OPEN-SOURCE SCRIPT
Futures Volume + Delta - CFD Charts
A volume pane for CFD and cash-index charts that shows the REAL traded volume
of the matching futures contract — plus an estimated buy/sell delta and
absorption flags for effort-without-result bars.
What makes it original: CFD "volume" is broker tick count, not market
participation. This pane never uses it — every column is the exchange volume
of the auto-detected futures contract. The delta column is built from the
futures contract's own lower-timeframe candles (up-candle volume counts as
buying, down-candle volume as selling): the volume is real, only the side
attribution is an estimate, and it is labeled as such. Absorption flags then
combine both axes — volume percentile high while the price range percentile is
low — the candle-data footprint that hidden passive interest (iceberg-style
execution) leaves behind. Pine has no order book, so this is explicitly a
footprint proxy, not order-book detection.
How it works:
- The futures contract is auto-detected from the chart symbol (DAX/GER40 ->
FDAX, NAS100 -> NQ, US30 -> YM, UK100 -> Z, US500 -> ES), or set manually.
- Histogram = futures volume per chart bar; columns tint with bar direction,
a configurable MA marks the average.
- Delta = buy-minus-sell futures volume from 1/5/15-minute intrabars
(auto-selected by chart timeframe, manual override). Lower-timeframe
history is limited, so the delta reaches less far back than the histogram.
- Absorption flag (orange diamond + alert): volume percentile >= X and range
percentile <= Y over a rolling lookback — both thresholds adjustable.
- A status label confirms the active source and the delta resolution.
How to use it: read it like a footprint-lite. Rising price on rising futures
volume = participation confirms the move. An absorption diamond after an
extended run — heavy contracts traded, no price progress — marks where passive
interest is absorbing the aggression; combined with a one-sided delta it is a
common exhaustion/iceberg footprint. Delayed futures feeds confirm bars a few
minutes late; the historical picture is complete.
*This script is part of a consistent set of open-source session, range and
volume tools — the companions are on my profile.*
of the matching futures contract — plus an estimated buy/sell delta and
absorption flags for effort-without-result bars.
What makes it original: CFD "volume" is broker tick count, not market
participation. This pane never uses it — every column is the exchange volume
of the auto-detected futures contract. The delta column is built from the
futures contract's own lower-timeframe candles (up-candle volume counts as
buying, down-candle volume as selling): the volume is real, only the side
attribution is an estimate, and it is labeled as such. Absorption flags then
combine both axes — volume percentile high while the price range percentile is
low — the candle-data footprint that hidden passive interest (iceberg-style
execution) leaves behind. Pine has no order book, so this is explicitly a
footprint proxy, not order-book detection.
How it works:
- The futures contract is auto-detected from the chart symbol (DAX/GER40 ->
FDAX, NAS100 -> NQ, US30 -> YM, UK100 -> Z, US500 -> ES), or set manually.
- Histogram = futures volume per chart bar; columns tint with bar direction,
a configurable MA marks the average.
- Delta = buy-minus-sell futures volume from 1/5/15-minute intrabars
(auto-selected by chart timeframe, manual override). Lower-timeframe
history is limited, so the delta reaches less far back than the histogram.
- Absorption flag (orange diamond + alert): volume percentile >= X and range
percentile <= Y over a rolling lookback — both thresholds adjustable.
- A status label confirms the active source and the delta resolution.
How to use it: read it like a footprint-lite. Rising price on rising futures
volume = participation confirms the move. An absorption diamond after an
extended run — heavy contracts traded, no price progress — marks where passive
interest is absorbing the aggression; combined with a one-sided delta it is a
common exhaustion/iceberg footprint. Delayed futures feeds confirm bars a few
minutes late; the historical picture is complete.
*This script is part of a consistent set of open-source session, range and
volume tools — the companions are on my profile.*
开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。
开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。