True Liquidity Blocks

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So basically I've been deep diving into liquidity trading concepts similar to ICT (Inner Circle Trader) and developed an indicator that breaks down market movement through a volume-centric lens.
Key Concept:
Markets move not just by price, but by resolving trapped positions
Volume segments, not time intervals, show true market dynamics
VWAP (Volume Weighted Average Price) becomes a key structural reference
What Makes This Different:
Tracks volume segments instead of fixed time frames
Identifies "trapped" trader positions
Measures liquidity level efficiency
Color-codes bars based on nearest liquidity zone
Indicator Features:
Cyan/Red liquidity levels showing buy/sell pressure
Efficiency tracking for each level
Dynamic volume-based segmentation
Bar coloring to show nearest liquidity zone
Theoretical Inspiration: Viewed markets as energy systems where:
Positions create potential energy
Price movement resolves this energy
Trends form through systematic position liquidation
VWAP Recalculation in Each Segment:
Segment Start:
VWAP resets when volume threshold User Inputtable (600,000) is reached
Uses the last 4 price values (High, Low, Close, Close) for calculation
Weighted by volume traded during that segment
Calculation Method:
pineCopy[_vwap, _, _] = ta.vwap(hlcc4, na(segment_start) ? true : na, 1)
hlcc4: Combines high, low, close prices
na(segment_start): Ensures reset at new segment
Weighted by volume, not equal time intervals
Key Points:
Dynamic recalculation each segment
Reflects most recent trading activity
Provides real-time fair price reference
Tracks positioning
Essentially, VWAP resets and recalculates with each new volume segment, creating a rolling, volume-weighted average price that maps trader positioning.
BSL (Buy Side Liquidity) and SSL (Sell Side Liquidity) Explained:
When a volume segment closes relative to VWAP, it creates natural positioning traps:
BSL (Cyan) - Created when price closes BELOW THAT SEGMENT'S VWAP:
Bulls are positioned BELOW VWAP (trapped)
Shorts are positioned ABOVE VWAP (In Profit)
SSL (Red) - Created when price closes ABOVE THAT SEGMENT"S VWAP:
Bulls are positioned ABOVE VWAP (trapped)
Shorts are positioned BELOW VWAP (trapped)
Core Mechanism:
VWAP acts as a reference point for trader positioning
Trapped positions create inherent market tension
Levels expand to show accumulating pressure
Color-coded for quick identification of potential move direction
The goal: Visualize where traders are likely "stuck" and must eventually resolve their positions or liquidate other's, driving market movement.
It was just a fun experiment but If ya'll have any thoughts on it or what I could do to improve it, I would appreciate it.
Just a little note, It's optimized for futures, but if u uncheck the "Rest at Futures Open ?" setting, it allow full reign of any asset with volume data.

26 thg 2

Phát hành các Ghi chú

Updated to input own market hours

26 thg 4

Phát hành các Ghi chú

Updated to show each segments average number of bars