Reconstructing Intrabar Volume and Delta by Price Level
Summary
Focus Bars uses lower-timeframe data to break recent chart candles into configurable price rows. It estimates directional participation from intrabar price movement, distributes that activity across the prices traversed, and displays buy-side and sell-side volume alongside each reconstructed bar. In volume mode, profile width represents total participation at each level; in delta mode, positive and negative imbalance extend in opposite directions. Several recent bars can be stacked for visual comparison.
The tool is an exploratory view of candle internals, not a complete trading strategy: the description offers no entry or exit rules, backtest, or evidence of predictive value. Its directional measure is inferred from price changes rather than verified buyer-initiated and seller-initiated trades, and dividing lower-timeframe activity across each bar’s price span is an approximation. The selected data granularity and row count affect the display’s detail and interpretation, so the profile should be treated as a visualization of estimated activity rather than an exact record of order flow.
Key ideas
- Lower-timeframe observations are grouped into price rows to visualize activity within each chart candle.
- Volume mode sizes profiles by estimated total participation at each price level.
- Delta mode shows estimated positive and negative directional imbalance on opposing sides.
- The indicator can display multiple recent reconstructed bars for comparison.
- Its directional allocation is an approximation and the document provides no evidence of predictive performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.