OPEN-SOURCE SCRIPT
Unified CVD Router J-Edition v2.7.0
Overview:
The Unified CVD Router J-Edition is an experimental indicator designed to provide a significantly more accurate Cumulative Volume Delta (CVD) estimation than TradingView’s standard built-in methodology when you are constrained by non-Professional plan limits (specifically, using 1-second (1S) as the lowest lower-timeframe calculation resolution).
Standard synthetic CVD indicators rely on basic bar-color or tick-direction assumptions. This script replaces those primitive rules with sub-bar econometric modeling and probabilistic inference to better estimate aggressive buying and selling pressure.
Key Features:
Multi-Engine 1S Sub-Bar Router: Evaluates sub-bar volume through Geometric, Bulk Volume Classification (BVC), and Flow engines.
Distrust & Jump Layers: Employs Bipower Variation and Hawkes excitation intensity to isolate hidden liquidity ("icebergs"), market jumps, and auction open/close distortions.
Bayesian Soft-Routing: Dynamically calculates the probability of passive absorption versus directional flow to weight delta estimations smoothly.
Effort vs. Result Overlays: Incorporates Amihud illiquidity and Kyle’s Lambda market impact models at the chart-bar level to gauge how effectively volume moves price.
Experimental Notice & Disclaimer:
This script is experimental and does not claim to represent absolute "ground truth."
Because non-Professional TradingView plans lack true tick-by-tick aggressor tagging and tick charts, this indicator uses advanced statistical modeling to infer delta. It is an algorithmic approximation, not a direct replacement for native Level 2 execution feeds.
Call for Testing & Benchmarking:
I welcome feedback and testing from the community! Because this is an ongoing experiment in order flow modeling, it needs to be benchmarked against true tick data.
It would be especially helpful if users with access to the following could compare results and share insights in the comments:
TradingView Ultimate Plan users using the built-in CVD on a 1-tick (1T) resolution.
Dedicated Order Flow Platforms with direct tick feeds (such as ATAS, Sierra Chart, or Bookmap).
The Unified CVD Router J-Edition is an experimental indicator designed to provide a significantly more accurate Cumulative Volume Delta (CVD) estimation than TradingView’s standard built-in methodology when you are constrained by non-Professional plan limits (specifically, using 1-second (1S) as the lowest lower-timeframe calculation resolution).
Standard synthetic CVD indicators rely on basic bar-color or tick-direction assumptions. This script replaces those primitive rules with sub-bar econometric modeling and probabilistic inference to better estimate aggressive buying and selling pressure.
Key Features:
Multi-Engine 1S Sub-Bar Router: Evaluates sub-bar volume through Geometric, Bulk Volume Classification (BVC), and Flow engines.
Distrust & Jump Layers: Employs Bipower Variation and Hawkes excitation intensity to isolate hidden liquidity ("icebergs"), market jumps, and auction open/close distortions.
Bayesian Soft-Routing: Dynamically calculates the probability of passive absorption versus directional flow to weight delta estimations smoothly.
Effort vs. Result Overlays: Incorporates Amihud illiquidity and Kyle’s Lambda market impact models at the chart-bar level to gauge how effectively volume moves price.
Experimental Notice & Disclaimer:
This script is experimental and does not claim to represent absolute "ground truth."
Because non-Professional TradingView plans lack true tick-by-tick aggressor tagging and tick charts, this indicator uses advanced statistical modeling to infer delta. It is an algorithmic approximation, not a direct replacement for native Level 2 execution feeds.
Call for Testing & Benchmarking:
I welcome feedback and testing from the community! Because this is an ongoing experiment in order flow modeling, it needs to be benchmarked against true tick data.
It would be especially helpful if users with access to the following could compare results and share insights in the comments:
TradingView Ultimate Plan users using the built-in CVD on a 1-tick (1T) resolution.
Dedicated Order Flow Platforms with direct tick feeds (such as ATAS, Sierra Chart, or Bookmap).
Скрипт с открытым кодом
В истинном духе TradingView, создатель этого скрипта сделал его открытым исходным кодом, чтобы трейдеры могли проверить и убедиться в его функциональности. Браво автору! Вы можете использовать его бесплатно, но помните, что перепубликация кода подчиняется нашим Правилам поведения.
Отказ от ответственности
Информация и публикации не предназначены для предоставления и не являются финансовыми, инвестиционными, торговыми или другими видами советов или рекомендаций, предоставленных или одобренных TradingView. Подробнее читайте в Условиях использования.
Скрипт с открытым кодом
В истинном духе TradingView, создатель этого скрипта сделал его открытым исходным кодом, чтобы трейдеры могли проверить и убедиться в его функциональности. Браво автору! Вы можете использовать его бесплатно, но помните, что перепубликация кода подчиняется нашим Правилам поведения.
Отказ от ответственности
Информация и публикации не предназначены для предоставления и не являются финансовыми, инвестиционными, торговыми или другими видами советов или рекомендаций, предоставленных или одобренных TradingView. Подробнее читайте в Условиях использования.