Volume Profiles, Zero-Volume Price Gaps, and Buy-Sell Delta

Summary

This indicator builds a volume profile over a configurable lookback range by dividing the observed price span into rows. It assigns each bar’s volume to the row containing a selected price source, then separates volume according to whether the bar closed above its open or not. Row totals determine the horizontal profile width, while bullish and bearish portions use separate colors. Rows with no assigned volume are highlighted as zero-volume zones, and adjacent zones are merged and adjusted to begin near the first bar whose range intersects them.

A second panel groups profile rows into vertical sections and calculates each section’s delta as bullish volume minus bearish volume, expressed as a share of total volume. The panel displays the sign and magnitude with colored bars and optional labels. This is a charting tool rather than a trading rule or tested signal: its buy-sell classification uses candle direction as a proxy, and each bar’s volume is assigned to one price row using the chosen source. The document gives no evidence that gaps or delta predict price movement.

Key ideas

• The profile bins a selected price range and assigns each historical bar’s volume to one row.
• Candle direction splits row volume into bullish and bearish components.
• Rows without assigned volume are marked as gaps, with adjacent rows combined into zones.
• The delta panel aggregates bullish and bearish volume across vertical sections and shows the difference as a percentage of total volume.
• The indicator explains a visualization method but provides no validation of its predictive value.

Tags

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