OPEN-SOURCE SCRIPT
Liquidity Structure & Order Flow [UAlgo]
Liquidity Structure & Order Flow is a range based market participation tool that combines a custom volume profile, value area analysis, liquidity void detection, and unusual volume tagging into a single chart overlay. Its goal is to show not only where volume has concentrated across price, but also how that activity was distributed between estimated buying pressure and selling pressure inside the recent market structure.
The script begins by scanning a rolling lookback range, then divides that vertical price space into a configurable number of bins. Each bin becomes a price segment that stores estimated buy volume, sell volume, and total volume. From there, the script builds a profile that highlights the Point of Control, the value area, and the internal order flow balance across the studied range.
What makes this indicator especially useful is that it does more than draw a standard profile. It also identifies areas where participation is abnormally thin relative to both the Point of Control and local neighboring bins. These low participation areas are marked as liquidity voids, helping the user see where the market moved through price with relatively little acceptance.
In addition, the script monitors the current bar for unusually large activity using a volume z score and a directional delta ratio filter. When a bar shows both exceptional size and meaningful directional imbalance, the script prints a bubble style marker above or below price. This gives the user a way to spot unusual participation events as they happen.
The result is a tool that can be used for profile analysis, liquidity mapping, imbalance recognition, and structural context. It helps answer several practical questions at once: where the market accepted price, where it rejected or skipped through price, where the strongest concentration of activity formed, and whether recent candles are showing exceptional directional participation.
🔹 Features
🔸 Custom Range Based Volume Profile
The script constructs a manual volume profile over the selected lookback period. Instead of relying on a built in profile engine, it divides the recent range into user defined price bins and allocates each bar’s volume into those bins. This gives full control over how the profile is built and how the final distribution is interpreted.
🔸 Buy Volume and Sell Volume Estimation
Every candle contributes both buy side and sell side estimates. The script uses the candle’s open, high, low, and close to derive a buy volume ratio, then splits total volume into buy volume and sell volume accordingly. This creates a practical order flow style approximation that is more informative than total volume alone.
🔸 Proportional Price Overlap Allocation
When a candle spans multiple bins, the script distributes its buy volume, sell volume, and total volume proportionally according to how much of the candle overlaps each bin. This produces a more realistic internal structure than simply dropping the full bar volume into one price row.
🔸 Point of Control Detection
The indicator finds the bin with the highest total volume and marks it as the Point of Control. This gives the user an immediate view of the strongest participation price inside the studied range.
🔸 Value Area Calculation
After the Point of Control is found, the script expands upward and downward through neighboring bins until the selected percentage of total profile volume is captured. This defines Value Area High and Value Area Low, allowing the user to distinguish the central acceptance region from the rest of the range.
🔸 Profile Coloring by Participation Side
The profile is drawn as stacked horizontal boxes showing estimated buy side participation and sell side participation inside each row. Bins inside the value area use stronger coloring, while bins outside the value area use softer coloring. This makes the internal structure easy to read visually.
🔸 Liquidity Void Detection
The script scans for bins with unusually weak participation outside the value area. A bin qualifies as a liquidity void candidate only if it is both small relative to the Point of Control and also weaker than its nearby neighbors. Consecutive weak bins are grouped into a larger void zone and labeled directly on the chart.
🔸 Unusual Volume Bubble Markers
Current bar activity is evaluated using a long period volume average and standard deviation. If the bar’s volume is statistically unusual and its estimated delta ratio is large enough, the script prints a directional bubble marker. Positive directional activity is shown below price, and negative directional activity is shown above price.
🔸 Optional Profile and Void Display
The user can independently control whether the volume profile, liquidity voids, and unusual volume markers are shown. This makes the script flexible enough for both full structure analysis and lighter chart layouts.
🔸 Extendable Structural Levels
The Point of Control, Value Area High, and Value Area Low can be drawn as either compact structure references or extended lines, depending on the chosen setting. This allows the user to decide whether the levels should function as local annotations or ongoing chart references.
🔸 Useful for Acceptance and Imbalance Analysis
The combination of profile structure, value area, void zones, and unusual activity markers gives the indicator a broader purpose than a standard profile. It can help identify accepted price, skipped price, directional participation, and possible future reaction areas.
🔹 Calculations
1) Building the Volume Profile Container
Pine Script®
This is the foundation of the whole script.
Each PriceBin stores one price level area inside the profile. It contains:
the row midpoint price,
estimated buy volume,
estimated sell volume,
and total volume.
The VolumeProfile structure stores the full profile state:
the highest price of the lookback range,
the lowest price of the lookback range,
the bin size,
the array of bins,
and the final analytical values such as Point of Control, Value Area High, Value Area Low, and total profile volume.
So before any analysis happens, the script defines a complete custom data model for price distribution and order flow style estimation.
2) Initializing the Bins Across the Lookback Range
Pine Script®
This method creates the working profile rows.
First, it stores the high and low of the selected lookback period. Then it calculates binSize, which is the vertical price height of each row. That is simply the full range height divided by the number of bins.
After resetting all major profile outputs, the script creates a fresh bin array. Each new bin is assigned a midpoint price:
l + i * this.binSize + (this.binSize / 2)
That midpoint becomes the visual and analytical center of the row.
In practical terms, this is where the script transforms the raw market range into a structured ladder of price rows that can later receive allocated volume.
3) Locating the Correct Bin for a Price
Pine Script®
This helper method maps any price to its correct row index inside the profile.
It works by measuring how far the price sits above the profile low, then dividing that distance by the bin size. The result is the raw row index. After that, the value is clamped so it always stays inside the valid bin range.
This is important because the script repeatedly needs to know which rows are touched by each candle’s low and high. Without this mapping step, the profile could not distribute volume across price space correctly.
4) Estimating Buy Volume and Sell Volume From Candle Structure
Pine Script®
This snippet explains how the script approximates order flow direction on the current bar.
First, it measures the candle range from high to low. Then it computes a buy volume ratio using the relative location of the open and close inside that range:
(close - low + high - open) / (2 * hlR)
This ratio becomes a practical estimate of how much of the bar’s total volume behaved like buying pressure versus selling pressure. If the candle closes stronger and opens higher inside its range, the ratio leans more bullish. If the candle structure is weaker, the ratio leans more bearish.
That ratio is then used to split total volume into:
currentBuyVol
and
currentSellVol
Finally, the script calculates delta as the difference between estimated buy volume and estimated sell volume.
This is not true transaction tagged exchange delta, but it is a useful chart based directional participation model.
5) Distributing Candle Volume Across Touched Price Rows
Pine Script®
This is one of the most important calculations in the entire script.
For each candle inside the lookback period, the script first computes estimated buy volume and sell volume. Then it finds which profile rows are touched by the candle’s low and high.
For every touched row, it measures how much of the candle overlaps that specific row. That overlap becomes a weighting factor:
weight = overlap / hlRange
If a candle overlaps a row heavily, that row receives a larger share of the bar’s volume. If the overlap is small, the row receives only a small share.
The script then adds weighted buy volume, weighted sell volume, and weighted total volume into that bin.
This is much more realistic than assigning all volume to a single row because it respects the actual price space the candle traveled through.
6) Determining the Point of Control
Pine Script®
This is the first phase of the value area calculation.
The script scans all bins and finds the row with the greatest total volume. That row becomes the Point of Control. If two rows have the same maximum volume, the script breaks the tie by choosing the one closer to the middle of the full lookback range.
That tie handling matters because it avoids unstable selection when multiple bins have identical strength.
After the winning row is found, the script stores:
the Point of Control volume in pocVol
and the Point of Control price in pocPrice
So the Point of Control is not simply a visual midpoint. It is the actual strongest participation row in the profile.
7) Expanding Upward and Downward to Build the Value Area
Pine Script®
After finding the Point of Control, the script calculates the target volume required for the value area. For example, if the input is 70 percent, the target becomes 70 percent of total profile volume.
The expansion begins from the Point of Control row itself. currentVol starts with the Point of Control row’s own total volume. Then the script looks one row up and one row down, repeatedly expanding until the accumulated volume reaches the target.
This is the standard logic of building a value area around the strongest participation center.
8) Deciding Whether to Expand Up or Down
Pine Script®
This block decides which side to include next in the value area.
If the row above has more volume than the row below, the script expands upward. If the row below has more volume, it expands downward. If both sides are equal, it uses distance to the overall midpoint as a tie breaker when necessary.
This is important because value area growth should follow participation strength, not arbitrary direction. The final result is a value area that naturally wraps around the highest volume concentration.
9) Final VAH and VAL Assignment
Pine Script®
Once expansion is complete, the script converts the final included rows into value area boundaries.
The highest included row becomes Value Area High.
The lowest included row becomes Value Area Low.
These values define the central price zone where the chosen percentage of the profile’s total volume was traded.
So VAH and VAL are directly derived from the row by row structure of the profile, not from any fixed percentage of price range.
10) Detecting Unusual Volume Activity
Pine Script®
This block evaluates whether the current bar is unusually active.
First, the script computes a 200 period average volume and standard deviation. Then it transforms the current bar’s volume into a z score, which shows how many standard deviations the bar stands above normal background activity.
Next, it calculates deltaRatio, which measures how large the directional imbalance is relative to total volume.
A bar is marked unusual only if both conditions are true:
the volume is statistically large enough,
and the directional imbalance is meaningful enough.
This double filter helps reduce false signals from large but directionless bars.
11) Printing Unusual Volume Bubbles
Pine Script®
When an unusual bar is detected, the script prints a directional marker.
If estimated delta is positive, the bubble is shown below price in green.
If estimated delta is negative, the bubble is shown above price in red.
The displayed text also includes the rounded volume value. This allows the user to quickly see both direction and size of the unusual participation event.
So these markers are not random momentum tags. They specifically highlight bars where both participation size and directional imbalance stand out.
12) Rebuilding the Profile on the Last Bar
Pine Script®
The script begins by scanning a rolling lookback range, then divides that vertical price space into a configurable number of bins. Each bin becomes a price segment that stores estimated buy volume, sell volume, and total volume. From there, the script builds a profile that highlights the Point of Control, the value area, and the internal order flow balance across the studied range.
What makes this indicator especially useful is that it does more than draw a standard profile. It also identifies areas where participation is abnormally thin relative to both the Point of Control and local neighboring bins. These low participation areas are marked as liquidity voids, helping the user see where the market moved through price with relatively little acceptance.
In addition, the script monitors the current bar for unusually large activity using a volume z score and a directional delta ratio filter. When a bar shows both exceptional size and meaningful directional imbalance, the script prints a bubble style marker above or below price. This gives the user a way to spot unusual participation events as they happen.
The result is a tool that can be used for profile analysis, liquidity mapping, imbalance recognition, and structural context. It helps answer several practical questions at once: where the market accepted price, where it rejected or skipped through price, where the strongest concentration of activity formed, and whether recent candles are showing exceptional directional participation.
🔹 Features
🔸 Custom Range Based Volume Profile
The script constructs a manual volume profile over the selected lookback period. Instead of relying on a built in profile engine, it divides the recent range into user defined price bins and allocates each bar’s volume into those bins. This gives full control over how the profile is built and how the final distribution is interpreted.
🔸 Buy Volume and Sell Volume Estimation
Every candle contributes both buy side and sell side estimates. The script uses the candle’s open, high, low, and close to derive a buy volume ratio, then splits total volume into buy volume and sell volume accordingly. This creates a practical order flow style approximation that is more informative than total volume alone.
🔸 Proportional Price Overlap Allocation
When a candle spans multiple bins, the script distributes its buy volume, sell volume, and total volume proportionally according to how much of the candle overlaps each bin. This produces a more realistic internal structure than simply dropping the full bar volume into one price row.
🔸 Point of Control Detection
The indicator finds the bin with the highest total volume and marks it as the Point of Control. This gives the user an immediate view of the strongest participation price inside the studied range.
🔸 Value Area Calculation
After the Point of Control is found, the script expands upward and downward through neighboring bins until the selected percentage of total profile volume is captured. This defines Value Area High and Value Area Low, allowing the user to distinguish the central acceptance region from the rest of the range.
🔸 Profile Coloring by Participation Side
The profile is drawn as stacked horizontal boxes showing estimated buy side participation and sell side participation inside each row. Bins inside the value area use stronger coloring, while bins outside the value area use softer coloring. This makes the internal structure easy to read visually.
🔸 Liquidity Void Detection
The script scans for bins with unusually weak participation outside the value area. A bin qualifies as a liquidity void candidate only if it is both small relative to the Point of Control and also weaker than its nearby neighbors. Consecutive weak bins are grouped into a larger void zone and labeled directly on the chart.
🔸 Unusual Volume Bubble Markers
Current bar activity is evaluated using a long period volume average and standard deviation. If the bar’s volume is statistically unusual and its estimated delta ratio is large enough, the script prints a directional bubble marker. Positive directional activity is shown below price, and negative directional activity is shown above price.
🔸 Optional Profile and Void Display
The user can independently control whether the volume profile, liquidity voids, and unusual volume markers are shown. This makes the script flexible enough for both full structure analysis and lighter chart layouts.
🔸 Extendable Structural Levels
The Point of Control, Value Area High, and Value Area Low can be drawn as either compact structure references or extended lines, depending on the chosen setting. This allows the user to decide whether the levels should function as local annotations or ongoing chart references.
🔸 Useful for Acceptance and Imbalance Analysis
The combination of profile structure, value area, void zones, and unusual activity markers gives the indicator a broader purpose than a standard profile. It can help identify accepted price, skipped price, directional participation, and possible future reaction areas.
🔹 Calculations
1) Building the Volume Profile Container
This is the foundation of the whole script.
Each PriceBin stores one price level area inside the profile. It contains:
the row midpoint price,
estimated buy volume,
estimated sell volume,
and total volume.
The VolumeProfile structure stores the full profile state:
the highest price of the lookback range,
the lowest price of the lookback range,
the bin size,
the array of bins,
and the final analytical values such as Point of Control, Value Area High, Value Area Low, and total profile volume.
So before any analysis happens, the script defines a complete custom data model for price distribution and order flow style estimation.
2) Initializing the Bins Across the Lookback Range
This method creates the working profile rows.
First, it stores the high and low of the selected lookback period. Then it calculates binSize, which is the vertical price height of each row. That is simply the full range height divided by the number of bins.
After resetting all major profile outputs, the script creates a fresh bin array. Each new bin is assigned a midpoint price:
l + i * this.binSize + (this.binSize / 2)
That midpoint becomes the visual and analytical center of the row.
In practical terms, this is where the script transforms the raw market range into a structured ladder of price rows that can later receive allocated volume.
3) Locating the Correct Bin for a Price
This helper method maps any price to its correct row index inside the profile.
It works by measuring how far the price sits above the profile low, then dividing that distance by the bin size. The result is the raw row index. After that, the value is clamped so it always stays inside the valid bin range.
This is important because the script repeatedly needs to know which rows are touched by each candle’s low and high. Without this mapping step, the profile could not distribute volume across price space correctly.
4) Estimating Buy Volume and Sell Volume From Candle Structure
This snippet explains how the script approximates order flow direction on the current bar.
First, it measures the candle range from high to low. Then it computes a buy volume ratio using the relative location of the open and close inside that range:
(close - low + high - open) / (2 * hlR)
This ratio becomes a practical estimate of how much of the bar’s total volume behaved like buying pressure versus selling pressure. If the candle closes stronger and opens higher inside its range, the ratio leans more bullish. If the candle structure is weaker, the ratio leans more bearish.
That ratio is then used to split total volume into:
currentBuyVol
and
currentSellVol
Finally, the script calculates delta as the difference between estimated buy volume and estimated sell volume.
This is not true transaction tagged exchange delta, but it is a useful chart based directional participation model.
5) Distributing Candle Volume Across Touched Price Rows
This is one of the most important calculations in the entire script.
For each candle inside the lookback period, the script first computes estimated buy volume and sell volume. Then it finds which profile rows are touched by the candle’s low and high.
For every touched row, it measures how much of the candle overlaps that specific row. That overlap becomes a weighting factor:
weight = overlap / hlRange
If a candle overlaps a row heavily, that row receives a larger share of the bar’s volume. If the overlap is small, the row receives only a small share.
The script then adds weighted buy volume, weighted sell volume, and weighted total volume into that bin.
This is much more realistic than assigning all volume to a single row because it respects the actual price space the candle traveled through.
6) Determining the Point of Control
This is the first phase of the value area calculation.
The script scans all bins and finds the row with the greatest total volume. That row becomes the Point of Control. If two rows have the same maximum volume, the script breaks the tie by choosing the one closer to the middle of the full lookback range.
That tie handling matters because it avoids unstable selection when multiple bins have identical strength.
After the winning row is found, the script stores:
the Point of Control volume in pocVol
and the Point of Control price in pocPrice
So the Point of Control is not simply a visual midpoint. It is the actual strongest participation row in the profile.
7) Expanding Upward and Downward to Build the Value Area
After finding the Point of Control, the script calculates the target volume required for the value area. For example, if the input is 70 percent, the target becomes 70 percent of total profile volume.
The expansion begins from the Point of Control row itself. currentVol starts with the Point of Control row’s own total volume. Then the script looks one row up and one row down, repeatedly expanding until the accumulated volume reaches the target.
This is the standard logic of building a value area around the strongest participation center.
8) Deciding Whether to Expand Up or Down
This block decides which side to include next in the value area.
If the row above has more volume than the row below, the script expands upward. If the row below has more volume, it expands downward. If both sides are equal, it uses distance to the overall midpoint as a tie breaker when necessary.
This is important because value area growth should follow participation strength, not arbitrary direction. The final result is a value area that naturally wraps around the highest volume concentration.
9) Final VAH and VAL Assignment
Once expansion is complete, the script converts the final included rows into value area boundaries.
The highest included row becomes Value Area High.
The lowest included row becomes Value Area Low.
These values define the central price zone where the chosen percentage of the profile’s total volume was traded.
So VAH and VAL are directly derived from the row by row structure of the profile, not from any fixed percentage of price range.
10) Detecting Unusual Volume Activity
This block evaluates whether the current bar is unusually active.
First, the script computes a 200 period average volume and standard deviation. Then it transforms the current bar’s volume into a z score, which shows how many standard deviations the bar stands above normal background activity.
Next, it calculates deltaRatio, which measures how large the directional imbalance is relative to total volume.
A bar is marked unusual only if both conditions are true:
the volume is statistically large enough,
and the directional imbalance is meaningful enough.
This double filter helps reduce false signals from large but directionless bars.
11) Printing Unusual Volume Bubbles
When an unusual bar is detected, the script prints a directional marker.
If estimated delta is positive, the bubble is shown below price in green.
If estimated delta is negative, the bubble is shown above price in red.
The displayed text also includes the rounded volume value. This allows the user to quickly see both direction and size of the unusual participation event.
So these markers are not random momentum tags. They specifically highlight bars where both participation size and directional imbalance stand out.
12) Rebuilding the Profile on the Last Bar
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。
Get exclusive indicators: pinescriptmarket.com
All content provided by UAlgo is for informational & educational purposes only. Past performance does not guarantee future results.
All content provided by UAlgo is for informational & educational purposes only. Past performance does not guarantee future results.
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。
Get exclusive indicators: pinescriptmarket.com
All content provided by UAlgo is for informational & educational purposes only. Past performance does not guarantee future results.
All content provided by UAlgo is for informational & educational purposes only. Past performance does not guarantee future results.
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。