Mapping Intrabar Volume Delta, Imbalances, and Value Areas
Summary
This indicator estimates buying and selling volume at price levels within each chart bar, then displays the resulting volume distribution, delta, and value area. It builds rows across the bar’s price range and allocates lower-timeframe volume to rows according to how much of each observation’s range overlaps them. Users can adjust row sizing, choose automatic sizing based on the bar range, set an imbalance threshold, and configure the value-area percentage. The point of control is the row with the greatest combined buy and sell volume; the value area expands outward from it using neighboring row volumes.
The indicator also plots cumulative volume delta, with an optional anchor period, and can use tick or seconds data when available. Its volume-side classification relies on price movement and, where configured data permits, bid-ask information. The document provides implementation details but no evidence that delta, imbalance markers, or value-area levels predict future prices. Estimated classifications and limited data resolution may affect the map; the script also disables volume distribution when too many price levels are present. Symbols without vendor volume data cannot support its calculations.
Key ideas
- Intrabar observations are assigned to price rows to estimate buy and sell volume distribution.
- The indicator marks row-level imbalances and identifies the point of control from combined volume.
- Value-area boundaries expand away from the point of control until the selected volume share is covered.
- Cumulative volume delta can be plotted relative to a configurable anchor period.
- Volume-side estimates depend on available resolution and data, and the document presents no predictive performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.