Price-Level Volume, Volume Delta, and Open-Interest Delta Profiles

Summary

This indicator builds a price-level display from lower-timeframe data, with selectable views for total volume, volume delta, or open-interest delta. It groups activity into levels spaced by ticks or percentages, then draws profile elements, a heatmap, and an emphasized point of control. A classic mode instead divides each bar’s price range into rows. The open-interest option is designated for Binance perpetual futures.

The script provides configuration for the calculation window, recalculation schedule, display style, and whether to use an assumption when a price level contains only buying or selling volume. That assumption imputes some opposing-side volume, so the delta view may depend on an estimate rather than observed trade direction. The document describes indicator mechanics and settings, not a trading strategy or empirical results. Lower-timeframe data availability, exchange-specific open-interest coverage, level spacing, and the selected calculation window can affect what the chart shows; no independent validation or performance evidence is supplied.

Key ideas

• The indicator maps volume, volume delta, or open-interest delta onto price levels using lower-timeframe data.
• Price levels can be spaced by fixed ticks or by a percentage of price.
• A classic display divides each bar’s range into rows, while another mode uses generated price levels.
• An optional assumption estimates opposing-side volume when only one side is represented at a level.
• Open-interest delta is specified for Binance perpetual futures, and the document gives no performance evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.