Volume Delta with Bollinger Bands [EMA]

TL;DR
This indicator displays a “Volume Delta” candle chart based on a lower timeframe approximation of up vs. down volume. Bollinger Bands (using an EMA and a configurable standard deviation multiplier) highlight when Volume Delta exceeds typical volatility thresholds. Green bars will darken when Volume Delta is above the upper Bollinger band, and red bars will darken when Volume Delta is below the lower Bollinger band. You can optionally include wicks in the Bollinger calculations. Note: TradingView uses tick-based volume data, so these values may not precisely match true market orders.

What Is Volume Delta?
• Volume Delta is a metric that identifies buying vs. selling activity in a market by distinguishing between orders transacting at the ask (buy volume) and orders transacting at the bid (sell volume).
• A positive Volume Delta indicates more buy volume during a bar, while a negative Volume Delta indicates more sell volume.

How TradingView Calculates Volume Delta
• TradingView relies on tick data to approximate up/down volume. This may not perfectly capture true order-flow distribution, particularly on higher timeframes or illiquid symbols.
• While it can provide useful insights into volume flow, keep in mind the underlying data’s limitations.

Key Features of This Indicator
1. Automatic or Custom Lower Timeframe Data
• The script can automatically select a lower timeframe for Volume Delta, or you can manually specify one in the settings.
2. Bollinger Bands on Volume Delta
• Uses an EMA of the Volume Delta (or a wick-based average) and calculates a standard deviation.
• The upper and lower bands highlight when activity deviates from typical volatility.
3. Configurable Wick Inclusion
• Decide whether to use only the “close” (lastVolume) of the Volume Delta bar or the average of its wicks ((maxVolume + minVolume) / 2) for Bollinger calculations.
4. Dynamic Bar Colors
• Positive Volume Delta bars turn dark green if they exceed the upper Bollinger band, otherwise lighter green.
• Negative Volume Delta bars turn dark red if they fall below the lower Bollinger band, otherwise lighter red.

How To Use
1. Add the Indicator to Your Chart
• Apply it to any symbol and timeframe in TradingView.
• Configure the lower timeframe for Volume Delta if desired.
2. Adjust Bollinger Settings
• Bollinger Length defines the EMA and standard deviation period.
• Bollinger Multiplier sets how far the bands lie from the EMA.
3. Choose Whether To Use Wicks
• Toggle to use the average of high/low for a potentially more volatile reading.
• Turn it off to rely solely on the Volume Delta “close.”
4. Interpret the Signals
• Dark Green Above the Upper Band: Suggests strong buying pressure above normal.
• Lighter Green: Positive but within typical volatility bounds.
• Dark Red Below the Lower Band: Suggests strong selling pressure below normal.
• Lighter Red: Negative but within typical volatility.

Important Caveats
• TradingView Volume Data: Tick-based and aggregated data may not reflect actual order-flow precisely.
• Context Matters: Combine Volume Delta with other forms of analysis (price action, support/resistance, etc.) to form a more comprehensive strategy.