Liquidity Tessera [JOAT]

Liquidity Tessera [JOAT]

Introduction

Liquidity Tessera is an advanced open-source volume intelligence pane that fuses Cumulative Volume Delta (CVD), Weis Wave volume clustering, multi-design intensity bars, volume absorption and climax detection, CVD momentum ribbon, liquidity exhaustion tracking, session-partitioned delta accumulation, and a comprehensive 16-row dashboard into a unified volume analysis system. This indicator transforms raw volume data into actionable intelligence about who controls the market — buyers or sellers — and whether that control is strengthening or weakening.

Standard volume indicators show you how much trading occurred. Liquidity Tessera shows you the character of that trading: whether volume is flowing in or out (CVD), whether volume waves are expanding or contracting (Weis Wave), whether institutions are absorbing supply or distributing into demand (absorption detection), and whether a move is reaching climactic exhaustion (climax and exhaustion signals). The indicator operates in its own pane below the price chart, providing a complete volume intelligence layer without cluttering price action.



Core Concepts

1. Cumulative Volume Delta (CVD)

CVD approximates the net buying and selling pressure by assigning each bar's volume as positive (buying) when the close is above the open, and negative (selling) when the close is below the open:

float barDelta = close > open ? volume : close < open ? -volume : 0.0
var float cvdRaw = 0.0
cvdRaw := nz(cvdRaw[1]) + barDelta

The cumulative sum of these deltas creates a running total of net order flow. Rising CVD indicates net buying pressure is accumulating; falling CVD indicates net selling pressure. The indicator offers optional normalization using a z-score approach (CVD relative to its rolling mean and standard deviation), which makes CVD comparable across different instruments and timeframes.

CVD divergences from price are particularly significant: when price makes a new high but CVD does not confirm (it stays below its recent high), it suggests the rally lacks genuine buying conviction and may be vulnerable to reversal.

2. Weis Wave Volume Clustering

The Weis Wave method groups volume into directional waves. Rather than looking at volume bar-by-bar, it accumulates volume during each directional swing. A wave reversal is triggered when price moves against the current wave direction by more than a configurable ATR-based threshold:

float waveThreshold = ta.atr(waveAtrLen) * waveAtrMul
// When price reverses by more than the threshold, the wave completes
// and accumulated volume is plotted as a single wave column

This reveals the Wyckoff-style volume pattern: are up-waves attracting more volume than down-waves (accumulation), or are down-waves attracting more volume (distribution)? The indicator tracks wave history and detects divergences between price swings and their corresponding wave volumes.

3. Volume Absorption Detection

Institutional absorption occurs when large players absorb selling pressure (or buying pressure) without allowing price to move significantly. The indicator detects this by identifying bars where volume is extremely high relative to average (above the configurable threshold, default 2x) but the price range is unusually small (below 50% of average range):

• High volume + small range = someone is absorbing the opposite side's orders
  
• This often occurs at the end of trends when institutions are building positions against the prevailing direction
  

Absorption bars are highlighted with a distinct amethyst color and labeled "ABS" on the chart.

4. Volume Climax Detection

A volume climax occurs when extreme volume (above the configurable threshold, default 3x average) coincides with a reversal candle pattern — specifically, a bar with a large wick-to-body ratio (wick > 2x body). This combination suggests that a massive influx of orders met strong opposition, creating a potential turning point. Climax bars are highlighted in fuchsia and labeled "CLIMAX."

5. Liquidity Exhaustion Tracking

The indicator tracks consecutive Weis Waves where volume declines from wave to wave. When two or more consecutive waves in the same direction show declining volume, it signals exhaustion — the trend is running out of fuel. This is a classic Wyckoff concept: a trend sustained by decreasing volume is unsustainable.

6. Delta Intensity Bar Coloring

Rather than simple up/down coloring, the indicator offers gradient-based bar coloring where the intensity of the color reflects the strength of the bar's delta relative to average volume:

float deltaStr = math.min(math.abs(barDelta) / volMA, 2.0) / 2.0
// Weak delta = faint color, strong delta = vivid color
baseCol := color.from_gradient(deltaStr, 0, 1,
     color.new(TESS_INFLOW, 65), color.new(TESS_INFLOW, 0))

This means a green bar with faint color had weak buying conviction, while a vivid green bar had strong buying conviction — information not available from standard volume bars.

7. CVD Momentum Ribbon

A fast and slow EMA of the raw CVD create a momentum ribbon. When the fast CVD EMA is above the slow, delta momentum is bullish (buying pressure is accelerating). Crossovers between the two indicate shifts in delta momentum direction.

Features

• Four Bar Design Modes: Solid (standard filled bars), Hollow (outline only), Intensity (transparency scales with volume relative to average), and Glass (semi-transparent with a stepline cap) — each providing a different visual emphasis
  
• Weis Wave Histogram: Background columns showing completed wave volumes, colored by wave direction. Up-wave volumes plot above zero, down-wave volumes below
  
• CVD Overlay: The cumulative delta line scaled to fit the volume pane, with gradient coloring from bearish (red) to bullish (teal) based on CVD value
  
• Session Volume Accumulation: Separate tracking of pre-market, regular, and post-market session volumes and deltas, with session background coloring
  
• Delta Pressure Score: A 0-100 percentage measuring net buying pressure over the last 20 bars. Above 60 = buy pressure dominant, below 40 = sell pressure dominant
  
• Wave Volume Comparison: Real-time comparison of the current wave's volume against the previous wave, classified as Expanding, Steady, or Contracting
  
• Liquidity State Classification: Categorizes the current bar as Absorption, Climax, Exhaustion, Spike, Dry-Up, or Normal based on the composite of all detection systems
  
• Volume Spike Detection: Identifies bars where volume exceeds 2.5x average with a background highlight
  
• Session Delta Bias: Tracks whether the current session's cumulative delta is net accumulating or distributing
  
• 16-Row Dashboard: Displays bar delta, CVD state, volume ratio, wave direction, session volumes, last wave volume, liquidity state, delta pressure, CVD momentum, wave volume comparison, session delta bias, delta strength, active wave volume, exhaustion counts, and bar style
  

Input Parameters

Cumulative Delta:

• CVD Smoothing: EMA period for CVD smoothing (default: 14)
  
• Normalize CVD: Toggle z-score normalization for cross-asset comparability (default: on)
  
• CVD Ribbon Fast/Slow: EMA periods for the momentum ribbon (default: 8/21)
  

Wave Volume:

• Wave ATR Multiplier: Threshold for wave reversal detection (default: 1.5)
  
• Wave ATR Length: ATR period for wave threshold (default: 14)
  

Signals:

• Absorption Vol Threshold: Volume multiple for absorption detection (default: 2.0)
  
• Climax Vol Threshold: Volume multiple for climax detection (default: 3.0)
  
• Toggles for wave divergence, absorption, climax, and exhaustion signals
  

Visuals:

• Bar Style: Solid, Hollow, Intensity, or Glass (default: Intensity)
  
• Toggles for delta intensity coloring, wave histogram, CVD overlay, CVD ribbon, session background, and dashboard
  

How to Use This Indicator

Step 1: Read the Liquidity State
Check the dashboard's Liquidity State. "Absorption" at support suggests institutions are buying. "Climax" after an extended move suggests a potential turning point. "Exhaustion" means the trend is losing volume fuel. "Normal" means standard conditions apply.

Step 2: Monitor CVD Direction
Rising CVD confirms uptrends; falling CVD confirms downtrends. CVD diverging from price is a warning sign. If price is making new highs but CVD is flat or declining, the rally may lack genuine buying support.

Step 3: Compare Wave Volumes
In a healthy uptrend, up-wave volumes should be larger than down-wave volumes. If down-wave volumes start exceeding up-wave volumes while price is still rising, distribution may be occurring. The Wave Volume Comparison metric in the dashboard tracks this automatically.

Step 4: Use Delta Pressure for Bias
The Delta Pressure score (0-100) provides a quick read on who controls the last 20 bars. Above 60 = buyers dominate. Below 40 = sellers dominate. Between 40-60 = balanced/contested.

Step 5: Watch for Signal Clusters
The most significant moments occur when multiple signals cluster: an absorption bar followed by a wave divergence during an exhaustion phase, for example, creates a high-conviction reversal setup. Single signals in isolation are less reliable.



Indicator Limitations

• The CVD approximation (close > open = buying, close < open = selling) is a simplification. True order flow data requires Level 2/DOM data not available in Pine Script. This approximation works reasonably well on liquid instruments but is inherently imprecise
  
• Volume data quality varies significantly across instruments and data providers. Forex "volume" is typically tick count, not actual traded volume. Crypto volume may include wash trading. The indicator's effectiveness depends on the quality of the underlying volume data
  
• Weis Wave reversal detection depends on the ATR threshold parameter. Too small a threshold produces too many waves (noise); too large produces too few (missing genuine reversals). The optimal setting varies by instrument and timeframe
  
• Absorption and climax detection use fixed ratio thresholds. What constitutes "extreme" volume varies across instruments and market conditions. The thresholds may need adjustment
  
• Session volume tracking uses TradingView's built-in session detection, which may not align perfectly with all exchanges or instruments
  
• The indicator operates in a separate pane and cannot overlay directly on price. Cross-referencing signals with price action requires visual comparison between panes
  

Originality Statement

This indicator is original in its comprehensive fusion of multiple volume analysis methodologies into a unified intelligence pane. While individual components (CVD, Weis Wave, volume absorption) exist separately, this indicator is justified because:

• The integration of CVD, Weis Wave clustering, absorption detection, climax detection, and exhaustion tracking into a single system provides layered volume intelligence not available in any single existing indicator
  
• The delta intensity bar coloring system uses gradient transparency based on delta strength, providing conviction information within the volume bars themselves
  
• The liquidity state classification system synthesizes all detection subsystems into a single categorical assessment of current market conditions
  
• Session-partitioned delta tracking reveals whether accumulation or distribution is occurring within specific market sessions
  
• The CVD momentum ribbon provides a trend-following overlay on the delta data, identifying shifts in buying/selling momentum
  
• Four distinct bar design modes (Solid, Hollow, Intensity, Glass) offer visual flexibility for different analysis preferences
  
• Wave volume comparison with expanding/contracting classification automates Wyckoff-style wave analysis
  

Disclaimer

This indicator is provided for educational and informational purposes only. It is not financial advice or a recommendation to buy or sell any financial instrument. Trading involves substantial risk of loss. Volume analysis provides context about market participation but does not predict future price direction. Absorption, climax, and exhaustion signals are probabilistic patterns that can and do fail. CVD approximations are not equivalent to true order flow data. Always use proper risk management and conduct your own analysis. The author is not responsible for any losses incurred from using this indicator.

-Made with passion by officialjackofalltrades