OPEN-SOURCE SCRIPT
Aktualisiert CME Institutional Order Flow & AMT Lens
📜 Attribution & Open-Source Lineage
Mandatory Lineage Notice: This script is an open-source technical derivative and mathematical expansion building upon the continuous Gaussian volume-at-price decomposition architecture created by @ata_sabanci.
Original Script: Volume Footprint: Measuring Classical Indicators by Math & Geometry, Introduction by ata_sabanci (Licensed under Mozilla Public License 2.0).
We gratefully attribute and cite the foundational works underpinning this suite:
• 🏛️ J. Peter Steidlmayer (CBOT, 1985) & James Dalton (Mind Over Markets, 1990; Markets in Profile, 2007): Pioneers of Market Profile and modern Auction Market Theory (AMT), establishing the classical profile distribution archetypes ([D] Balanced, [P] Buying Drive, Liquidation Drive, and [B] Double Distribution), the 80% Rule, and Value Area boundary analysis.
• 📐 ata_sabanci (Ata Sabanci): Author of the open-source continuous Gaussian kernel density decomposition on TradingView under MPL 2.0. His dual-curve probability density function framework is integrated to project smooth buyer/seller volume distributions cleanly on the right chart margin.
• 🔬 Richard D. Wyckoff: The Law of Effort vs. Result, Volume Spread Analysis (VSA), stopping volume, and institutional limit order absorption of aggressive market sweeps at key structural boundaries.
• 🧮 Milton Abramowitz & Irene Stegun (Handbook of Mathematical Functions, National Bureau of Standards Applied Mathematics Series 55, 1964, Formula 7.1.26): High-precision rational Chebyshev polynomial approximation of the complementary error function erfc(x) (|ε(x)| ≤ 1.5 × 10⁻⁷), enabling O(1) constant-time calculation of the Normal Cumulative Distribution Function (CDF) without iterative series loops.
• 🌐 CME Group (Chicago Mercantile Exchange): Level 3 Market-By-Order (MBO) futures microstructure specifications, standardized tick sizes, and 24-hour session conventions across E-mini and Micro index futures (NQ, ES, YM, RTY, MBT, GC).
1. The Core Problem & Philosophy
Retail trading charts are overwhelmingly burdened by lagging moving averages, unpartitioned 24-hour volume histograms, and noisy retail footprint price ladders.
Squinting at hundreds of tiny numbers across individual candle bars creates cognitive fatigue and obscures what institutional algorithms are doing in real time. Furthermore, conventional volume indicators suffer from the "Candle Color Fallacy": if a bar closes green, 100% of its volume is labeled "buying", completely blinding the trader to passive institutional absorption (e.g. smart money absorbing aggressive market sellers on limit bids during a down bar).
The CME Institutional Order Flow & AMT Lens replaces this fragmentation with an integrated, high-performance visual cockpit:
• ⚡ Tick-Precision Footprint Tape Delta (request.footprint): Directly accesses exchange trade tape execution at tick granularity to separate actual ask-lifted buys from bid-hit sells.
• 🧱 True Stacked Imbalance Shelves with Native Footprint Parity: Automatically scans consecutive price tiers for 300%+ diagonal order flow imbalances, with strict zero-ignoring parity matching TradingView's native footprint engine.
• 📈 Right-Margin Continuous Gaussian Volume Profiles: Decomposes buyer and seller volume curves into smooth, continuous mathematical distributions projected cleanly on the right margin with zero price obstruction.
• 🏛️ Dalton Auction Market Theory Archetypes: Automatically classifies auctions into D-Shape, P-Shape, b-Shape, and B-Shape profiles with live Value Area High/Low (VAH/VAL) and Virgin Point of Control (VPOC) tracking.
• ⚖️ Structural Macro Pivots: Visualizes the Overnight Half-Back (50% midpoint equilibrium), Prior Day Cash Value Area, and Multi-Session Confluent Iron POC zones.
2. Order Flow & Auction Engine Pipeline
[EXCHANGE TRADE TAPE]
│ Pine Script v6 Native Footprint (request.footprint)
├── 🟢 True Ask-Lifted Buy Volume (Aggressive Market Buyers)
└── 🔴 True Bid-Hit Sell Volume (Aggressive Market Sellers)
│
▼
[CONTINUOUS GAUSSIAN KERNEL DENSITY ESTIMATION]
│ Ata Sabanci Dual-Curve Analytical Mathematics
├── 🧮 Rational Chebyshev Error Function Integration (Abramowitz & Stegun 7.1.26)
└── 📈 Right-Margin Continuous Volume Decomposition (Buyer Curve vs. Seller Curve)
│
▼
[AUCTION MARKET THEORY & INSTITUTIONAL EXECUTION]
├── 🏛️ Dalton Profile Archetype Classification ([D], [P], , [B])
├── 🧱 300% Stacked Imbalance Shelves with Native Footprint Parity ("Ignore Zeroes")
├── 🌌 Low Volume Node (LVN) Liquidity Vacuum Corridors & Forward Retests
├── ⚖️ Overnight Half-Back (50% Range) & Multi-Session Confluent Iron POCs
└── 🕯️ Wyckoff Effort vs. Reward Candlesticks (Buyer/Seller Absorption vs. Drives)
3. Visual Anatomy & Signal Guide
Quick reference for identifying real-time order flow and auction structures on your chart:
• 🟡 Buyer Absorption (Demand Exhaustion):
Color / Style: Gold Candle & Outer Glow
Order Flow Meaning: Aggressive market sellers absorbed by passive institutional limit bids at swing lows.
Tactical Interpretation: Trapped sellers; look for bullish reversal or long defense.
• 🟣 Seller Absorption (Supply Exhaustion):
Color / Style: Purple Candle & Outer Glow
Order Flow Meaning: Aggressive market buyers absorbed by passive institutional limit asks at swing highs.
Tactical Interpretation: Trapped buyers; look for bearish reversal or short defense.
• 🟢 Initiative Bull Drive:
Color / Style: Neon Green Bar
Order Flow Meaning: High-volume directional expansion (RVOL ≥ 1.50, Body ≥ 70%).
Tactical Interpretation: Active institutional buyers driving price; align with trend.
• 🔴 Initiative Bear Drive:
Color / Style: Vivid Red Bar
Order Flow Meaning: High-volume directional liquidation (RVOL ≥ 1.50, Body ≥ 70%).
Tactical Interpretation: Active institutional sellers pressing tape; align with trend.
• 🌫️ Dead Volume / Chop:
Color / Style: Dark Slate Candle
Order Flow Meaning: Low relative volume (RVOL < 0.70) or micro-range consolidation.
Tactical Interpretation: Low-liquidity chop; avoid initiating new breakout trades.
• 🧱 Bullish Imbalance Shelf:
Color / Style: Gold Horizontal Ribbon
Order Flow Meaning: 300%+ stacked aggressive buying across ≥ 2 consecutive tiers.
Tactical Interpretation: Institutional demand shelf; serves as high-probability support retest.
• 🧱 Bearish Imbalance Shelf:
Color / Style: Purple Horizontal Ribbon
Order Flow Meaning: 300%+ stacked aggressive selling across ≥ 2 consecutive tiers.
Tactical Interpretation: Institutional supply shelf; serves as high-probability resistance retest.
• ⚪ Prior Cash VPOC:
Color / Style: White Horizontal Ray
Order Flow Meaning: Highest volume price node of prior Regular Trading Hours (09:30–16:00 EST).
Tactical Interpretation: Primary mean-reversion gravity target (revisited in >70% of sessions).
• 🧊 Cash VAH / VAL (Value Area):
Color / Style: Ice Cyan Solid Lines
Order Flow Meaning: Value Area High and Low containing 70% of prior cash session volume.
Tactical Interpretation: Key institutional auction boundaries. Fade in range; follow on breakout.
• ⚖️ Overnight Half-Back (50% Range):
Color / Style: Cyan Dashed Ray
Order Flow Meaning: Exact 50% midpoint of the Overnight Globex range (18:00–09:30 EST).
Tactical Interpretation: Master equilibrium line; early directional bias barometer at cash open.
• ⚡ Confluent Iron POC Cluster:
Color / Style: Soft Orchid Line / Zone
Order Flow Meaning: Prior Day Cash VPOC and Overnight VPOC clustering within tight tolerance.
Tactical Interpretation: Powerful multi-session institutional price agreement and heavy defense wall.
• 🌌 LVN Vacuum Corridor (B-Shape):
Color / Style: Magenta Shaded Corridor
Order Flow Meaning: Low Volume Node valley separating twin distributions in B-Shape profiles.
Tactical Interpretation: Liquidity void; price accelerates rapidly through the corridor.
• 🎯 Unfinished Auction Magnets:
Color / Style: Dotted Horizontal Ray
Order Flow Meaning: Poor High or Poor Low where non-zero volume traded at the outer tick.
Tactical Interpretation: Incomplete auction magnet; high probability of future sweep and repair.
4. Mathematical & Algorithmic Foundations
A. Continuous Gaussian Kernel Density Estimation (Right-Margin Curves)
Rather than discretizing volume into arbitrary rectangular histogram bars that jump abruptly between price levels, volume at price is treated as a continuous probability density function:
text
f(p) = (1 / (σ * √(2π))) * exp(-(p - μ)² / (2σ²))
To calculate cumulative volume integrals in constant O(1) time without performance-draining numerical loops, the cumulative distribution function is solved via Abramowitz & Stegun Formula 7.1.26:
text
P(Z ≤ z) = 1 - (1 / √(2π)) * exp(-z² / 2) * (a1*t + a2*t² + a3*t³ + a4*t⁴ + a5*t⁵) + ε(z)
where t = 1 / (1 + p*z) and |ε(z)| ≤ 1.5 × 10⁻⁷. This enables the indicator to project smooth, mathematically rigorous buyer and seller curves on the chart's right margin with zero execution lag.
B. True Footprint Diagonal Imbalance Parity
Institutional order flow imbalances occur when aggressive market orders lifting the ask at price tier P[i+1] overwhelm passive limit orders on the bid at price tier P by a specified dominance ratio (e.g. 3:1 or 300%):
text
Buy Imbalance: Ask_Volume(P_i+1) >= Ratio * Bid_Volume(P_i)
Sell Imbalance: Bid_Volume(P_i) >= Ratio * Ask_Volume(P_i+1)
• 🎯 Strict "Ignore Zeroes" Parity: In TradingView's native footprint engine, when "Ignore zeroes" is active, any diagonal pair where either side has 0 traded contracts is strictly disqualified from being an imbalance. The indicator enforces this parity rule by default, eliminating false edge-of-candle anomalies at highs and lows.
• 🎯 Calibrated Contract Floors: The volume floor is calibrated to 1.0 contract on CME futures to capture genuine institutional prints on smaller-lot contracts like RTY and YM, and 10.0 shares on US Equities to filter retail odd-lot dust.
• 🎯 Bounded Tier Span Geometry: Caps shelf thickness strictly to the stack depth span imbDepth * tick_group_pts, preventing shelves from expanding into giant monolithic slabs.
C. Dalton Profile Shape Archetypes & Empirical Resolutions
Audited across continuous CME index futures sessions, daily auctions resolve into four distinct structural shapes:
• 🏛️ [D-Shape] Rotational Balance (25.1% frequency): Symmetrical bell curve indicating institutional consensus on fair value. High mean-reversion probability between Value Area High (VAH) and Value Area Low (VAL).
• 🚀 [P-Shape] Initiative Buying Drive (14.1% frequency): Top-heavy volume distribution with a thin lower tail, signaling aggressive short-covering or institutional buying drives. Reversals into b-shape occur in less than 5% of sessions; edge lies in buying pullbacks to developing VPOC.
• 🩸 [b-Shape] Initiative Liquidation Drive (8.5% frequency): Bottom-heavy volume distribution with a thin upper tail, signaling long liquidation or aggressive selling. Reversals into P-shape occur in less than 5% of sessions; edge lies in selling rallies to developing VPOC.
• 🗜️ [B-Shape] Double Distribution (52.3% frequency): Two distinct high-volume distributions separated by a Low Volume Node (LVN) liquidity vacuum corridor. Price rapidly traverses the central LVN void (spending < 12% of session time inside it) moving from one balance area to the other.
5. Comprehensive Settings Dictionary (Explaining Every Parameter)
The settings dialog is cleanly divided into 10 structured groups matching the on-screen hierarchy:
⚙️ Group 0: Execution Performance & Replay Mode
• ⚡ Fast Replay / Lightweight Mode:
Purpose: Optimizes the indicator for TradingView Bar Replay and lower-memory systems.
How it works: Switches the calculation from tick-precision native footprint sampling to instantaneous Geometric Proxy delta (zero network/memory latency), reduces profile lookback to 300 bars, and streamlines profile bins to 30.
Default: false (keep unchecked for live charts with sub-bar tick precision).
🎨 Group 1: Candle Display & Visual Palette
• Candle Display Style:
Purpose: Selects the visual presentation of candlesticks on the chart.
Options:
Ghost Glow (Semi-Transparent Body + Solid Wicks): 75% body transparency allows underlying native TradingView footprint numbers and delta grids to remain 100% visible while keeping solid wicks for price action analysis.
Full Solid HD Candlestick: Opaque, vibrant institutional candles for standard charting.
Hollow (Wicks & Solid Borders Only): Outlined borders with 100% transparent centers.
Direct Native Barcolor: Applies colors directly to TradingView's default candle series.
Disabled: Hides custom candle rendering completely.
Default: Ghost Glow.
• Color Effort vs. Reward Candles:
Purpose: Toggles Wyckoff-based candle coloring (Demand, Supply, Initiative, Muted).
Default: true.
• Buyer Absorption (Demand) Color:
Purpose: Highlights bullish buyer absorption at lows (aggressive sellers absorbed on limit bids). Also styles bullish imbalance shelves and buyer volume profiles.
Default: Gold (#FFD700).
• Seller Absorption (Supply) Color:
Purpose: Highlights bearish seller absorption at highs (aggressive buyers absorbed on limit asks). Also styles bearish imbalance shelves and seller volume profiles.
Default: Purple (#AB47BC).
• Initiative Bull & Bear Colors:
Purpose: Highlights high-volume directional expansion drives (body ≥ 70%, RVOL ≥ 1.50).
Defaults: Neon Green (#00E676) and Vivid Red (#FF1744).
• Standard Bull & Bear Bar Colors:
Purpose: Colors standard non-absorption bars.
Defaults: Green (#00E676) and Red (#FF1744).
• Dead Volume / Chop Color:
Purpose: Colors candles that occur during micro-range consolidation or low relative volume (RVOL < 0.70). Gated strictly to confirmed bars to prevent premature shading on live candles.
Default: Slate (#373C4B).
• Show Unfinished Auction Magnets (Poor Highs / Lows):
Purpose: Projects horizontal dotted rays from candle extremes where volume executed at the outer tick with zero excess, representing unfinished inventory magnets.
Default: true.
• Auto-Suppress Intraday Overlays on Macro/HTF:
Purpose: Automatically cleans Daily and Weekly charts by hiding intraday rays, overnight boxes, and micro-shelves, preventing WebGL stutter.
Default: true.
🧱 Group 2: Stacked Imbalance Shelves
• Project Stacked Imbalance Shelves:
Purpose: Projects forward-extending support/demand shelves from stacked order flow imbalances until price retests or penetrates the zone.
Default: true.
• Ratio Multiplier:
Purpose: Diagonal volume dominance ratio required to trigger an imbalance.
Default: 3.0 (300% dominance, matching standard institutional footprint configurations).
• Stack Depth:
Purpose: Number of consecutive price tiers required to confirm an institutional shelf.
Default: 2 tiers.
• Ticks Per Row (Tier Size, 0 = Auto):
Purpose: Price tier bucket size in ticks. Set to 0 for Auto-Adaptive (automatically matches optimal row density across all assets and timeframes). Set to any positive integer (e.g. 8 for 2.00 pt on NQ, 4 for 4.00 pt on YM, 2 for 0.20 pt on RTY, 20 for 20 cents on NVDA) to force a fixed tier size.
Default: 0 (Auto).
• Ignore Zeroes (Native Footprint Parity):
Purpose: When enabled, price tiers with 0 volume on the opposite side are ignored, strictly matching TradingView native footprint behavior. Disable to allow trades against 0 to trigger imbalances.
Default: true.
• Shelf Line Width & Line Transp (%):
Purpose: Controls the thickness (1–4px) and opacity of the shelf baseline price ray.
Default: Width 1, Transp 100% (hides the harsh line for an ultra-clean ribbon).
• Shelf Box Transp (%):
Purpose: Controls background opacity of the shelf rectangle.
Default: 84% (soft background ribbon).
• Max Active Retest Shelves:
Purpose: Caps the maximum number of unmitigated imbalance shelves preserved across historical peaks, guaranteeing peak chart performance.
Default: 30.
🏛️ Group 3: Key Institutional Levels & Styling
• Show Prior Cash Levels (VAH / VAL / VPOC):
Purpose: Displays Prior Day RTH Cash (09:30–16:00 EST) Value Area High, Value Area Low, and Point of Control.
Default: true.
• VPOC Color, Width, Style, and Transp (%):
Purpose: Full visual customization of the Point of Control line.
Default: White (#FFFFFF), Width 2, Style Solid, Transp 0%.
• VAH & VAL Color, Width, Style, and Transp (%):
Purpose: Full visual customization of Value Area boundary lines.
Default: Ice Cyan (#00E5FF), Width 1, Style Solid, Transp 35%.
• Prior Level Origin Anchoring:
Purpose: Controls where historical levels start. Cash Open (New Day Only) starts cleanly at the 09:30 cash open; Session Origin (Full Span) anchors back to historical bars.
Default: Cash Open (New Day Only).
• Show Overnight Half-Back (50% Midpoint):
Purpose: Projects the exact 50% midpoint of the overnight range (18:00 to 09:30 EST), serving as a primary structural equilibrium balance line during the Cash Open.
Default: true, Cerulean Cyan (#00E5FF), Width 2, Dashed.
• Highlight Confluent Iron POC Cluster:
Purpose: Automatically detects when Prior Day Cash VPOC and Overnight VPOC cluster closely together, indicating powerful multi-session institutional price agreement.
Default: true, Soft Orchid (#CE93D8), Width 2, Solid.
• Show Overnight Shaded Box (18:00 - 07:00 EST):
Purpose: Renders a muted box preserving overnight inventory territory.
Default: false.
• Extend to 08:30 Pre-Market:
Purpose: Extends the overnight box cutoff from 07:00 EST to 08:30 EST to capture pre-market macroeconomic releases.
Default: false.
🔬 Group 4: Volume Delta Engine & Lower Timeframe
• Tick Grouping Mode:
Purpose: Enforces the Row-Density Invariance Law across all timeframes and assets, dynamically targeting 11–16 rows per candle.
Options: Auto-Adaptive (Row-Density Invariance) or Manual Ticks.
Default: Auto-Adaptive.
• Manual Ticks (if Selected):
Purpose: Fixed tick count when Manual Ticks mode is active.
Default: 4.
• Use Time-of-Day RVOL on 1-Hour Charts:
Purpose: Normalizes 1h volume against the historical average for that specific hour (0–23 EST), eliminating diurnal bias where morning bars appear artificially high and overnight bars appear low.
Default: true.
• Volume Engine (when Replay Mode is Off):
Purpose: Selects volume delta calculation when Fast Replay is unchecked:
Native Footprint (Tick Precision): Pine Script v6 native request.footprint() for true tick-level trade tape execution without lower-timeframe interpolation.
Geometric Proxy: Instant mathematical proxy for Bar Replay.
Intrabar (1m Low Memory): Fast 1-minute sub-bar sampling.
Intrabar (Sub-Minute): Sub-minute granularity for live intraday trading.
Default: Native Footprint (Tick Precision).
• Intrabar Lower Timeframe:
Purpose: Sub-bar resolution when Intrabar mode is active (Auto, 1S, 5S, 15S, 30S, 1, 5).
Default: Auto.
🌐 Group 5: Session Volume Profiles & AMT Scope
• Show Session Volume Profiles (Right Margin & Anchor):
Purpose: Enables the developing volume profile on the right margin and completed historical profile succession.
Default: true.
• Profile Scope Horizon:
Purpose: Controls the institutional auction cycle:
Auto-Adaptive: Sub-Session (<= 15m), Daily Full Cycle (30m–4h), Weekly (Daily charts), Monthly (Weekly charts).
Or force fixed Sub-Session, Daily Full Cycle, Weekly, or Monthly.
Default: Auto-Adaptive.
• Completed Sessions to Display:
Purpose: Number of completed historical session profiles to render across the chart (e.g. 10 sessions = 5 Full Trading Days of Cash + Overnight).
Default: 15.
• Show Session VAH / VAL Lines:
Purpose: Toggles session Value Area High and Value Area Low boundary lines.
Default: true.
• Show Dalton Profile Shape Badges ([D], [P], , [B]):
Purpose: Identifies and stamps Dalton profile shape badges at session extremes.
Default: true.
• Extend Completed Virgin POC to Live Bar:
Purpose: Extends unvisited Virgin POCs forward as horizontal attractor lines until retested.
Default: true.
• Wait for 1 Bar Close on Session Open:
Purpose: Waits for the opening candle of a new session to fully close before initiating the developing profile on the right margin. Prevents opening-tick jitter, zero-range artifacts, and profile flashing.
Default: true.
📐 Group 6: Profile Curve Geometry & Shading
• Profile Width Scaling:
Purpose: Controls how far volume profiles expand horizontally into the session.
Options: Expressive (50% Span), Balanced (35% Span), Wide (65% Span), Compact (20% Span), or Fixed Bars.
Default: Expressive (50% Span).
• Fixed Width (Bars) & Offset off Candle:
Purpose: Fine-tunes profile width in fixed-bar mode and right-margin clearance off the live candle.
Defaults: 36 bars and 3 bars offset.
• Profile Shading Style:
Purpose: Selects visual color treatment for volume profile curves (Bid/Ask Dual-Tone, Monochrome Slate, Monochrome Gold, Monochrome Cyan).
Default: Bid/Ask Dual-Tone.
• Buy Vol Curve & Sell Vol Curve Colors:
Purpose: Independent palette selectors for buyer and seller curves.
Defaults: Gold (#FFD700) and Purple (#AB47BC).
• Fill Transp (%) & Outline Transp (%):
Purpose: Controls background fill opacity (default 92% provides a soft watermark) and contour outline opacity (default 5% gives a crisp border).
Defaults: Fill 92%, Outline 5%.
• Profile Label Size:
Purpose: Scales font size of session shape badges and POC price labels (Tiny, Small, Normal, Large).
Default: Small.
🏷️ Group 7: Level Labels & Dark Knockout Shield
• Level Labels Style:
Purpose: Visual presentation of VAH, VAL, and POC text:
Subtle Acronym (On Line): Clean, transparent floating text (POC 29484.75, VAH 29550.00) sitting directly on the line without bulky background badges.
Session Acronym (C-POC / ON-POC): Prepends session identifier.
Compact Acronym Only: Shows only the letters (POC, VAH, VAL) without price.
Bulky Badges: Legacy high-contrast opaque pill badges.
Hidden: Suppresses text for pure minimalist lines.
Default: Subtle Acronym (On Line).
• Level Labels Position:
Purpose: Horizontal placement along the level line (Right Edge Inside Box, Right Edge Outside Box, Center of Session, Left Edge Inside Box).
Default: Right Edge (Inside Box).
• Dark Knockout Shield Pill:
Purpose: Wraps acronym labels in a dark cutout container (#0C0F18) to shield text from candle wicks passing through the level.
Default: true.
• Shield Opacity (%):
Purpose: Background shield opacity (0% = solid dark container, 15% = subtle dark glass).
Default: 15%.
🔲 Group 8: Session Framing Outlines & LVN Corridors
• Show Session Framing Outlines:
Purpose: Frames each completed and developing Cash RTH and Overnight auction in a clean, high-contrast outline that connects seamlessly to the next session.
Default: true.
• Frame Border Style & Width:
Purpose: Border style (Solid/Dashed/Dotted) and width (1–3px).
Default: Dotted, Width 1.
• Cash Frame & ON Frame Colors:
Purpose: Distinct frame border colors for Cash RTH (Gold) vs. Overnight Globex (Purple).
• Outline Transp (%) & Fill Transp (%):
Purpose: Opacity of outer frame border (30%) and internal session shading (98% = transparent wireframe with zero candle tinting).
Defaults: Outline 30%, Fill 98%.
• Show LVN Vacuum Corridor (B-Shape):
Purpose: Displays the Low Volume Node (LVN) liquidity vacuum corridor for B-Shape (Double Distribution) profiles.
Default: true.
• LVN Presentation:
Purpose: Visual style (Both Corridor Box + Centerline, Shaded Corridor Box, or Inflection Line Only).
Default: Inflection Line Only.
• LVN Forward Extension:
Purpose: Extend Until Mitigated projects the corridor forward until retested or penetrated; Session Span Only confines it within session boundaries.
Default: Extend Until Mitigated.
• LVN Color, Style, and Box Fill Transp (%):
Purpose: Visual customization of the LVN corridor.
Defaults: Magenta (#E040FB), Dotted, 92% box fill transparency.
📊 Group 9: Institutional Heads-Up Display & Educational Table
• HUD Display Mode:
Purpose: Selects dashboard presentation (Full Educational Dashboard, Compact Status Pill, or Disabled).
Default: Full Educational Dashboard.
• Dashboard Position:
Purpose: Screen corner placement (Bottom Right, Bottom Left, Top Right, Top Left).
Default: Bottom Right.
• Detect Imbalances at Key Levels:
Purpose: Real-time audio/visual alert scanning active order flow imbalance shelves and alerting when stacked absorption coincides with key levels (VAH, VAL, VPOC, or Overnight Half-Back).
Default: true.
6. Tactical Execution Playbook
1. Pre-Market Balance Orientation (08:30 – 09:30 EST)
• ⚖️ Identify the position of price relative to the Overnight Half-Back (50%).
• ⚡ Scan for Confluent Iron POC alignments between yesterday's Cash VPOC and the Overnight VPOC.
• 🏛️ Check the prior session's Dalton archetype badge: Is the market balanced ([D]) or trending ([P] or )?
2. Opening Drive & Judas Swing Mitigation (09:30 – 10:00 EST)
• 🛑 Stand aside during the opening 15 minutes to protect capital from opening whipsaws and liquidity gaps.
• 🪤 Watch for a false opening drive (Judas Swing) sweeping overnight extremes into an unmitigated Stacked Imbalance Shelf.
• 🟡🟣 Confirm absorption via Effort vs. Reward Candle Colors (Gold for Buyer Absorption, Purple for Seller Absorption).
3. High-Confluence Setups by Dalton Archetype
• 🔄 Rotational [D-Shape] Days: Fade Value Area boundaries (VAH and VAL) targeting the VPOC mean.
• 🌌 Double Distribution [B-Shape] Days: Trade the breakout through the LVN Vacuum Corridor, capturing rapid price displacement toward the secondary distribution's POC.
• 🚀 Initiative [P-Shape / b-Shape] Days: Never fade the morning drive. Align with trend pullbacks into the developing right-margin VPOC and stacked imbalance shelves.
7. Educational & Compliance Disclaimer
This indicator is published under the Mozilla Public License 2.0 (MPL 2.0) strictly for educational, research, and analytical purposes. It does not provide trade recommendations, signals, or financial advice. Trading futures, equities, and options carries substantial risk of capital loss. Past performance and quantitative models do not guarantee future market outcomes. Always exercise rigorous risk management.
Mandatory Lineage Notice: This script is an open-source technical derivative and mathematical expansion building upon the continuous Gaussian volume-at-price decomposition architecture created by @ata_sabanci.
Original Script: Volume Footprint: Measuring Classical Indicators by Math & Geometry, Introduction by ata_sabanci (Licensed under Mozilla Public License 2.0).
We gratefully attribute and cite the foundational works underpinning this suite:
• 🏛️ J. Peter Steidlmayer (CBOT, 1985) & James Dalton (Mind Over Markets, 1990; Markets in Profile, 2007): Pioneers of Market Profile and modern Auction Market Theory (AMT), establishing the classical profile distribution archetypes ([D] Balanced, [P] Buying Drive, Liquidation Drive, and [B] Double Distribution), the 80% Rule, and Value Area boundary analysis.
• 📐 ata_sabanci (Ata Sabanci): Author of the open-source continuous Gaussian kernel density decomposition on TradingView under MPL 2.0. His dual-curve probability density function framework is integrated to project smooth buyer/seller volume distributions cleanly on the right chart margin.
• 🔬 Richard D. Wyckoff: The Law of Effort vs. Result, Volume Spread Analysis (VSA), stopping volume, and institutional limit order absorption of aggressive market sweeps at key structural boundaries.
• 🧮 Milton Abramowitz & Irene Stegun (Handbook of Mathematical Functions, National Bureau of Standards Applied Mathematics Series 55, 1964, Formula 7.1.26): High-precision rational Chebyshev polynomial approximation of the complementary error function erfc(x) (|ε(x)| ≤ 1.5 × 10⁻⁷), enabling O(1) constant-time calculation of the Normal Cumulative Distribution Function (CDF) without iterative series loops.
• 🌐 CME Group (Chicago Mercantile Exchange): Level 3 Market-By-Order (MBO) futures microstructure specifications, standardized tick sizes, and 24-hour session conventions across E-mini and Micro index futures (NQ, ES, YM, RTY, MBT, GC).
1. The Core Problem & Philosophy
Retail trading charts are overwhelmingly burdened by lagging moving averages, unpartitioned 24-hour volume histograms, and noisy retail footprint price ladders.
Squinting at hundreds of tiny numbers across individual candle bars creates cognitive fatigue and obscures what institutional algorithms are doing in real time. Furthermore, conventional volume indicators suffer from the "Candle Color Fallacy": if a bar closes green, 100% of its volume is labeled "buying", completely blinding the trader to passive institutional absorption (e.g. smart money absorbing aggressive market sellers on limit bids during a down bar).
The CME Institutional Order Flow & AMT Lens replaces this fragmentation with an integrated, high-performance visual cockpit:
• ⚡ Tick-Precision Footprint Tape Delta (request.footprint): Directly accesses exchange trade tape execution at tick granularity to separate actual ask-lifted buys from bid-hit sells.
• 🧱 True Stacked Imbalance Shelves with Native Footprint Parity: Automatically scans consecutive price tiers for 300%+ diagonal order flow imbalances, with strict zero-ignoring parity matching TradingView's native footprint engine.
• 📈 Right-Margin Continuous Gaussian Volume Profiles: Decomposes buyer and seller volume curves into smooth, continuous mathematical distributions projected cleanly on the right margin with zero price obstruction.
• 🏛️ Dalton Auction Market Theory Archetypes: Automatically classifies auctions into D-Shape, P-Shape, b-Shape, and B-Shape profiles with live Value Area High/Low (VAH/VAL) and Virgin Point of Control (VPOC) tracking.
• ⚖️ Structural Macro Pivots: Visualizes the Overnight Half-Back (50% midpoint equilibrium), Prior Day Cash Value Area, and Multi-Session Confluent Iron POC zones.
2. Order Flow & Auction Engine Pipeline
[EXCHANGE TRADE TAPE]
│ Pine Script v6 Native Footprint (request.footprint)
├── 🟢 True Ask-Lifted Buy Volume (Aggressive Market Buyers)
└── 🔴 True Bid-Hit Sell Volume (Aggressive Market Sellers)
│
▼
[CONTINUOUS GAUSSIAN KERNEL DENSITY ESTIMATION]
│ Ata Sabanci Dual-Curve Analytical Mathematics
├── 🧮 Rational Chebyshev Error Function Integration (Abramowitz & Stegun 7.1.26)
└── 📈 Right-Margin Continuous Volume Decomposition (Buyer Curve vs. Seller Curve)
│
▼
[AUCTION MARKET THEORY & INSTITUTIONAL EXECUTION]
├── 🏛️ Dalton Profile Archetype Classification ([D], [P], , [B])
├── 🧱 300% Stacked Imbalance Shelves with Native Footprint Parity ("Ignore Zeroes")
├── 🌌 Low Volume Node (LVN) Liquidity Vacuum Corridors & Forward Retests
├── ⚖️ Overnight Half-Back (50% Range) & Multi-Session Confluent Iron POCs
└── 🕯️ Wyckoff Effort vs. Reward Candlesticks (Buyer/Seller Absorption vs. Drives)
3. Visual Anatomy & Signal Guide
Quick reference for identifying real-time order flow and auction structures on your chart:
• 🟡 Buyer Absorption (Demand Exhaustion):
Color / Style: Gold Candle & Outer Glow
Order Flow Meaning: Aggressive market sellers absorbed by passive institutional limit bids at swing lows.
Tactical Interpretation: Trapped sellers; look for bullish reversal or long defense.
• 🟣 Seller Absorption (Supply Exhaustion):
Color / Style: Purple Candle & Outer Glow
Order Flow Meaning: Aggressive market buyers absorbed by passive institutional limit asks at swing highs.
Tactical Interpretation: Trapped buyers; look for bearish reversal or short defense.
• 🟢 Initiative Bull Drive:
Color / Style: Neon Green Bar
Order Flow Meaning: High-volume directional expansion (RVOL ≥ 1.50, Body ≥ 70%).
Tactical Interpretation: Active institutional buyers driving price; align with trend.
• 🔴 Initiative Bear Drive:
Color / Style: Vivid Red Bar
Order Flow Meaning: High-volume directional liquidation (RVOL ≥ 1.50, Body ≥ 70%).
Tactical Interpretation: Active institutional sellers pressing tape; align with trend.
• 🌫️ Dead Volume / Chop:
Color / Style: Dark Slate Candle
Order Flow Meaning: Low relative volume (RVOL < 0.70) or micro-range consolidation.
Tactical Interpretation: Low-liquidity chop; avoid initiating new breakout trades.
• 🧱 Bullish Imbalance Shelf:
Color / Style: Gold Horizontal Ribbon
Order Flow Meaning: 300%+ stacked aggressive buying across ≥ 2 consecutive tiers.
Tactical Interpretation: Institutional demand shelf; serves as high-probability support retest.
• 🧱 Bearish Imbalance Shelf:
Color / Style: Purple Horizontal Ribbon
Order Flow Meaning: 300%+ stacked aggressive selling across ≥ 2 consecutive tiers.
Tactical Interpretation: Institutional supply shelf; serves as high-probability resistance retest.
• ⚪ Prior Cash VPOC:
Color / Style: White Horizontal Ray
Order Flow Meaning: Highest volume price node of prior Regular Trading Hours (09:30–16:00 EST).
Tactical Interpretation: Primary mean-reversion gravity target (revisited in >70% of sessions).
• 🧊 Cash VAH / VAL (Value Area):
Color / Style: Ice Cyan Solid Lines
Order Flow Meaning: Value Area High and Low containing 70% of prior cash session volume.
Tactical Interpretation: Key institutional auction boundaries. Fade in range; follow on breakout.
• ⚖️ Overnight Half-Back (50% Range):
Color / Style: Cyan Dashed Ray
Order Flow Meaning: Exact 50% midpoint of the Overnight Globex range (18:00–09:30 EST).
Tactical Interpretation: Master equilibrium line; early directional bias barometer at cash open.
• ⚡ Confluent Iron POC Cluster:
Color / Style: Soft Orchid Line / Zone
Order Flow Meaning: Prior Day Cash VPOC and Overnight VPOC clustering within tight tolerance.
Tactical Interpretation: Powerful multi-session institutional price agreement and heavy defense wall.
• 🌌 LVN Vacuum Corridor (B-Shape):
Color / Style: Magenta Shaded Corridor
Order Flow Meaning: Low Volume Node valley separating twin distributions in B-Shape profiles.
Tactical Interpretation: Liquidity void; price accelerates rapidly through the corridor.
• 🎯 Unfinished Auction Magnets:
Color / Style: Dotted Horizontal Ray
Order Flow Meaning: Poor High or Poor Low where non-zero volume traded at the outer tick.
Tactical Interpretation: Incomplete auction magnet; high probability of future sweep and repair.
4. Mathematical & Algorithmic Foundations
A. Continuous Gaussian Kernel Density Estimation (Right-Margin Curves)
Rather than discretizing volume into arbitrary rectangular histogram bars that jump abruptly between price levels, volume at price is treated as a continuous probability density function:
text
f(p) = (1 / (σ * √(2π))) * exp(-(p - μ)² / (2σ²))
To calculate cumulative volume integrals in constant O(1) time without performance-draining numerical loops, the cumulative distribution function is solved via Abramowitz & Stegun Formula 7.1.26:
text
P(Z ≤ z) = 1 - (1 / √(2π)) * exp(-z² / 2) * (a1*t + a2*t² + a3*t³ + a4*t⁴ + a5*t⁵) + ε(z)
where t = 1 / (1 + p*z) and |ε(z)| ≤ 1.5 × 10⁻⁷. This enables the indicator to project smooth, mathematically rigorous buyer and seller curves on the chart's right margin with zero execution lag.
B. True Footprint Diagonal Imbalance Parity
Institutional order flow imbalances occur when aggressive market orders lifting the ask at price tier P[i+1] overwhelm passive limit orders on the bid at price tier P by a specified dominance ratio (e.g. 3:1 or 300%):
text
Buy Imbalance: Ask_Volume(P_i+1) >= Ratio * Bid_Volume(P_i)
Sell Imbalance: Bid_Volume(P_i) >= Ratio * Ask_Volume(P_i+1)
• 🎯 Strict "Ignore Zeroes" Parity: In TradingView's native footprint engine, when "Ignore zeroes" is active, any diagonal pair where either side has 0 traded contracts is strictly disqualified from being an imbalance. The indicator enforces this parity rule by default, eliminating false edge-of-candle anomalies at highs and lows.
• 🎯 Calibrated Contract Floors: The volume floor is calibrated to 1.0 contract on CME futures to capture genuine institutional prints on smaller-lot contracts like RTY and YM, and 10.0 shares on US Equities to filter retail odd-lot dust.
• 🎯 Bounded Tier Span Geometry: Caps shelf thickness strictly to the stack depth span imbDepth * tick_group_pts, preventing shelves from expanding into giant monolithic slabs.
C. Dalton Profile Shape Archetypes & Empirical Resolutions
Audited across continuous CME index futures sessions, daily auctions resolve into four distinct structural shapes:
• 🏛️ [D-Shape] Rotational Balance (25.1% frequency): Symmetrical bell curve indicating institutional consensus on fair value. High mean-reversion probability between Value Area High (VAH) and Value Area Low (VAL).
• 🚀 [P-Shape] Initiative Buying Drive (14.1% frequency): Top-heavy volume distribution with a thin lower tail, signaling aggressive short-covering or institutional buying drives. Reversals into b-shape occur in less than 5% of sessions; edge lies in buying pullbacks to developing VPOC.
• 🩸 [b-Shape] Initiative Liquidation Drive (8.5% frequency): Bottom-heavy volume distribution with a thin upper tail, signaling long liquidation or aggressive selling. Reversals into P-shape occur in less than 5% of sessions; edge lies in selling rallies to developing VPOC.
• 🗜️ [B-Shape] Double Distribution (52.3% frequency): Two distinct high-volume distributions separated by a Low Volume Node (LVN) liquidity vacuum corridor. Price rapidly traverses the central LVN void (spending < 12% of session time inside it) moving from one balance area to the other.
5. Comprehensive Settings Dictionary (Explaining Every Parameter)
The settings dialog is cleanly divided into 10 structured groups matching the on-screen hierarchy:
⚙️ Group 0: Execution Performance & Replay Mode
• ⚡ Fast Replay / Lightweight Mode:
Purpose: Optimizes the indicator for TradingView Bar Replay and lower-memory systems.
How it works: Switches the calculation from tick-precision native footprint sampling to instantaneous Geometric Proxy delta (zero network/memory latency), reduces profile lookback to 300 bars, and streamlines profile bins to 30.
Default: false (keep unchecked for live charts with sub-bar tick precision).
🎨 Group 1: Candle Display & Visual Palette
• Candle Display Style:
Purpose: Selects the visual presentation of candlesticks on the chart.
Options:
Ghost Glow (Semi-Transparent Body + Solid Wicks): 75% body transparency allows underlying native TradingView footprint numbers and delta grids to remain 100% visible while keeping solid wicks for price action analysis.
Full Solid HD Candlestick: Opaque, vibrant institutional candles for standard charting.
Hollow (Wicks & Solid Borders Only): Outlined borders with 100% transparent centers.
Direct Native Barcolor: Applies colors directly to TradingView's default candle series.
Disabled: Hides custom candle rendering completely.
Default: Ghost Glow.
• Color Effort vs. Reward Candles:
Purpose: Toggles Wyckoff-based candle coloring (Demand, Supply, Initiative, Muted).
Default: true.
• Buyer Absorption (Demand) Color:
Purpose: Highlights bullish buyer absorption at lows (aggressive sellers absorbed on limit bids). Also styles bullish imbalance shelves and buyer volume profiles.
Default: Gold (#FFD700).
• Seller Absorption (Supply) Color:
Purpose: Highlights bearish seller absorption at highs (aggressive buyers absorbed on limit asks). Also styles bearish imbalance shelves and seller volume profiles.
Default: Purple (#AB47BC).
• Initiative Bull & Bear Colors:
Purpose: Highlights high-volume directional expansion drives (body ≥ 70%, RVOL ≥ 1.50).
Defaults: Neon Green (#00E676) and Vivid Red (#FF1744).
• Standard Bull & Bear Bar Colors:
Purpose: Colors standard non-absorption bars.
Defaults: Green (#00E676) and Red (#FF1744).
• Dead Volume / Chop Color:
Purpose: Colors candles that occur during micro-range consolidation or low relative volume (RVOL < 0.70). Gated strictly to confirmed bars to prevent premature shading on live candles.
Default: Slate (#373C4B).
• Show Unfinished Auction Magnets (Poor Highs / Lows):
Purpose: Projects horizontal dotted rays from candle extremes where volume executed at the outer tick with zero excess, representing unfinished inventory magnets.
Default: true.
• Auto-Suppress Intraday Overlays on Macro/HTF:
Purpose: Automatically cleans Daily and Weekly charts by hiding intraday rays, overnight boxes, and micro-shelves, preventing WebGL stutter.
Default: true.
🧱 Group 2: Stacked Imbalance Shelves
• Project Stacked Imbalance Shelves:
Purpose: Projects forward-extending support/demand shelves from stacked order flow imbalances until price retests or penetrates the zone.
Default: true.
• Ratio Multiplier:
Purpose: Diagonal volume dominance ratio required to trigger an imbalance.
Default: 3.0 (300% dominance, matching standard institutional footprint configurations).
• Stack Depth:
Purpose: Number of consecutive price tiers required to confirm an institutional shelf.
Default: 2 tiers.
• Ticks Per Row (Tier Size, 0 = Auto):
Purpose: Price tier bucket size in ticks. Set to 0 for Auto-Adaptive (automatically matches optimal row density across all assets and timeframes). Set to any positive integer (e.g. 8 for 2.00 pt on NQ, 4 for 4.00 pt on YM, 2 for 0.20 pt on RTY, 20 for 20 cents on NVDA) to force a fixed tier size.
Default: 0 (Auto).
• Ignore Zeroes (Native Footprint Parity):
Purpose: When enabled, price tiers with 0 volume on the opposite side are ignored, strictly matching TradingView native footprint behavior. Disable to allow trades against 0 to trigger imbalances.
Default: true.
• Shelf Line Width & Line Transp (%):
Purpose: Controls the thickness (1–4px) and opacity of the shelf baseline price ray.
Default: Width 1, Transp 100% (hides the harsh line for an ultra-clean ribbon).
• Shelf Box Transp (%):
Purpose: Controls background opacity of the shelf rectangle.
Default: 84% (soft background ribbon).
• Max Active Retest Shelves:
Purpose: Caps the maximum number of unmitigated imbalance shelves preserved across historical peaks, guaranteeing peak chart performance.
Default: 30.
🏛️ Group 3: Key Institutional Levels & Styling
• Show Prior Cash Levels (VAH / VAL / VPOC):
Purpose: Displays Prior Day RTH Cash (09:30–16:00 EST) Value Area High, Value Area Low, and Point of Control.
Default: true.
• VPOC Color, Width, Style, and Transp (%):
Purpose: Full visual customization of the Point of Control line.
Default: White (#FFFFFF), Width 2, Style Solid, Transp 0%.
• VAH & VAL Color, Width, Style, and Transp (%):
Purpose: Full visual customization of Value Area boundary lines.
Default: Ice Cyan (#00E5FF), Width 1, Style Solid, Transp 35%.
• Prior Level Origin Anchoring:
Purpose: Controls where historical levels start. Cash Open (New Day Only) starts cleanly at the 09:30 cash open; Session Origin (Full Span) anchors back to historical bars.
Default: Cash Open (New Day Only).
• Show Overnight Half-Back (50% Midpoint):
Purpose: Projects the exact 50% midpoint of the overnight range (18:00 to 09:30 EST), serving as a primary structural equilibrium balance line during the Cash Open.
Default: true, Cerulean Cyan (#00E5FF), Width 2, Dashed.
• Highlight Confluent Iron POC Cluster:
Purpose: Automatically detects when Prior Day Cash VPOC and Overnight VPOC cluster closely together, indicating powerful multi-session institutional price agreement.
Default: true, Soft Orchid (#CE93D8), Width 2, Solid.
• Show Overnight Shaded Box (18:00 - 07:00 EST):
Purpose: Renders a muted box preserving overnight inventory territory.
Default: false.
• Extend to 08:30 Pre-Market:
Purpose: Extends the overnight box cutoff from 07:00 EST to 08:30 EST to capture pre-market macroeconomic releases.
Default: false.
🔬 Group 4: Volume Delta Engine & Lower Timeframe
• Tick Grouping Mode:
Purpose: Enforces the Row-Density Invariance Law across all timeframes and assets, dynamically targeting 11–16 rows per candle.
Options: Auto-Adaptive (Row-Density Invariance) or Manual Ticks.
Default: Auto-Adaptive.
• Manual Ticks (if Selected):
Purpose: Fixed tick count when Manual Ticks mode is active.
Default: 4.
• Use Time-of-Day RVOL on 1-Hour Charts:
Purpose: Normalizes 1h volume against the historical average for that specific hour (0–23 EST), eliminating diurnal bias where morning bars appear artificially high and overnight bars appear low.
Default: true.
• Volume Engine (when Replay Mode is Off):
Purpose: Selects volume delta calculation when Fast Replay is unchecked:
Native Footprint (Tick Precision): Pine Script v6 native request.footprint() for true tick-level trade tape execution without lower-timeframe interpolation.
Geometric Proxy: Instant mathematical proxy for Bar Replay.
Intrabar (1m Low Memory): Fast 1-minute sub-bar sampling.
Intrabar (Sub-Minute): Sub-minute granularity for live intraday trading.
Default: Native Footprint (Tick Precision).
• Intrabar Lower Timeframe:
Purpose: Sub-bar resolution when Intrabar mode is active (Auto, 1S, 5S, 15S, 30S, 1, 5).
Default: Auto.
🌐 Group 5: Session Volume Profiles & AMT Scope
• Show Session Volume Profiles (Right Margin & Anchor):
Purpose: Enables the developing volume profile on the right margin and completed historical profile succession.
Default: true.
• Profile Scope Horizon:
Purpose: Controls the institutional auction cycle:
Auto-Adaptive: Sub-Session (<= 15m), Daily Full Cycle (30m–4h), Weekly (Daily charts), Monthly (Weekly charts).
Or force fixed Sub-Session, Daily Full Cycle, Weekly, or Monthly.
Default: Auto-Adaptive.
• Completed Sessions to Display:
Purpose: Number of completed historical session profiles to render across the chart (e.g. 10 sessions = 5 Full Trading Days of Cash + Overnight).
Default: 15.
• Show Session VAH / VAL Lines:
Purpose: Toggles session Value Area High and Value Area Low boundary lines.
Default: true.
• Show Dalton Profile Shape Badges ([D], [P], , [B]):
Purpose: Identifies and stamps Dalton profile shape badges at session extremes.
Default: true.
• Extend Completed Virgin POC to Live Bar:
Purpose: Extends unvisited Virgin POCs forward as horizontal attractor lines until retested.
Default: true.
• Wait for 1 Bar Close on Session Open:
Purpose: Waits for the opening candle of a new session to fully close before initiating the developing profile on the right margin. Prevents opening-tick jitter, zero-range artifacts, and profile flashing.
Default: true.
📐 Group 6: Profile Curve Geometry & Shading
• Profile Width Scaling:
Purpose: Controls how far volume profiles expand horizontally into the session.
Options: Expressive (50% Span), Balanced (35% Span), Wide (65% Span), Compact (20% Span), or Fixed Bars.
Default: Expressive (50% Span).
• Fixed Width (Bars) & Offset off Candle:
Purpose: Fine-tunes profile width in fixed-bar mode and right-margin clearance off the live candle.
Defaults: 36 bars and 3 bars offset.
• Profile Shading Style:
Purpose: Selects visual color treatment for volume profile curves (Bid/Ask Dual-Tone, Monochrome Slate, Monochrome Gold, Monochrome Cyan).
Default: Bid/Ask Dual-Tone.
• Buy Vol Curve & Sell Vol Curve Colors:
Purpose: Independent palette selectors for buyer and seller curves.
Defaults: Gold (#FFD700) and Purple (#AB47BC).
• Fill Transp (%) & Outline Transp (%):
Purpose: Controls background fill opacity (default 92% provides a soft watermark) and contour outline opacity (default 5% gives a crisp border).
Defaults: Fill 92%, Outline 5%.
• Profile Label Size:
Purpose: Scales font size of session shape badges and POC price labels (Tiny, Small, Normal, Large).
Default: Small.
🏷️ Group 7: Level Labels & Dark Knockout Shield
• Level Labels Style:
Purpose: Visual presentation of VAH, VAL, and POC text:
Subtle Acronym (On Line): Clean, transparent floating text (POC 29484.75, VAH 29550.00) sitting directly on the line without bulky background badges.
Session Acronym (C-POC / ON-POC): Prepends session identifier.
Compact Acronym Only: Shows only the letters (POC, VAH, VAL) without price.
Bulky Badges: Legacy high-contrast opaque pill badges.
Hidden: Suppresses text for pure minimalist lines.
Default: Subtle Acronym (On Line).
• Level Labels Position:
Purpose: Horizontal placement along the level line (Right Edge Inside Box, Right Edge Outside Box, Center of Session, Left Edge Inside Box).
Default: Right Edge (Inside Box).
• Dark Knockout Shield Pill:
Purpose: Wraps acronym labels in a dark cutout container (#0C0F18) to shield text from candle wicks passing through the level.
Default: true.
• Shield Opacity (%):
Purpose: Background shield opacity (0% = solid dark container, 15% = subtle dark glass).
Default: 15%.
🔲 Group 8: Session Framing Outlines & LVN Corridors
• Show Session Framing Outlines:
Purpose: Frames each completed and developing Cash RTH and Overnight auction in a clean, high-contrast outline that connects seamlessly to the next session.
Default: true.
• Frame Border Style & Width:
Purpose: Border style (Solid/Dashed/Dotted) and width (1–3px).
Default: Dotted, Width 1.
• Cash Frame & ON Frame Colors:
Purpose: Distinct frame border colors for Cash RTH (Gold) vs. Overnight Globex (Purple).
• Outline Transp (%) & Fill Transp (%):
Purpose: Opacity of outer frame border (30%) and internal session shading (98% = transparent wireframe with zero candle tinting).
Defaults: Outline 30%, Fill 98%.
• Show LVN Vacuum Corridor (B-Shape):
Purpose: Displays the Low Volume Node (LVN) liquidity vacuum corridor for B-Shape (Double Distribution) profiles.
Default: true.
• LVN Presentation:
Purpose: Visual style (Both Corridor Box + Centerline, Shaded Corridor Box, or Inflection Line Only).
Default: Inflection Line Only.
• LVN Forward Extension:
Purpose: Extend Until Mitigated projects the corridor forward until retested or penetrated; Session Span Only confines it within session boundaries.
Default: Extend Until Mitigated.
• LVN Color, Style, and Box Fill Transp (%):
Purpose: Visual customization of the LVN corridor.
Defaults: Magenta (#E040FB), Dotted, 92% box fill transparency.
📊 Group 9: Institutional Heads-Up Display & Educational Table
• HUD Display Mode:
Purpose: Selects dashboard presentation (Full Educational Dashboard, Compact Status Pill, or Disabled).
Default: Full Educational Dashboard.
• Dashboard Position:
Purpose: Screen corner placement (Bottom Right, Bottom Left, Top Right, Top Left).
Default: Bottom Right.
• Detect Imbalances at Key Levels:
Purpose: Real-time audio/visual alert scanning active order flow imbalance shelves and alerting when stacked absorption coincides with key levels (VAH, VAL, VPOC, or Overnight Half-Back).
Default: true.
6. Tactical Execution Playbook
1. Pre-Market Balance Orientation (08:30 – 09:30 EST)
• ⚖️ Identify the position of price relative to the Overnight Half-Back (50%).
• ⚡ Scan for Confluent Iron POC alignments between yesterday's Cash VPOC and the Overnight VPOC.
• 🏛️ Check the prior session's Dalton archetype badge: Is the market balanced ([D]) or trending ([P] or )?
2. Opening Drive & Judas Swing Mitigation (09:30 – 10:00 EST)
• 🛑 Stand aside during the opening 15 minutes to protect capital from opening whipsaws and liquidity gaps.
• 🪤 Watch for a false opening drive (Judas Swing) sweeping overnight extremes into an unmitigated Stacked Imbalance Shelf.
• 🟡🟣 Confirm absorption via Effort vs. Reward Candle Colors (Gold for Buyer Absorption, Purple for Seller Absorption).
3. High-Confluence Setups by Dalton Archetype
• 🔄 Rotational [D-Shape] Days: Fade Value Area boundaries (VAH and VAL) targeting the VPOC mean.
• 🌌 Double Distribution [B-Shape] Days: Trade the breakout through the LVN Vacuum Corridor, capturing rapid price displacement toward the secondary distribution's POC.
• 🚀 Initiative [P-Shape / b-Shape] Days: Never fade the morning drive. Align with trend pullbacks into the developing right-margin VPOC and stacked imbalance shelves.
7. Educational & Compliance Disclaimer
This indicator is published under the Mozilla Public License 2.0 (MPL 2.0) strictly for educational, research, and analytical purposes. It does not provide trade recommendations, signals, or financial advice. Trading futures, equities, and options carries substantial risk of capital loss. Past performance and quantitative models do not guarantee future market outcomes. Always exercise rigorous risk management.
Versionshinweise
Important Setup & Master Visual Dials• Dual-Tier Engine: 'Lightweight / Fast Replay Mode' is active by default for instant proxy execution and zero paywall errors. Premium/Ultimate accounts can uncheck this box to unleash native tick-by-tick tape execution (request.footprint) and sub-minute intrabar sampling.
• The Primary Visual Lever (Candle Colors & Shelves): Wyckoff absorption candles ('Ghost Glow' semi-transparent bodies) and horizontal support/demand shelves are governed in Section 2 by two inputs:
- Ticks Per Row: Controls vertical price aggregation (e.g. 8 ticks / 2.00 pts for 5m NQ; 0 for Auto-Adaptive).
- Stack Depth: Consecutive imbalance tiers required to trigger absorption colors and project retest shelves (default: 3 tiers; set to 2 for higher responsiveness).
• Canvas Ruler Click-Through: Session wireframes render with 100% hollow fill, allowing native Shift + Click.
What is New in Version 1.1.0:
1. Ata Sabanci Overlap Coefficient (OVL) & Balance Tilt Engine:
- Evaluates buyer and seller volume curves as continuous distributions across price to compute the normalized Overlap Coefficient (OVL 0.00 to 1.00) and directional Balance Tilt %.
- Dalton Structural Findings:
• Rotational Balance [D-Shape] (OVL >= 0.75, |Tilt| < 3%): Two-sided consensus confirms high-probability mean reversion between Value Area extremes (VAH/VAL) back to the VPOC.
• Initiative Drives [P-Shape / b-Shape] (OVL < 0.55, |Tilt| >= 5%): Asymmetric curve displacement; pullbacks into developing VPOC offer high-conviction trend continuation.
- Displayed live in the HUD and stamped on session extreme badges.
2. Zero-Loss Volume Slicing (100% Volume Conservation):
- Bridges continuous Gaussian kernel geometry with discrete CME tick bins, eliminating point-sampling truncation and guaranteeing 100.0% volume conservation with zero dropped contracts.
3. Dalton 70% Cumulative Mass (15%-85%) Value Area:
- Added an alternative to classical outward expansion. Evaluating the cumulative volume distribution directly extracts the central 70% volume mass (15th to 85th percentiles), preventing unilateral boundary runaway and edge-pegging on skewed or bimodal sessions (configurable in Section 5).
4. 24/7 Day/Night Crypto Weekend Sub-Sessions:
- Automatically partitions weekend trading on continuous crypto markets (BTC, ETH, SOL) into discrete Day (09:30–16:00 EST) and Night (16:00–09:30 EST) profiles with independent VPOCs and Dalton shape tags.
Versionshinweise
Market Aggression Modes & Manual Tuning (Section 2)• Pre-Configured Engine Profiles:
- Aggressive Scalper (Fast Momentum): Lower volume multipliers (1.25x) and fast imbalance thresholds (2.5x ratio) for high-frequency intraday momentum and rapid pullbacks.
- Conservative Swing (Institutional Filter): Higher conviction thresholds (1.50x volume, 3.0x ratio, 0.45 body ratio) filtering out noise for high-timeframe auction moves.
- Volatile Chop (Anti-Whipsaw): Defensive 1.75x volume filter and 3.5x ratio preventing false triggers during tight midday balance.
- Custom / Manual Override: Unlocks all individual quantitative dials for complete manual control.
Manual Mode Tuning Knobs
Quickest way to mess with candle colors if you don't like preset profiles:
- Ticks Per Row: Controls vertical price aggregation for footprint delta and diagonal imbalance tiers. Set to 0 for Auto-Adaptive (8 ticks / 2.00 pts on NQ; 4 ticks / 1.00 pt on ES), or specify exact tick buckets (e.g. 4 ticks for single-point precision).
- Stacked Imbalance Depth: Number of consecutive diagonal imbalance tiers required to project an institutional support/demand shelf. Default is 3 tiers; set to 2 for early agile retests, or 4+ for heavy macro defense walls.
• Modifying Candle Colors & Imbalance Shelves:
- Candlestick Painting: Full customization of Wyckoff Limit Absorption candles (Gold for Buyer Absorption, Purple for Seller Absorption) and Directional Drive candles (Green/Red), including adjustable opacity and glow sliders.
- Imbalance Shelves: Dedicated Imbalance Shelf Box Transparency slider allows independent adjustment of background shelf highlight boxes (0% solid to 100% hidden) without affecting the retest projection lines.
2. Overnight Half-Back Visual Upgrade:
• New Default Color: Switched Overnight Half-Back (50% Globex midpoint) to high-contrast Institutional Orange (#FF9800), instantly differentiating the 50% equilibrium line from Cyan VAH/VAL boundaries.
• Historical Session Projections: Overnight Half-Back lines and tags now persist and project across all prior completed overnight sessions in the Profile Gallery.
3. Other Fixes & Structural Improvements:
• Independent Subsession Framing Toggle: You can now toggle off session wireframe boxes ('Show Subsession Framing = false') while keeping dual-tone volume profiles and shelves fully active.
• Multi-Session Confluent Iron Wall POCs: Automatically scans prior sessions (lookback: 1–10 sessions) for POC clustering within institutional tolerance (Auto-Asset Calibrated: NQ 12 pts, ES 3 pts; or Custom Points). Confluent walls render in Orchid Amethyst with '⚡ C-IRON-POC' badges.
• Dalton 70% Cumulative Mass (15%-85%): Center-weighted percentile Value Area extraction preventing asymmetric boundary runaway on bimodal or skewed sessions.
Versionshinweise
Release Notes: CME Institutional Order Flow & AMT Lens v2.01. Unified Institutional Effort Sensitivity Engine (Scale 1 to 10)
- Replaced fragmented presets with a continuous, scale-invariant institutional effort and absorption calibration engine.
- Governs passive limit order absorption defenses, footprint diagonal imbalances, and expansion drive detection via a single intuitive dial.
- Self-calibrating across all timeframes (30-second to daily) using rolling ATR volatility normalization and timeframe duration harmonics.
- Calibrated to empirical CME order book depth distributions:
* Scale 1 to 3: High-frequency scalping mode capturing early micro-absorptions.
* Scale 5 to 6: Balanced CME institutional benchmark isolating passive limit order defenses at key auction extremes.
* Scale 7 to 8: Conservative institutional filtering isolating heavy liquidity absorption walls.
* Scale 9 to 10: Fortress defense isolating macro structural reversal inflections.
2. Native Footprint Boundary Liquidity Wall Detection
- Added real-time bid and ask queue boundary analysis to the native footprint engine.
- Directly interrogates the lowest 25 percent of candle price tiers for aggressive seller absorption into passive resting bids.
- Interrogates the highest 25 percent of price tiers for aggressive buyer absorption into passive resting asks.
- Incorporates the Fast 50 Percent Wick Reclaim Gate to eliminate 60-second bar close execution lag.
3. Volume Profile Visual Architecture & Viewport Adaptivity
- Adaptive Left-Margin Prior Session Profile:
* When zooming in historical session origins naturally scroll off-screen.
* The engine dynamically detects visible screen boundaries and auto-pins the completed prior session profile to the left margin.
* Ensures critical reference structures (prior VAH, VAL, and VPOC) remain in constant view without requiring manual zoom-outs.
* Automatically unpins and snaps back to the session origin bar when zooming out to macro views.
- Purged redundant inner contested zone fills to restore the authentic dual-tone Gaussian volume profile.
- Display features high-contrast Gold buying curves and Orchid selling curves with clean WebGL translucency blending.
- Eliminated legacy polyline allocations, reducing active drawing object overhead by over 50 objects and accelerating chart responsiveness.
- Real-time display now reports intuitive Relative Volume activity levels and sub-session context without chart clutter.
Versionshinweise
This update refines the indicator for a seamless zero-configuration experience, stabilizes real-time HUD telemetry, and organizes visual settings into clean, paired workspaces.What is New in v2.1.0
• Zero-Setup Native Candlesticks: Added 'Native Bar Re-color' via barcolor(), highlighting absorption directly on your existing chart candles without turning off native bars.
• Synchronized Session Badges: Session archetype badges ([D], [P], , [B]) and OVL tags now match their subsession framing color (Gold for Cash RTH, Purple for Overnight Globex).
• Anti-Flicker State Machine: Replaced the unlatched micro-tick cascade with an intra-bar latched state machine so absorption states (Trapped Longs / Shorts) hold firmly across candle development.
• Standardized Tape & Delta Metrics: Standardized Row 4 to display Session Volume, Session Delta (CVD), Bar Volume, and Bar Delta with directional glyphs (▲/▼) in high-contrast neutral typography.
• Clean Profile Anchors & Right-Margin Dashes: Completed profiles anchor strictly at historical session boundaries, and Overnight Point of Control (ON-POC) is now projected on right-margin dashes.
• Ergonomic Color Workspaces: Re-organized visual settings into paired workspaces for framing (Workspace 6), candles (Workspace 8), and profiles (Workspace 9).
The 3 Settings For Maximum Value
1. Lightweight vs. Premium Engine
• Checked (Default): Fast Bar Replay & Essential/Plus tier mode using calibrated Geometric Proxy delta (zero lag, zero paywall alerts).
• Unchecked: Activates the native tick-by-tick Footprint engine (request.footprint) with continuous Gaussian profiles for TradingView Premium/Ultimate users.
2. Candle Display Choice
• Native Bar Re-color: Zero setup on standard charts.
• Ghost Glow: Translucent candle bodies engineered to overlay cleanly without obscuring numbers or other objects.
• Full Solid HD / Hollow: Standalone high-contrast institutional candle styling.
3. Institutional Effort Sensitivity
• Master 1 to 10 sensitivity dial calibrated to your execution style
- 1 to 3: Fast absorption wicks for 30s-1m scalping.
- 5 to 6: Standard CME benchmark for passive limit defenses (recommended baseline).
- 7 to 10: High-conviction filters for macro swing fortress levels.
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.