Volume Profile Delta

This indicator calculates the Volume Profile Delta (VPD). It constructs a high-resolution volume profile for each bar using intra-bar data, offering a detailed understanding of buying and selling pressure at discrete price levels.

Key Features:

Statistical Volume Profile Engine: For each bar, the indicator builds a high-resolution volume profile on a lower 'Intra-Bar Timeframe'. Instead of simple tick counting, it uses statistical models ('PDF' allocation) to distribute volume across price levels and advanced classifiers ('Dynamic' split) to determine the buy/sell pressure within that profile, providing a more nuanced delta calculation.

"Delta Candle" Visualization: The per-bar VPD is displayed as a candle, where:

Open: Always anchored at the zero line.

High/Low: Represent the peak buying (CVD High) and selling (CVD Low) pressure accumulated within that bar's profile.

Close: The final net delta value (CVD) for the bar.

Customizable Moving Average: An optional moving average of the net delta (Close) can be added. The MA type, length, and an optional Volume weighted setting are customizable.

Intra-Bar Peak Pivot Detection: Automatically identifies and plots significant turning points (pivots) in the peak buying (High) and selling (Low) pressure.

Note on Confirmation (Lag): Pivot signals are confirmed using a lookback method. A pivot is only plotted after the Pivot Right Bars input has passed, which introduces an inherent lag.

Multi-Timeframe (MTF) Capability:

MTF Output: The entire analysis (Delta Candles, MA, Pivots) can be calculated on a higher timeframe (using the Timeframe input), with standard options to handle gaps (Fill Gaps) and prevent repainting (Wait for...).

Limitation: The Pivot detection (Calculate Pivots) is disabled if a Higher Timeframe (HTF) is selected.

Integrated Alerts: Includes 8 alerts for:

The net delta crossing its moving average.

The detection of new peak buying or selling pivots.

Conditions of agreement or disagreement between the net delta and the main bar's direction.

Caution: Real-Time Data Behavior (Intra-Bar Repainting) This indicator uses high-resolution intra-bar data. As a result, the values on the current, unclosed bar (the real-time bar) will update dynamically as new intra-bar data arrives. This behavior is normal and necessary for this type of analysis. Signals should only be considered final after the main chart bar has closed.

DISCLAIMER

For Informational/Educational Use Only: This indicator is provided for informational and educational purposes only. It does not constitute financial, investment, or trading advice, nor is it a recommendation to buy or sell any asset.

Use at Your Own Risk: All trading decisions you make based on the information or signals generated by this indicator are made solely at your own risk.

No Guarantee of Performance: Past performance is not an indicator of future results. The author makes no guarantee regarding the accuracy of the signals or future profitability.

No Liability: The author shall not be held liable for any financial losses or damages incurred directly or indirectly from the use of this indicator.

Signals Are Not Recommendations: The alerts and visual signals (e.g., crossovers) generated by this tool are not direct recommendations to buy or sell. They are technical observations for your own analysis and consideration.