Volume-by-Price Indicator with High-Low Anchors and Bull-Bear Breakdown

Summary

This ProRealTime indicator divides the price range over a selected lookback into equal bands and estimates how much traded volume belongs to each band. The user can anchor the calculation around the period’s highest high or lowest low, or use a fixed lookback start. For each band, the code sums volume from bars whose closing prices fall within that band, then draws horizontal rectangles whose widths scale with the estimated volume.

An optional breakdown separates volume on bars that closed above their open from volume on other bars, displaying the two estimates in different colors. The example settings use 25 price bands and a 50-bar lookback, but the author presents the tool as a way to inspect price activity, not as a tested trading system. Volume is assigned by each bar’s close rather than distributed across all prices traded within the bar, so the display is an approximation. No strategy rules or performance evidence are provided.

Key ideas

• The indicator bins a selected price range into equal price intervals and estimates volume for each interval.
• The calculation can anchor its range to a lookback high, a lookback low, or a fixed period.
• An optional display splits estimated volume according to whether bars closed above their open.
• Volume attribution uses bar closes, so the plotted distribution is approximate rather than transaction-level.

Tags

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