Session VWAP Profile & Candle Delta [BigBeluga]

The Session VWAP Profile & Candle Delta [BigBeluga] is a comprehensive technical analysis tool that combines anchored Volume Weighted Average Price (VWAP) bands, dynamic standard deviation channels, session volume profiles, and intra-candle delta distribution boxes. Traditional volume profiles and VWAP indicators often lack automated higher-timeframe session switching or fail to break down volume distribution into distinct bullish and bearish candle counts per price bin. To solve this limitation, this script automatically computes optimal session durations based on chart timeframes, maps historical and real-time volume profiles with point-of-control (POC) lines, and tracks mean-reversion signals when price rejects the outer standard deviation bands.

The indicator visualizes multi-session volume density gradients, upper and lower band polygons, POC markers, distribution count boxes, and reversal trigger shapes directly on the main chart overlay. The core architecture leverages user-defined or automatic higher timeframes, dynamic bin resolution calculators driven by average true range (ATR), and garbage-collected session tracking structures to maintain performance across extended historical data.

The system operates through an integrated modular architecture where each component dynamically coordinates visual rendering and calculations:

1 — Auto Timeframe & Session Engine

• Timeframe Selection: Automatically targets roughly 200 candles per session using the Use Auto Timeframe setting, or falls back to a user-specified Manual Timeframe.
• Session Reset Tracking: Monitors session boundaries via timeframe changes to anchor VWAP calculations, accumulate sum volume, price-volume products, and squared price-volume metrics.
  

2 — Volume Profile & Distribution Engine

• Dynamic Bins Resolution: Calculates bin counts dynamically based on ATR volatility or fixes them using the Manual Bins Count parameter.
  
• Candle Delta Distribution: Distributes volume across price bins while tracking bullish and bearish candle counts to display distribution boxes ([+Bullish | -Bearish]).
  
• Point of Control (POC): Identifies the highest volume bin within the session and draws a dashed POC line across the profile structure.
  

3 — Band Reversal & Signal System

• Standard Deviation Channels: Computes upper and lower bands using a configurable Band Multiplier (StdDev) around the central VWAP.
  
• VWAP Session Direction: colors VWAP mid line in to bear or bull colors based on session direction
  
• Reversal Triggers: Detects when price pierces and closes back inside the outer standard deviation bands, plotting triangle signal markers with spacing gap enforcement.
  

Apart from serving as an advanced volume profile and session VWAP mapping utility, the script can be applied in several ways:

1. Analyze Value Areas & POC: Monitor the Point of Control line and volume density bins to identify institutional fair value zones and high-liquidity nodes.
2. Trade Band Rejections: Look for triangle signals at the upper and lower standard deviation channels when price attempts to break out but closes back inside the bands.
3. Evaluate Order Flow Balance: Inspect the candle count distribution boxes to gauge whether buyers or sellers are dominating specific price nodes within the session profile.

Why this implementation is unique:

• Integrates full session volume profiles with real-time horizontal offsets and structured garbage collection via custom `SessionElements` types.
• Incorporates intra-bin bullish and bearish candle count distribution metrics optimized for Pine Script version 6.
• Features automated higher-timeframe session adaptation and clean gradient coloring based on VWAP direction and volume density.