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Dynamicvolumeprofile

LibVPrfLibrary "LibVPrf" This library provides an object-oriented framework for volume profile analysis in Pine Script®. It is built around the `VProf` User-Defined Type (UDT), which encapsulates all data, settings, and statistical metrics for a single profile, enabling stateful analysis with on-demand calculations. Key Features: 1. **Object-Oriented Design (UDT):** The library is built around the `VProf` UDT. This object encapsulates all profile data and provides methods for its full lifecycle management, including creation, cloning, clearing, and merging of profiles. 2. **Volume Allocation (`AllotMode`):** Offers two methods for allocating a bar's volume: - **Classic:** Assigns the entire bar's volume to the close price bucket. - **PDF:** Distributes volume across the bar's range using a statistical price distribution model from the `LibBrSt` library. 3. **Buy/Sell Volume Splitting (`SplitMode`):** Provides methods for classifying volume into buying and selling pressure: - **Classic:** Classifies volume based on the bar's color (Close vs. Open). - **Dynamic:** A specific model that analyzes candle structure (body vs. wicks) and a short-term trend factor to estimate the buy/sell share at each price level. 4. **Statistical Analysis (On-Demand):** Offers a suite of statistical metrics calculated using a "Lazy Evaluation" pattern (computed only when requested via `get...` methods): - **Central Tendency:** Point of Control (POC), VWAP, and Median. - **Dispersion:** Value Area (VA) and Population Standard Deviation. - **Shape:** Skewness and Excess Kurtosis. - **Delta:** Cumulative Volume Delta, including its historical high/low watermarks. 5. **Structural Analysis:** Includes a parameter-free method (`getSegments`) to decompose a profile into its fundamental unimodal segments, allowing for modality detection (e.g., identifying bimodal profiles). 6. **Dynamic Profile Management:** - **Auto-Fitting:** Profiles set to `dynamic = true` will automatically expand their price range to fit new data. - **Manipulation:** The resolution, price range, and Value Area of a dynamic profile can be changed at any time. This triggers a resampling process that uses a **linear interpolation model** to re-bucket existing volume. - **Assumption:** Non-dynamic profiles are fixed and will throw a `runtime.error` if `addBar` is called with data outside their initial range. 7. **Bucket-Level Access:** Provides getter methods for direct iteration and analysis of the raw buy/sell volume and price boundaries of each individual price bucket. --- **DISCLAIMER** This library is provided "AS IS" and for informational and educational purposes only. It does not constitute financial, investment, or trading advice. The author assumes no liability for any errors, inaccuracies, or omissions in the code. Using this library to build trading indicators or strategies is entirely at your own risk. As a developer using this library, you are solely responsible for the rigorous testing, validation, and performance of any scripts you create based on these functions. The author shall not be held liable for any financial losses incurred directly or indirectly from the use of this library or any scripts derived from it. create(buckets, rangeUp, rangeLo, dynamic, valueArea, allot, estimator, cdfSteps, split, trendLen)   Construct a new `VProf` object with fixed bucket count & range.   Parameters:      buckets (int) : series int number of price buckets ≥ 1      rangeUp (float) : series float upper price bound (absolute)      rangeLo (float) : series float lower price bound (absolute)      dynamic (bool) : series bool Flag for dynamic adaption of profile ranges      valueArea (int) : series int Percentage of total volume to include in the Value Area (1..100)      allot (series AllotMode) : series AllotMode Allocation mode `classic` or `pdf` (default `classic`)      estimator (series PriceEst enum from AustrianTradingMachine/LibBrSt/1) : series LibBrSt.PriceEst PDF model when `model == PDF`. (deflault = 'uniform')      cdfSteps (int) : series int even #sub-intervals for Simpson rule (default 20)      split (series SplitMode) : series SplitMode Buy/Sell determination (default `classic`)      trendLen (int) : series int Look‑back bars for trend factor (default 3)   Returns: VProf freshly initialised profile method clone(self)   Create a deep copy of the volume profile.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object to copy   Returns: VProf A new, independent copy of the profile method clear(self)   Reset all bucket tallies while keeping configuration intact.   Namespace types: VProf   Parameters:      self (VProf) : VProf profile object   Returns: VProf cleared profile (chaining) method merge(self, srcABuy, srcASell, srcRangeUp, srcRangeLo, srcCvd, srcCvdHi, srcCvdLo)   Merges volume data from a source profile into the current profile. If resizing is needed, it performs a high-fidelity re-bucketing of existing volume using a linear interpolation model inferred from neighboring buckets, preventing aliasing artifacts and ensuring accurate volume preservation.   Namespace types: VProf   Parameters:      self (VProf) : VProf The target profile object to merge into.      srcABuy (array) : array The source profile's buy volume bucket array.      srcASell (array) : array The source profile's sell volume bucket array.      srcRangeUp (float) : series float The upper price bound of the source profile.      srcRangeLo (float) : series float The lower price bound of the source profile.      srcCvd (float) : series float The final Cumulative Volume Delta (CVD) value of the source profile.      srcCvdHi (float) : series float The historical high-water mark of the CVD from the source profile.      srcCvdLo (float) : series float The historical low-water mark of the CVD from the source profile.   Returns: VProf `self` (chaining), now containing the merged data. method addBar(self, offset)   Add current bar’s volume to the profile (call once per realtime bar). classic mode: allocates all volume to the close bucket and classifies by `close >= open`. PDF mode: distributes volume across buckets by the estimator’s CDF mass. For `split = dynamic`, the buy/sell share per price is computed via context-driven piecewise s(u).   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object      offset (int) : series int To offset the calculated bar   Returns: VProf `self` (method chaining) method setBuckets(self, buckets)   Sets the number of buckets for the volume profile. Behavior depends on the `isDynamic` flag. - If `dynamic = true`: Works on filled profiles by re-bucketing to a new resolution. - If `dynamic = false`: Only works on empty profiles to prevent accidental changes.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object      buckets (int) : series int The new number of buckets   Returns: VProf `self` (chaining) method setRanges(self, rangeUp, rangeLo)   Sets the price range for the volume profile. Behavior depends on the `dynamic` flag. - If `dynamic = true`: Works on filled profiles by re-bucketing existing volume. - If `dynamic = false`: Only works on empty profiles to prevent accidental changes.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object      rangeUp (float) : series float The new upper price bound      rangeLo (float) : series float The new lower price bound   Returns: VProf `self` (chaining) method setValueArea(self, valueArea)   Set the percentage of volume for the Value Area. If the value changes, the profile is finalized again.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object      valueArea (int) : series int The new Value Area percentage (0..100)   Returns: VProf `self` (chaining) method getBktBuyVol(self, idx)   Get Buy volume of a bucket.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object      idx (int) : series int Bucket index   Returns: series float Buy volume ≥ 0 method getBktSellVol(self, idx)   Get Sell volume of a bucket.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object      idx (int) : series int Bucket index   Returns: series float Sell volume ≥ 0 method getBktBnds(self, idx)   Get Bounds of a bucket.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object      idx (int) : series int Bucket index   Returns: up series float The upper price bound of the bucket. lo series float The lower price bound of the bucket. method getPoc(self)   Get POC information.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object   Returns: pocIndex series int The index of the Point of Control (POC) bucket. pocPrice. series float The mid-price of the Point of Control (POC) bucket. method getVA(self)   Get Value Area (VA) information.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object   Returns: vaUpIndex series int The index of the upper bound bucket of the Value Area. vaUpPrice series float The upper price bound of the Value Area. vaLoIndex series int The index of the lower bound bucket of the Value Area. vaLoPrice series float The lower price bound of the Value Area. method getMedian(self)   Get the profile's median price and its bucket index. Calculates the value on-demand if stale.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object.   Returns: medianIndex series int The index of the bucket containing the Median. medianPrice series float The Median price of the profile. method getVwap(self)   Get the profile's VWAP and its bucket index. Calculates the value on-demand if stale.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object.   Returns: vwapIndex series int The index of the bucket containing the VWAP. vwapPrice series float The Volume Weighted Average Price of the profile. method getStdDev(self)   Get the profile's volume-weighted standard deviation. Calculates the value on-demand if stale.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object.   Returns: series float The Standard deviation of the profile. method getSkewness(self)   Get the profile's skewness. Calculates the value on-demand if stale.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object.   Returns: series float The Skewness of the profile. method getKurtosis(self)   Get the profile's excess kurtosis. Calculates the value on-demand if stale.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object.   Returns: series float The Kurtosis of the profile. method getSegments(self)   Get the profile's fundamental unimodal segments. Calculates on-demand if stale. Uses a parameter-free, pivot-based recursive algorithm.   Namespace types: VProf   Parameters:      self (VProf) : VProf The profile object.   Returns: matrix A 2-column matrix where each row is an pair. method getCvd(self)   Cumulative Volume Delta (CVD) like metric over all buckets.   Namespace types: VProf   Parameters:      self (VProf) : VProf Profile object.   Returns: cvd series float The final Cumulative Volume Delta (Total Buy Vol - Total Sell Vol). cvdHi series float The running high-water mark of the CVD as volume was added. cvdLo series float The running low-water mark of the CVD as volume was added. VProf   VProf Bucketed Buy/Sell volume profile plus meta information.   Fields:      buckets (series int) : int Number of price buckets (granularity ≥1)      rangeUp (series float) : float Upper price range (absolute)      rangeLo (series float) : float Lower price range (absolute)      dynamic (series bool) : bool Flag for dynamic adaption of profile ranges      valueArea (series int) : int Percentage of total volume to include in the Value Area (1..100)      allot (series AllotMode) : AllotMode Allocation mode `classic` or `pdf`      estimator (series PriceEst enum from AustrianTradingMachine/LibBrSt/1) : LibBrSt.PriceEst Price density model when `model == PDF`      cdfSteps (series int) : int Simpson integration resolution (even ≥2)      split (series SplitMode) : SplitMode Buy/Sell split strategy per bar      trendLen (series int) : int Look‑back length for trend factor (≥1)      maxBkt (series int) : int User-defined number of buckets (unclamped)      aBuy (array) : array Buy volume per bucket      aSell (array) : array Sell volume per bucket      cvd (series float) : float Final Cumulative Volume Delta (Total Buy Vol - Total Sell Vol).      cvdHi (series float) : float Running high-water mark of the CVD as volume was added.      cvdLo (series float) : float Running low-water mark of the CVD as volume was added.      poc (series int) : int Index of max‑volume bucket (POC). Is `na` until calculated.      vaUp (series int) : int Index of upper Value‑Area bound. Is `na` until calculated.      vaLo (series int) : int Index of lower value‑Area bound. Is `na` until calculated.      median (series float) : float Median price of the volume distribution. Is `na` until calculated.      vwap (series float) : float Profile VWAP (Volume Weighted Average Price). Is `na` until calculated.      stdDev (series float) : float Standard Deviation of volume around the VWAP. Is `na` until calculated.      skewness (series float) : float Skewness of the volume distribution. Is `na` until calculated.      kurtosis (series float) : float Excess Kurtosis of the volume distribution. Is `na` until calculated.      segments (matrix) : matrix A 2-column matrix where each row is an pair. Is `na` until calculated.
Pine Script® library
by AustrianTradingMachine
LVN/HVN Auto Detection [PhenLabs]📊 PhenLabs - LVN/HVN Auto Detection Version: PineScript™ v6 📌 Description The PhenLabs LVN/HVN Auto Detection indicator is an advanced volume profile analysis tool that automatically identifies Low Volume Nodes (LVN) and High Volume Nodes (HVN) across multiple trading sessions. This sophisticated indicator analyzes volume distribution patterns to pinpoint critical support and resistance levels where price is likely to react, providing traders with high-probability zones for entries, exits, and risk management. Unlike traditional volume indicators that only show current activity, this tool builds comprehensive volume profiles from historical sessions and intelligently filters the most significant levels. It combines real-time volume analysis with dynamic level detection, offering both visual bubbles for immediate volume activity and persistent horizontal lines that act as ongoing support/resistance references. 🚀 Points of Innovation Multi-Session Volume Profile Analysis - Automatically calculates and analyzes volume profiles across the last 5 trading sessions Intelligent Level Separation Logic - Prevents overlapping signals by maintaining minimum separation between LVN and HVN levels Dynamic Timeframe Adaptation - Automatically adjusts session lengths based on chart timeframe for optimal level detection Real-Time Activity Bubbles - Shows volume activity strength through different bubble sizes at key levels Persistent Line Management - Creates horizontal lines that extend until price crosses them, providing ongoing reference points Dual Threshold System - Independent percentage-based thresholds for both LVN and HVN identification 🔧 Core Components Volume Profile Engine : Builds 20-row volume profiles for each analyzed session, distributing volume across price levels Level Identification Algorithm : Uses percentage-based thresholds to classify volume distribution patterns Separation Logic : Ensures minimum distance between conflicting levels, prioritizing HVN when overlap occurs Line Management System : Tracks active support/resistance lines and removes them when price crosses through Volume Activity Monitor : Compares current volume to 13-period moving average for activity classification 🔥 Key Features Customizable Thresholds : LVN threshold (5-35%, default 20%) and HVN threshold (65-95%, default 80%) for precise level filtering Volume Activity Multiplier : Adjustable volume threshold (0.5+, default 1.5) for bubble and line creation sensitivity Flexible Display Modes : Choose between Lines only, Bubbles only, or Both for optimal chart clarity Smart Level Separation : Minimum separation percentage (0.1-2%, default 0.5%) prevents conflicting signals Color Customization : Independent color controls for LVN (red) and HVN (blue) elements Performance Optimization : Processes every 15 bars with maximum 500 active lines for smooth operation 🎨 Visualization Colored Bubbles : Three sizes (large, medium, small) indicate volume activity strength at key levels Horizontal Lines : Persistent support/resistance lines with width corresponding to volume activity Dual Color System : Semi-transparent red for LVN areas, semi-transparent blue for HVN zones Information Tooltip : Optional table showing usage guidelines and optimization tips 📖 Usage Guidelines Volume Thresholds LVN Threshold ○ Default: 20.0% ○ Range: 5.0-35.0% ○ Description: Price levels with volume below this percentage are marked as LVNs. Lower values create fewer, more significant levels. Typical range 15-25% works for most instruments. HVN Threshold ○ Default: 80.0% ○ Range: 65.0-95.0% ○ Description: Price levels with volume above this percentage are marked as HVNs. Higher values create fewer, stronger levels. Range 75-85% is optimal for most trading. Display Controls Volume Threshold ○ Default: 1.5 ○ Range: 0.5+ ○ Description: Multiplier for volume significance (High=2+threshold, Medium=1+threshold, Low=0+threshold). Higher values require more volume for signals. ✅ Best Use Cases Swing Trading : Identify key levels for position entries and exits over multiple days Scalping : Use bubbles for immediate volume activity confirmation at critical levels Risk Management : Place stops beyond LVN levels where price moves quickly Breakout Trading : Monitor HVN levels for potential breakout or rejection scenarios Multi-Timeframe Analysis : Combine with higher timeframe levels for confluence ⚠️ Limitations Timeframe Sensitivity : Lower timeframes may produce too many levels; higher timeframes recommended for cleaner signals Volume Data Dependency : Accuracy depends on reliable volume data from your data provider Historical Analysis : Uses past volume data which may not predict future price behavior Performance Impact : High number of active lines may affect chart performance on slower devices 💡 What Makes This Unique Automated Session Analysis : No manual drawing required - automatically analyzes multiple sessions Intelligent Filtering : Advanced separation logic prevents overlapping and conflicting signals Adaptive Processing : Adjusts to different timeframes automatically for optimal level detection Dual Visualization System : Combines persistent lines with real-time activity indicators 🔬 How It Works 1. Volume Profile Construction : Analyzes the last 5 trading sessions with dynamic session length based on timeframe Divides each session’s price range into 20 equal levels for volume distribution analysis 2. Level Classification : Calculates volume percentage at each price level relative to session maximum Identifies LVN levels below threshold and HVN levels above threshold 3. Signal Generation : Creates bubbles when volume activity exceeds thresholds at identified levels Draws horizontal lines that persist until price crosses through them 💡 Note : For optimal results, increase your chart timeframe if you see too many levels. The indicator performs best on 15-minute and higher timeframes where volume patterns are more meaningful and less noisy.
Pine Script® indicator
by PhenLabs
6