OrderFlow MicroStructure Pro
- Indicateurs
- Version: 1.10
- Activations: 5
OrderFlow MicroStructure Pro brings several order-flow views to one chart: a daily VWAP with standard-deviation bands, buy/sell delta of each closed bar, cumulative delta, a bid x ask footprint of the last closed bar and a volume profile over a range you can move with the mouse. It is designed for exchange instruments with trade data (for example B3 futures and stocks) and also runs on Forex with an approximation described below.
How it works
- VWAP: typical price weighted by tick volume, reset once per day at the chosen server hour, with upper and lower bands at N standard deviations. Plotted on closed bars only.
- Delta: when trade ticks with aggressor flags are available, buy and sell volume come from the BUY/SELL flags. On feeds without trade ticks (Forex/CFD), quote ticks are classified by the tick rule (uptick = buy, downtick = sell) with a volume of 1 per tick.
- Cumulative delta starts when the indicator is attached and adds the delta of each new closed bar.
- Footprint: the last closed bar is split into price levels showing sell x buy volume next to the bar.
- Volume profile: built from ticks inside a rectangle on the chart (default: last 120 bars). Drag or resize the rectangle to change the range. The point of control (POC) and the 70% value area (VAH/VAL) are drawn as lines.
- Kernel filter (DAF-KC): a Gaussian-weighted average of recent bar deltas and its Z-score versus the last 48 deltas, shown in the panel.
Main features
- Daily VWAP with configurable sigma bands
- Bar delta, buy x sell totals, cumulative delta
- Footprint of the last closed bar
- Interactive volume profile with POC, VAH, VAL
Inputs
- VWAP reset hour, band width (sigma), max history bars
- Footprint levels, profile levels, initial profile window
- Show footprint, show profile, draw POC/VAH/VAL lines
- Refresh interval and panel layout
Notes and limitations
- On Forex and CFDs there is no real volume and no aggressor information; delta, footprint and profile are tick-rule approximations based on quote ticks.
- The VWAP uses tick volume on all symbols.
- Cumulative delta and the kernel filter are built only from bars closed while the indicator is running; they reset when the indicator is reloaded. The kernel needs at least 8 bars.
- The indicator does not trade and does not send alerts.
Recommended use
B3 mini index and mini dollar, stocks and other exchange symbols with trade ticks, on M1 to M15. On Forex use it as an activity map rather than true order flow.
