OPEN-SOURCE SCRIPT
DELTA/SIGMA heatmap - Quant Flow
# DELTA/SIGMA heatmap - Quant Flow
Session Atlas combines price statistics, estimated volume flow and session structure in one chart overlay. Designed primarily for intraday analysis of **NQ and QQQ**, it helps traders assess unusual price movements alongside VWAP, opening prices and volume distribution.
### Main features
**Three price-movement models**
Choose between Rolling, EWMA and Robust MAD. Each compares the current logarithmic return with a reference built exclusively from previous candles. Robust MAD uses the median and median absolute deviation, providing an alternative that is less sensitive to isolated historical shocks.
**Historical context**
See how many previous returns were at least as far from their shared median as the current return. Additional metrics show:
- **Volatility ratio:** recent volatility compared with a longer historical window.
- **Path efficiency:** how directly price travelled, from repeated reversals toward movement consistently in one direction.
These describe observed market behaviour; they are not probabilities of a profitable trade.
**Delta heatmap and RTH CVD**
Display estimated directional volume through candle colours and cumulative volume delta from the regular-session open. These calculations use OHLCV price-direction estimates, **not actual bid/ask execution data**.
**Session reference levels**
Track regular-session, daily and extended-session opening prices, together with RTH and ETH VWAP. Optional RTH VWAP bands show volume-weighted price dispersion.
**Volume profile**
View an estimated profile for RTH, ETH or a rolling window of minute bars, including POC, Value Area High and Value Area Low.
**Optional level mapping**
Add manually supplied call-wall, put-wall, gamma-flip and high-OI levels with explicit validity periods. Price-conversion tools can map levels between related instruments. The script does not independently retrieve an options chain or calculate dealer gamma exposure.
**Configurable alerts and presentation**
Choose alerts at the start of a sigma extreme or on every qualifying candle, with an adjustable minimum interval. Candle heatmaps default to confirmed bars; session calculations can continue updating intrabar.
### Intended use
Use Session Atlas as a market-context tool alongside your own trading rules. It supports standard time-based intraday charts from one minute upward. Results depend on the selected timeframe, session and available data.
An extreme reading identifies an unusual movement—it does not, by itself, establish a reversal, continuation or trade entry. No profitability or predictive accuracy is guaranteed.
Session Atlas combines price statistics, estimated volume flow and session structure in one chart overlay. Designed primarily for intraday analysis of **NQ and QQQ**, it helps traders assess unusual price movements alongside VWAP, opening prices and volume distribution.
### Main features
**Three price-movement models**
Choose between Rolling, EWMA and Robust MAD. Each compares the current logarithmic return with a reference built exclusively from previous candles. Robust MAD uses the median and median absolute deviation, providing an alternative that is less sensitive to isolated historical shocks.
**Historical context**
See how many previous returns were at least as far from their shared median as the current return. Additional metrics show:
- **Volatility ratio:** recent volatility compared with a longer historical window.
- **Path efficiency:** how directly price travelled, from repeated reversals toward movement consistently in one direction.
These describe observed market behaviour; they are not probabilities of a profitable trade.
**Delta heatmap and RTH CVD**
Display estimated directional volume through candle colours and cumulative volume delta from the regular-session open. These calculations use OHLCV price-direction estimates, **not actual bid/ask execution data**.
**Session reference levels**
Track regular-session, daily and extended-session opening prices, together with RTH and ETH VWAP. Optional RTH VWAP bands show volume-weighted price dispersion.
**Volume profile**
View an estimated profile for RTH, ETH or a rolling window of minute bars, including POC, Value Area High and Value Area Low.
**Optional level mapping**
Add manually supplied call-wall, put-wall, gamma-flip and high-OI levels with explicit validity periods. Price-conversion tools can map levels between related instruments. The script does not independently retrieve an options chain or calculate dealer gamma exposure.
**Configurable alerts and presentation**
Choose alerts at the start of a sigma extreme or on every qualifying candle, with an adjustable minimum interval. Candle heatmaps default to confirmed bars; session calculations can continue updating intrabar.
### Intended use
Use Session Atlas as a market-context tool alongside your own trading rules. It supports standard time-based intraday charts from one minute upward. Results depend on the selected timeframe, session and available data.
An extreme reading identifies an unusual movement—it does not, by itself, establish a reversal, continuation or trade entry. No profitability or predictive accuracy is guaranteed.
Script de código aberto
Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.
Aviso legal
As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.
Script de código aberto
Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.
Aviso legal
As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.