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Liquidity Absorption and Rejection Orderflow @MaxMaserati
Liquidity Absorption and Rejection Orderflow
An order flow analysis engine that tracks every high and low the market forms and classifies what happened when price returned to that level — whether passive orders defended it, were absorbed, or were broken through — using footprint delta and volume ratio analysis. Every level on the chart shows a ● when untouched and a ✕ when price has crossed it, so the trader sees the status of each liquidity pool at a glance without reading the outcome text.
─── WHY THESE COMPONENTS TOGETHER ───
Volume analysis alone shows whether activity at a price level was above or below average, but cannot tell which side was dominant. Footprint delta alone shows the buy/sell imbalance but has no structural anchor — it does not know which historical level it is measuring against, or whether price closed back through it. Passive order level tracking alone shows where orders were resting but cannot determine whether they held or were consumed.
This script integrates all three simultaneously. The structural level comes from the price history. The volume ratio against the moving average determines conviction. The footprint delta percentage determines which side was dominant. All three feed into a single classification engine that produces one outcome label per level touched.
─── LEVEL STATES AND MARKERS ───
Every level carries a ● or ✕ marker and falls into one of four states:
Last — the most recent closed candle's high and low. These are the first passive orders price is approaching on the live candle. The marker switches from ● to ✕ the moment the live candle's high or low crosses the level intrabar — no need to wait for the candle to close. Resets automatically when the next candle opens.
Sell Limit Orders Liquidity ● → not yet reached on the live candle
Sell Limit Orders Liquidity ✕ → live candle has traded through this level
Untouched — historical highs and lows price has not revisited since they were formed. Passive orders are presumed resting here. Always shows ●.
Sell Limit Orders Liquidity ●
Buy Limit Orders Liquidity ●
Touched — levels price has visited. Whether liquidity remains is unknown. The outcome label shows what the volume and delta evidence suggests happened. Always shows ✕.
Sell Limit Orders Liquidity ✕ > Sellers Defended Level
Buy Limit Orders Liquidity ✕ > Sellers Rejected by Buyers
Absorbed — levels where the outcome engine determined passive orders were consumed or overwhelmed. Solid wider line, highest priority formatting. Always shows ✕.
Sell Limit Orders Liquidity ✕ > Bull Trap, Weak Breakout (Low Vol)
Buy Limit Orders Liquidity ✕ > Sellers Exhausted, Buyers Breakout
A ★ marker appears additionally on any level where the candle's body closed at the extreme — a wickless interaction — indicating maximum commitment.
─── THE OUTCOME ENGINE ───
When price touches a level, the engine classifies the interaction. With footprint data:
At a high level — close back below (Touched):
sell_pct = sell_volume / total_volume
sell_dom = sell_pct >= delta_threshold
sell_dom AND vol_ratio >= exhaustion → "Buyers Exhausted, Sellers Dominate"
sell_dom AND vol_ratio >= absorption → "Sellers Absorbed Buyers"
not sell_dom → "Buyers Rejected by Sellers"
At a high level — close above (Absorbed):
buy_dom AND vol_ratio >= exhaustion → "Sellers Exhausted, Buyers Breakout"
buy_dom → "Buyers Overwhelmed Sellers"
vol_ratio <= capitulation → "Bull Trap, Weak Breakout (Low Vol)"
The same logic runs in mirror for low levels. Without footprint data the engine falls back to body/wick proportion analysis — all outcomes remain available with less precision.
─── LABEL FORMAT ───
The Label Format setting controls what appears on every level:
Name only: Sell Limit Orders ● / Buy Limit Orders ✕
Name + Liquidity: Sell Limit Orders Liquidity ● / Buy Limit Orders Liquidity ✕ (default)
Name + Orders + Liquidity: Sell Orders Liquidity ● / Buy Orders Liquidity ✕
The Order Name setting switches the base name across all levels: Limit Orders (BLO/SLO), Passive (PB/PS), or abbreviated forms. The ● / ✕ marker display can be turned off independently in settings.
─── CONTEXT TABLE ───
Volume and Delta — current bar volume ratio against the moving average and raw footprint delta.
Vol Context — NORMAL / HIGH (Buyers or Sellers Absorbing) / EXTREME (Exhaustion zone) / LOW (Stop hunt zone).
CC Bid/Ask — current candle buy and sell volume percentage split.
PC Bid/Ask — prior candle buy and sell volume percentage split.
Last High Hit — outcome of the most recent high-level interaction.
Last Low Hit — outcome of the most recent low-level interaction.
─── HOW TO USE ───
1. Watch the Last levels — Sell Limit Orders Liquidity above and Buy Limit Orders Liquidity below. These are the first passive orders the live candle is approaching. When the marker switches from ● to ✕ intrabar, price has just crossed that liquidity pool.
2. When a level transitions to Touched with an outcome like "Sellers Defended Level" or "Buyers Rejected by Sellers", the passive orders at that level held. Treat the level as active resistance or support on retest.
3. When the label shows ✕ with "Buyers Overwhelmed Sellers" or "Sellers Exhausted, Buyers Breakout", the passive orders were consumed. That level is now potential support or resistance on retest in the opposite direction.
4. Untouched levels (●) further from price show where deeper pools of passive orders are resting. These are the natural targets for extended moves.
5. The ★ marker on any level signals a wickless body close — maximum aggression, highest-conviction interaction.
6. Use the Context Table's Last High Hit and Last Low Hit rows to read the most recent order flow resolution without scanning the chart.
─── SETTINGS ───
Multi-Timeframe — the timeframe on which level tracking runs. Blank uses the chart timeframe.
Candle Bias Coloring — candle direction coloring and color configuration.
Limit Orders — Order Name, Label Format, ● / ✕ marker toggle, colors for buy and sell limits, individual toggles and line styles for Last, Untouched, Touched, and Absorbed levels, maximum Untouched levels shown per side.
Absorption Logic — historical lookback range, label text visibility, arrow visibility.
Footprint and Order Flow — footprint delta toggle, ticks per row, value area percentage, volume MA period.
Outcome Thresholds — volume ratio multipliers for absorption, exhaustion, and capitulation, and delta dominance threshold.
Context Table — position, text size, and color.
─── NOTES ───
Footprint delta requires a TradingView plan with intraday tick data. Without it the indicator falls back to body/wick proportion analysis — all outcome labels remain available but are less precise. The Last level ✕ marker fires intrabar as soon as the live candle's high or low crosses the level — it does not wait for the bar to close. All other classification uses confirmed closed candle values.
An order flow analysis engine that tracks every high and low the market forms and classifies what happened when price returned to that level — whether passive orders defended it, were absorbed, or were broken through — using footprint delta and volume ratio analysis. Every level on the chart shows a ● when untouched and a ✕ when price has crossed it, so the trader sees the status of each liquidity pool at a glance without reading the outcome text.
─── WHY THESE COMPONENTS TOGETHER ───
Volume analysis alone shows whether activity at a price level was above or below average, but cannot tell which side was dominant. Footprint delta alone shows the buy/sell imbalance but has no structural anchor — it does not know which historical level it is measuring against, or whether price closed back through it. Passive order level tracking alone shows where orders were resting but cannot determine whether they held or were consumed.
This script integrates all three simultaneously. The structural level comes from the price history. The volume ratio against the moving average determines conviction. The footprint delta percentage determines which side was dominant. All three feed into a single classification engine that produces one outcome label per level touched.
─── LEVEL STATES AND MARKERS ───
Every level carries a ● or ✕ marker and falls into one of four states:
Last — the most recent closed candle's high and low. These are the first passive orders price is approaching on the live candle. The marker switches from ● to ✕ the moment the live candle's high or low crosses the level intrabar — no need to wait for the candle to close. Resets automatically when the next candle opens.
Sell Limit Orders Liquidity ● → not yet reached on the live candle
Sell Limit Orders Liquidity ✕ → live candle has traded through this level
Untouched — historical highs and lows price has not revisited since they were formed. Passive orders are presumed resting here. Always shows ●.
Sell Limit Orders Liquidity ●
Buy Limit Orders Liquidity ●
Touched — levels price has visited. Whether liquidity remains is unknown. The outcome label shows what the volume and delta evidence suggests happened. Always shows ✕.
Sell Limit Orders Liquidity ✕ > Sellers Defended Level
Buy Limit Orders Liquidity ✕ > Sellers Rejected by Buyers
Absorbed — levels where the outcome engine determined passive orders were consumed or overwhelmed. Solid wider line, highest priority formatting. Always shows ✕.
Sell Limit Orders Liquidity ✕ > Bull Trap, Weak Breakout (Low Vol)
Buy Limit Orders Liquidity ✕ > Sellers Exhausted, Buyers Breakout
A ★ marker appears additionally on any level where the candle's body closed at the extreme — a wickless interaction — indicating maximum commitment.
─── THE OUTCOME ENGINE ───
When price touches a level, the engine classifies the interaction. With footprint data:
At a high level — close back below (Touched):
sell_pct = sell_volume / total_volume
sell_dom = sell_pct >= delta_threshold
sell_dom AND vol_ratio >= exhaustion → "Buyers Exhausted, Sellers Dominate"
sell_dom AND vol_ratio >= absorption → "Sellers Absorbed Buyers"
not sell_dom → "Buyers Rejected by Sellers"
At a high level — close above (Absorbed):
buy_dom AND vol_ratio >= exhaustion → "Sellers Exhausted, Buyers Breakout"
buy_dom → "Buyers Overwhelmed Sellers"
vol_ratio <= capitulation → "Bull Trap, Weak Breakout (Low Vol)"
The same logic runs in mirror for low levels. Without footprint data the engine falls back to body/wick proportion analysis — all outcomes remain available with less precision.
─── LABEL FORMAT ───
The Label Format setting controls what appears on every level:
Name only: Sell Limit Orders ● / Buy Limit Orders ✕
Name + Liquidity: Sell Limit Orders Liquidity ● / Buy Limit Orders Liquidity ✕ (default)
Name + Orders + Liquidity: Sell Orders Liquidity ● / Buy Orders Liquidity ✕
The Order Name setting switches the base name across all levels: Limit Orders (BLO/SLO), Passive (PB/PS), or abbreviated forms. The ● / ✕ marker display can be turned off independently in settings.
─── CONTEXT TABLE ───
Volume and Delta — current bar volume ratio against the moving average and raw footprint delta.
Vol Context — NORMAL / HIGH (Buyers or Sellers Absorbing) / EXTREME (Exhaustion zone) / LOW (Stop hunt zone).
CC Bid/Ask — current candle buy and sell volume percentage split.
PC Bid/Ask — prior candle buy and sell volume percentage split.
Last High Hit — outcome of the most recent high-level interaction.
Last Low Hit — outcome of the most recent low-level interaction.
─── HOW TO USE ───
1. Watch the Last levels — Sell Limit Orders Liquidity above and Buy Limit Orders Liquidity below. These are the first passive orders the live candle is approaching. When the marker switches from ● to ✕ intrabar, price has just crossed that liquidity pool.
2. When a level transitions to Touched with an outcome like "Sellers Defended Level" or "Buyers Rejected by Sellers", the passive orders at that level held. Treat the level as active resistance or support on retest.
3. When the label shows ✕ with "Buyers Overwhelmed Sellers" or "Sellers Exhausted, Buyers Breakout", the passive orders were consumed. That level is now potential support or resistance on retest in the opposite direction.
4. Untouched levels (●) further from price show where deeper pools of passive orders are resting. These are the natural targets for extended moves.
5. The ★ marker on any level signals a wickless body close — maximum aggression, highest-conviction interaction.
6. Use the Context Table's Last High Hit and Last Low Hit rows to read the most recent order flow resolution without scanning the chart.
─── SETTINGS ───
Multi-Timeframe — the timeframe on which level tracking runs. Blank uses the chart timeframe.
Candle Bias Coloring — candle direction coloring and color configuration.
Limit Orders — Order Name, Label Format, ● / ✕ marker toggle, colors for buy and sell limits, individual toggles and line styles for Last, Untouched, Touched, and Absorbed levels, maximum Untouched levels shown per side.
Absorption Logic — historical lookback range, label text visibility, arrow visibility.
Footprint and Order Flow — footprint delta toggle, ticks per row, value area percentage, volume MA period.
Outcome Thresholds — volume ratio multipliers for absorption, exhaustion, and capitulation, and delta dominance threshold.
Context Table — position, text size, and color.
─── NOTES ───
Footprint delta requires a TradingView plan with intraday tick data. Without it the indicator falls back to body/wick proportion analysis — all outcome labels remain available but are less precise. The Last level ✕ marker fires intrabar as soon as the live candle's high or low crosses the level — it does not wait for the bar to close. All other classification uses confirmed closed candle values.
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。
MMM : No body close (PO4), No Trade.
maxmaserati.com/
maxmaserati.com/
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。
MMM : No body close (PO4), No Trade.
maxmaserati.com/
maxmaserati.com/
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。