Discussing the article: "Building a Volume-Based Liquidity Heatmap Indicator in MQL5"

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Check out the new article: Building a Volume-Based Liquidity Heatmap Indicator in MQL5.

This article implements an MQL5 Liquidity Heatmap that infers likely liquidation zones from price and volume. It qualifies bars with a rolling volume SMA, computes leverage-based liquidation levels from candle extremes, ranks signals across two volume modes, and manages chart objects (lines and bubbles) that extend until price crosses them, allowing you to highlight potential stop-hunt areas and strengthen structural analysis.

MetaTrader 5 provides price and volume data but does not offer a built-in chart visualization layer for highlighting where clustered leveraged positions are likely to be concentrated. Since retail indicators cannot access exchange-level liquidation or open-interest data, this task becomes an engineering reconstruction that uses only OHLC and volume data to detect volume spikes, convert those spikes into estimated liquidation prices under an assumed leverage, rank the resulting zones by relative signal strength, and manage their lifecycle on the chart (create → extend forward → freeze once swept).

The Liquidity Heatmap indicator:

  • identifies above-average volume candles (volume > SMA);
  • converts each qualified candle into a long or short estimated liquidation level based on candle direction and user-defined leverage;
  • visualizes and ranks these levels using lines and multi-tier bubbles;
  • manages object limits and prevents duplication using bar timestamps.

The indicator is designed as a probabilistic, analysis-oriented tool for highlighting potential liquidity clusters for manual or automated analysis. It can help identify possible stop-hunt zones and provide additional confluence with structural price analysis, but it does not represent actual exchange liquidation events. 


Author: ALGOYIN LTD

 

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Excellent idea. Good article.

 
Wurzel1973 #:

Excellent idea. Good article.

Thank you.
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