: Point of control
Different traders look at different levels, the key levels shown here are objective and specific areas of interest that traders can act on, providing us with potential areas of support or resistance in the price.
🔶 TIME & SALES
The tool also features a full-time and sales panel with time, price, and size columns, a size filter, and the ability to set the timezone to display time in the trader's local time.
The information shown here is what feeds the DOM and it can be useful in several ways, for example in detecting absorption. If a large number of orders are coming into the market but the price is barely moving, this indicates that there is enough liquidity at these levels to absorb all these orders, so if these orders stop coming into the market, the price may turn around.
🔶 SETTINGS
Period: Select the anchoring period to start data collection, DAILY will anchor at the start of the trading day, and SESSIONS will start as DAILY and 15.5 hours later (RTH for US tickers).
Mode: Select between AUTO and MANUAL modes for displaying TICKS or POINTS, in AUTO mode the tool will automatically select TICKS for tickers with a daily average volatility below 5000 ticks and POINTS for the rest of the tickers.
Rows: Select the number of price levels to display
Text Size: Select the text size
🔹 DOM
DOM: Enable/Disable DOM display
Realtime only: Enable/Disable real-time data only, historical data will be collected if disabled
Top Price: Specify the price to be displayed on the top row, set to 0 to enable dynamic DOM
Max updates: Specify how many times the values on the SELL and BUY columns are accumulated until reset.
Profile/Depth size: Maximum size of the histograms on the PROFILE and DEPTH columns.
Profile: Enable/Disable Profile column. High impact on performance.
Volume: Enable/Disable Volume column. Total volume traded at price level.
Interlevel Imbalance: Enable/Disable Interlevel Imbalance column. Total volume delta between the current price level and the price level above. High impact on performance.
Depth: Enable/Disable Depth, showing the cumulative supply above the current price and the cumulative demand below. Impact on performance.
Intralevel Imbalance: Enable/Disable Intralevel Imbalance column. Delta between total buy volume and total sell volume. High impact on performance.
Buying Pressure Percent: Enable/Disable Buy Percent column. Percentage of total buy volume compared to total volume.
Imbalance Threshold %: Threshold for highlighting imbalances. Set to 90 to highlight the top 10% of interlevel imbalances and the top and bottom 10% of intra-level imbalances.
Crypto volume precision: Specify the number of decimals to display on the volume of crypto assets
🔹 Key Levels
Key Levels: Enable/Disable KEY column. Very high performance impact.
Previous Week: Enable/Disable High, Low, Middle, and Close of the previous trading week.
Previous Day: Enable/Disable High, Low, Middle, and Settlement of the previous trading day.
Current Day/Session: Enable/Disable Open, High, Low and Middle of the current period.
Open Range: Enable/Disable High and Low of the first candle of the period.
Initial Balance: Enable/Disable High and Low of the first hour of the period.
VWAP: Enable/Disable Volume-weighted average price of the period with 1, 2, and 3 standard deviations.
POC: Enable/Disable Point of Control (price level with the highest volume traded) of the period.
🔹 Time & Sales
Time & Sales: Enable/Disable time and sales panel.
Timezone offset (hours): Enter your time zone\'s offset (+ or −), including a decimal fraction if needed.
Order Size: Set order size filter. Orders smaller than the value are not displayed.
🔶 THANKS
Hi, I'm makit0 coder of this tool and proud member of the LuxAlgo Opensource team, it's an honor to be part of the LuxAlgo family doing something I love as it's writing opensource code and sharing it with the world. I'd like to thank all of you who use, comment on, and vote for all of our open-source tools, and all of you who give us your support.
And of course thanks to the PineCoders family for all the work in front of and behind the scenes that makes the PineScript community what it is, simply the best.
Peace, Love & PineScript!
Bidask
OrderFlow Absorption IndicatorWhat it Does
The OrderFlow Absorption Indicator marks areas where the price absorbs a large volume of aggressive market trades. This indicates areas where price may bounce back due to large limit (resting) orders absorbing significant aggressor volume (market orders). Absorption can also be seen as "preventing" or "stopping" the other side from breaking through a price level (e.g. bids stopping an influx of sell market orders). Absorption may signal a change in sentiment, potentially leading to a pullback or reversal.
An Example of Absorption
Of course, it is not always the case that such bullish absorption will initiate a trend as the example above. The OrderFlow Absorption Indicator merely serves as a tool for spotting possible absorption points in the market which you can incorporate into your trading arsenal.
How it Works
The indicator actively monitors price changes and records volume accumulated at a price level. If the price bounces back to at least where it was before the current price move, the indicator records this as absorption, provided it meets the Volume Requirement and optional Time Requirement.
How to Use it
1. Set Parameters
Choose your desired tick size and volume filter value. If unsure, refer to the table on the top right of the chart for recommended values. An automatic volume limit filter mode is also available.
Automatic Limit Mode : Enable this mode to have the indicator automatically select a volume filter value. It calculates the standard deviation of the last n minutes of volume and multiplies it by a volume multiplier. You can adjust these parameters.
Higher Volume Filter : Setting a higher volume filter value results in fewer, but higher quality detections, reducing noise.
2. Enabling the Time Limit
Enabling the time limit further improves detection quality by filtering out price levels that can defend against quick, sudden aggressive orders, acting as confirmation and indicating strong sentiment and resilient liquidity.
3. Enabling Historical Data Absorption
The indicator can also detect absorption in historical data, though less accurately than in real-time due to OHLCV aggregation.
You can select the granularity of historical data.
Lower granularity (e.g., 1 second) : Provides more accurate detections but may slow down the indicator.
Higher granularity : Improves speed but reduces detection accuracy.
Other Features
Hovering : When hovering over an absorption point, the interface reveals the price where the absorption occurred, along with the volume absorbed by the bids and asks, as well as the volume filter value used.
Delta Mode : In Delta mode, the system calculates the difference between the volume absorbed by bids and asks, revealing points only when the absolute value of this difference exceeds the volume filter value. Especially useful for larger tick sizes.
Troubleshooting
If the indicator doesn't mark anything, it means the traded volume hasn't exceeded the set volume filter value within the specified price intervals(tick size) and time limit. Adjust these settings as necessary.
Delta Profile SpaceManBTCDelta Profile SpaceManBTC
Delta Profile SpaceManBTC, provides 2 very useful functions to tradingview traders with increased statistic for their candles in which case they can use to add confluence to their trading style.
Profile Types:
There are 2 main modes as it stands:
Delta Profile: Comes with the ability to show where buyers and sellers are stepping in more aggressively at which points to show a representation of trapped traders easier and aggression in the market.
Volume Profile: Can be used to do the same but in a more pure volume form, as well as allows for an ease in detecting a momentum shift.
Statistic Types: works with all modes
Ask/Bid Ask bid gives you the pure representation of that data showing at which points buyers stepped in and seller stepped in, no additional calculation on top.
Delta Delta shows the difference between, ie delta, for the ask and bid so its easier to view the difference at loss of the exact values used.
Volume Volume, shows the pure volumetric values no explanation of who buyers and sellers are allowing for a clean view of what is happening in the market with no code functionality applied.
The statistics are not isolated to their desired profile type as this provides the ability to use the volume profile type and delta values and vice versa, allowing users to choose which UI representation they want but which data.
This allows users to get both parts of the picture at any one time!
Using the tick data provided i am able to accurately caclulate the information, however this means for historical data there is none until the script is run for a period of time without stopping.
The tool is a method of providing flow data to the tradingview community, it can allow for good confluences at key levels of interaction E.G., key swing points/S/R points is when its accuracy for trading shines and can give you a good understanding of whats
happening at that time in the market.
Highly recommend dialing the ticksize manually. this provides greater consistency, auto ticksize was made for entry level users to quickly get a feel of the indicator but manually tuning to get the data you require without too much noise is very useful.
TO DO:
Sessions: accounting for Asia,Europe and North America
Tick based candles. e.g number of ticks before a new candle is generated.
Delta Continuum SpaceManBTCDelta Continuum SpaceManBTC
This is a tool that ive made with a brand new code base, to assist traders of all timeframes.
The new version of this tool makes use of the intra data to collect the tick for tick data that can be provided, this allows the provisioning of orderflow on tradingview.
Using a calculation of pure tick data and volume calculations, the display is created allowing the means to display a bid and ask seperation functionality to show the trades taking place in a market.
Taking account for this real time data it can show the exact moments a market participant is taking a trade.
This tool is an advanced way of determining the levels of which point is being interacted with to display the points at which a seller has stepped in to interact with a level, providing additional confluences when taking a trade.
Typically the best use case for this indicator is to see when their is a point of trapped traders in the trade, e.g. late longing resistance or late shorting support. Works best on futures contracts due to the high levels of execution volume in comparison.
Highly recommend dialing the ticksize manually. The ticksize for this indicator is best used manually as it allows for greater consistency when seeing who is participating at what level, as auto ticksize,
focuses on the volatility of the previous candle to display some data for the current candle. Now this will make it easier to use, it can reduce the consistency of the indicator when providing data.
Autoticksize will still be useful and will provide some confluence to the new flow traders.
to generate the data the candle must be the realtime candle and will not generate for historical candles, however this data for the real time candle will be only generated from the exact point in time to which the candle is loaded.
The indicator can show both the bid/ask split but alternatively the user can choose to just show the delta instead for ease of viewing.
TO DO:
Release the ticksize candles, to allow for tickbased charts and not just time based.
Footprint
What is it?
The classic Market Footprint chart for realtime bars (; at least the closest I could get it to anyway).
The tool has 3 modes, which display different volume data for the traded prices of each bar: (1) Up/Down Volume Footprint: At-price Up Volume and At-price Down Volume ; (2) Total Volume Footprint: Total volume transacted at each price; and, (3) Delta Volume Footprint: Difference between At-price Up Volume and At-price Down Volume . You can choose which mode you want from Settings. Each at-price value is color-coded based on its strength/weakness.
Maximum at-price volume for a bar can be chosen to be displayed in a separate color. This will serve (and be shown) as the VPOC ( Volume Point of Control). Note: This is not technically precise as VPOC is a slightly different concept. (But should be the same for most candles).
Below the bars (or above, depending on how you configure it), are displayed the following:(1) Net Delta Volume for the bar; (2) Total Volume for the bar; (3) Cumulative Delta Volume for bars plotted up till this point (i.e., from the time the tool started collecting realtime data); (4) Buy Volume for the bar as a percentage of the total volume for the bar; and, (5) Sell Volume for the bar as a percentage of the total volume for the bar. Each value here is color-coded as well.
In addition, a custom candle option has been provided. These are ON by default and displays 'thinner' candles for, arguably, good readability with Footprint in Up/Down Volume Mode. With custom candles, Tradingview's default candles will be rendered redundant and can be disabled. If you wish to switch to Tradingview's candles, it is recommended that you use either hollow candle mode or bar mode to view the footprint properly. (Filled-body candles will hide the values). Note that with the Footprint chart in either "Total Volume" or "Delta Volume" mode, you are better off using Tradingview's hollow candles or bars.
Almost all labels/colors etc. are configurable to suit your aesthetics.
All data are ONLY AVAILABLE FOR REAL-TIME BARS. The longer you keep a chart open with the study enabled, the more data it collects and displays, and the better your analysis can potentially be. Note that the data gets reset every time (a) any of the options is changed, (b) the market is switched, (c) the browser is refreshed, or (d) the script is reloaded
DATA ISN'T STORED. I.e., every time a new symbol is loaded, the previous symbol's data is lost. So if you intend to monitor a symbol closely, you would need to keep it loaded all the time (and without tinkering with any of the Settings in between).
Who is it for?
For ultra short term traders who are used to looking at short term auction orderflow (and price action) to catch buy/sell anomalies and accurate trade entries
For traders looking to get into footprint chart reading and who wish to give it a go and learn before investing in expensive platforms/tools.
For traders (, irrespective of their method of trading,) who wish to understand what is happening under the hood when a certain price action unfolds.
Who is in control, who got trapped, what does liquidity or the lack thereof look like, etc.
Mode 2: Total Volume Footprint. This also shows how Tradingvoew's hollow candles can be used with the tool.
Mode 3: Delta Volume Footprint
DeltaPrint Candles SpacemanBTCDeltaPrint Candles SpacemanBTC
This is a tool that ive made that will be very useful to all types of traders. Orderflow based or price action based by providing a means to deliver both on tradingview.
Using a calculation of time volume and ticks, the display is created with a bid and ask for display functionality to show the influence of players in the market.
The tool will be a useful way to determine the levels of which a point is interacted with by the number of traders participating at that level.
This will help determine with a statistical representation in numerical form, the number of buyers and sellers being stopped out or trapped at any level specifically key support and resistance areas.
Ticksize is used to determine the amount of data generated, the lower the more information will be provided on the current candle. Using AutoTickSize will do this automatically accounting for recent volatility.
Therefore when using and new, use auto, to switch between charts with ease. On charts that you always keep open it is recommended to manually tune ticksize to your choosing.
To generate the data the candle is show on the left of the footprint in normal candle stick form but then displays the statistical values to the side to show relative participation.
The logic is to provide a better method to show the importance of potential levels, regularly works really well on swing highs and lows/liquidity sweeps.
The indicator also has the ability to show only the delta if that is your preference, the above is to show the full capabilities of generating data.
TO DO:
One more display type, similar to the delta ladder.
Increased Look back period with stacks.
