Volume-Binned Liquidity Heatmap for Price Levels Above and Below Market

Summary

This indicator builds a price-level profile from recent bars and displays it as a heatmap around the current market. It divides the selected historical high-to-low range into bins, then adds each bar’s volume to bins near that bar’s closing price. Profile depth can be adjusted for shorter or broader historical context, while sensitivity settings change the color gradient. The most heavily populated bin is highlighted, and labels report the accumulated volume and share of the profile above and below current price, along with their difference.

The visualization is descriptive rather than a trading strategy: it provides no entry, exit, or risk rules and gives no performance evidence. Its “liquidity” estimates are derived from bar volume assigned by closing-price proximity, not from order-book depth or actual buy and sell transactions at each price. Results therefore depend on the chosen lookback, binning method, chart data, and the indicator’s assumptions; the displayed imbalance should not be read as direct evidence of market-side liquidity.

Key ideas

• The indicator divides the recent price range into bins and accumulates bar volume near each bar’s closing price.
• Users can select a shorter, medium, or broader historical profile and adjust heatmap contrast.
• It highlights the highest-volume bin and displays volume totals above and below current price.
• The reported imbalance is calculated from the indicator’s profile bins rather than order-book depth.
• The document presents a visualization method but no trading rules or performance results.

Tags

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