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// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © TradingView
//@version=5
indicator("CVD - Cumulative Volume Delta (Chart)", "CVD Chart", true, format = format.volume, max_lines_count = 500, max_labels_count = 500, max_boxes_count = 500)
// CVD - Cumulative Volume Delta (Chart)
// v1, 2022.12.31
// This code was written using the recommendations from the Pine Script™ User Manual's Style Guide:
// https://www.tradingview.com/pine-script-docs/en/v5/writing/Style_guide.html
import PineCoders/Time/2 as PCtime
import PineCoders/lower_tf/3 as PCltf
import TradingView/ta/4 as TVta
import PineCoders/VisibleChart/4 as chart
//#region ———————————————————— Constants and Inputs
// ————— Constants
int MS_IN_MIN = 60 * 1000
int MS_IN_HOUR = MS_IN_MIN * 60
int MS_IN_DAY = MS_IN_HOUR * 24
string LBL_TXT = " \n \n \n \n \n \n \n \n \n "
// Default colors
color LIME = color.lime
color PINK = color.fuchsia
color WHITE = color.white
color ORANGE = color.orange
color GRAY = #808080ff
color LIME_LINE = color.new(LIME, 30)
color LIME_BG = color.new(LIME, 95)
color LIME_HI = color.new(LIME, 80)
color PINK_LINE = color.new(PINK, 30)
color PINK_BG = color.new(PINK, 95)
color PINK_LO = color.new(PINK, 80)
color BG_DIV = color.new(ORANGE, 90)
color BG_RESETS = color.new(GRAY, 90)
// Reset conditions
string RST1 = "None"
string RST2 = "On a stepped higher timeframe"
string RST3 = "On a fixed higher timeframe..."
string RST4 = "At a fixed time..."
string RST5 = "At the beginning of the regular session"
string RST6 = "At the first visible chart bar"
string RST7 = "On trend changes..."
// Trends
string TR01 = "Supertrend"
string TR02 = "Aroon"
string TR03 = "Parabolic SAR"
// Volume Delta Calculation Mode
string VD01 = "Volume Delta"
string VD02 = "Volume Delta Percent"
// CVD Line Type
string LN01 = "Line"
string LN02 = "Histogram"
// Label Size
string LS01 = "tiny"
string LS02 = "small"
string LS03 = "normal"
string LS04 = "large"
string LS05 = "huge"
// LTF distinction
string LTF1 = "Least Precise (Most chart bars)"
string LTF2 = "Less Precise (Some chart bars)"
string LTF3 = "More Precise (Less chart bars)"
string LTF4 = "Very precise (2min intrabars)"
string LTF5 = "Most precise (1min intrabars)"
string LTF6 = "~12 intrabars per chart bar"
string LTF7 = "~24 intrabars per chart bar"
string LTF8 = "~50 intrabars per chart bar"
string LTF9 = "~100 intrabars per chart bar"
string LTF10 = "~250 intrabars per chart bar"
// Tooltips
string TT_RST = "This is where you specify how you want the cumulative volume delta to reset.
If you select one of the last three choices, you must also specify the relevant additional information below."
string TT_RST_HTF = "This value only matters when '" + RST3 +"' is selected."
string TT_RST_TIME = "Hour: 0-23\nMinute: 0-59\nThese values only matter when '" + RST4 +"' is selected.
A reset will occur when the time is greater or equal to the bar's open time, and less than its close time."
string TT_RST_TREND = "These values only matter when '" + RST7 +"' is selected.\n
For Supertrend, the first value is the length of ATR, the second is the multiplier. For Aroon, the first value is the lookback length."
string TT_LINE = "Select the style and color of CVD lines to display."
string TT_LTF = "Your selection here controls how many intrabars will be analyzed for each chart bar.
The more intrabars you analyze, the less chart bars will be covered by the indicator's calculations
because a maximum of 100K intrabars can be analyzed.\n\n
With the first five choices, the quantity of intrabars is determined from the type of chart bar coverage you want.
The last five choices allow you to select approximately how many intrabars you want analyzed per chart bar."
string TT_CVD = "Shows a cumulative volume delta value summed from the reset point. Disabling this will show the raw volume delta for each bar."
string TT_YSPCE = "Scales the height of all oscillator zones using a percentage of the largest zone's y-range."
// ————— Inputs
string resetInput = input.string(RST2, "CVD Resets", inline = "00", options = [RST1, RST2, RST5, RST6, RST3, RST4, RST7], tooltip = TT_RST)
string fixedTfInput = input.timeframe("D", " Fixed Higher Timeframe:", inline = "01", tooltip = TT_RST_HTF)
int hourInput = input.int(9, " Fixed Time: Hour", inline = "02", minval = 0, maxval = 23)
int minuteInput = input.int(30, "Minute", inline = "02", minval = 0, maxval = 59, tooltip = TT_RST_TIME)
string trendInput = input.string(TR01, " Trend: ", inline = "03", options = [TR02, TR03, TR01])
int trendPeriodInput = input.int(14, " Length", inline = "03", minval = 2)
float trendValue2Input = input.float(3.0, "", inline = "03", minval = 0.25, step = 0.25, tooltip = TT_RST_TREND)
string ltfModeInput = input.string(LTF3, "Intrabar Precision", inline = "04", options = [LTF1, LTF2, LTF3, LTF4, LTF5, LTF6, LTF7, LTF8, LTF9, LTF10], tooltip = TT_LTF)
string vdCalcModeInput = input.string(VD01, "Volume Delta Calculation", inline = "05", options = [VD01, VD02])
bool cumulativeInput = input.bool(true, "Cumulative Values", inline = "06", tooltip = TT_CVD)
string GRP1 = "Visuals"
string lineTypeInput = input.string(LN01, "CVD", inline = "00", group = GRP1, options = [LN01, LN02])
color upColorInput = input.color(LIME_LINE, "🡓", inline = "01", group = GRP1)
color dnColorInput = input.color(PINK_LINE, "🡓", inline = "01", group = GRP1, tooltip = TT_LINE)
float percentYRangeInput = input.float(100, "Zone Height (%)", inline = "02", group = GRP1, tooltip = TT_YSPCE) / 100.0
bool showBgAreaInput = input.bool(true, " Color background area ", inline = "05", group = GRP1)
color upBgColorInput = input.color(LIME_BG, "🡑", inline = "05", group = GRP1)
color dnBgColorInput = input.color(PINK_BG, "🡓", inline = "05", group = GRP1)
bool showHiLoInput = input.bool(true, " Hi/Lo Lines ", inline = "06", group = GRP1)
color hiColorInput = input.color(LIME_HI, "🡑", inline = "06", group = GRP1)
color loColorInput = input.color(PINK_LO, "🡓", inline = "06", group = GRP1)
bool showZeroLineInput = input.bool(true, " Zero Line", inline = "07", group = GRP1)
color zeroLineColorInput = input.color(GRAY, "🡓", inline = "07", group = GRP1)
bool labelInput = input.bool(true, "Hi/Lo Labels", inline = "03", group = GRP1)
string labelSizeInput = input.string(LS03, "", inline = "03", group = GRP1, options = [LS01, LS02, LS03, LS04, LS05])
bool tooltipInput = input.bool(true, "Value Tooltips", inline = "04", group = GRP1)
bool colorDivBodiesInput = input.bool(true, "Color bars on divergences ", inline = "08", group = GRP1)
color upDivColorInput = input.color(LIME, "🡑", inline = "08", group = GRP1)
color dnDivColorInput = input.color(PINK, "🡓", inline = "08", group = GRP1)
bool bgDivInput = input.bool(false, "Color background on divergences ", inline = "09", group = GRP1)
color bgDivColorInput = input.color(BG_DIV, "", inline = "09", group = GRP1)
bool bgResetInput = input.bool(true, "Color background on resets ", inline = "10", group = GRP1)
color bgResetColorInput = input.color(BG_RESETS, "", inline = "10", group = GRP1)
bool showInfoBoxInput = input.bool(true, "Show information box ", inline = "11", group = GRP1)
string infoBoxSizeInput = input.string("small", "Size ", inline = "12", group = GRP1, options = ["tiny", "small", "normal", "large", "huge", "auto"])
string infoBoxYPosInput = input.string("bottom", "↕", inline = "12", group = GRP1, options = ["top", "middle", "bottom"])
string infoBoxXPosInput = input.string("left", "↔", inline = "12", group = GRP1, options = ["left", "center", "right"])
color infoBoxColorInput = input.color(GRAY, "", inline = "12", group = GRP1)
color infoBoxTxtColorInput = input.color(WHITE, "T", inline = "12", group = GRP1)
//#endregion
//#region ———————————————————— Functions
// @function Determines if the volume for an intrabar is upward or downward.
// @returns ([float, float]) A tuple of two values, one of which contains the bar's volume. `upVol` is the volume of up bars. `dnVol` is the volume of down bars.
// Note that when this function is called with `request.security_lower_tf()` a tuple of float[] arrays will be returned by `request.security_lower_tf()`.
upDnIntrabarVolumes() =>
float upVol = 0.0
float dnVol = 0.0
switch
// Bar polarity can be determined.
close > open => upVol += volume
close < open => dnVol -= volume
// If not, use price movement since last bar.
close > nz(close[1]) => upVol += volume
close < nz(close[1]) => dnVol -= volume
// If not, use previously known polarity.
nz(upVol[1]) > 0 => upVol += volume
nz(dnVol[1]) < 0 => dnVol -= volume
[upVol, dnVol]
// @function Selects a HTF from the chart's TF.
// @returns (simple string) A timeframe string.
htfStep() =>
int tfInMs = timeframe.in_seconds() * 1000
string result =
switch
tfInMs < MS_IN_MIN => "60"
tfInMs < MS_IN_HOUR * 3 => "D"
tfInMs <= MS_IN_HOUR * 12 => "W"
tfInMs < MS_IN_DAY * 7 => "M"
=> "12M"
// @function Detects when a bar opens at a given time.
// @param hours (series int) "Hour" part of the time we are looking for.
// @param minutes (series int) "Minute" part of the time we are looking for.
// @returns (series bool) `true` when the bar opens at `hours`:`minutes`, false otherwise.
timeReset(int hours, int minutes) =>
int openTime = timestamp(year, month, dayofmonth, hours, minutes, 0)
bool timeInBar = time <= openTime and time_close > openTime
bool result = timeframe.isintraday and not timeInBar[1] and timeInBar
// @function Produces a value that is scaled to a new range relative to the `oldValue` within the original range.
// @param oldValue (series float) The value to scale.
// @param oldMin (series float) The low value of the original range.
// @param oldMax (series float) The high value of the original range.
// @param newMin (series float) The low value of the new range.
// @param newMax (series float) The high value of the new range.
// @returns (float) A value that is scaled between the `newMin` and `newMax` based on the scaling of the `oldValue` within the `oldMin` and `oldMax` range.
scale(series float oldValue, series float oldMin, series float oldMax, series float newMin, series float newMax) =>
float oldRange = oldMax - oldMin
float newRange = newMax - newMin
float newValue = (((oldValue - oldMin) * newRange) / oldRange) + newMin
// @function Produces a value for histogram line width using a stepped logistic curve based on visible bar count.
// @param bars (series int) Number of bars in the visible range.
// @param maxWidth (series int) Maximum line width.
// @param decayLength (series int) Distance from 0 required for the curve to decay to the minimum value.
// @param offset (series int) Offset of the curve along the x-axis.
// @returns (int) A line width value that is nonlinearly scaled according to the number of visible bars.
scaleHistoWidth(series int bars, simple int maxWidth, simple int decayLength, simple int offset) =>
int result = math.ceil(2 * maxWidth / (1 + math.exp(6 * (bars - offset) / decayLength)))
//#endregion
//#region ———————————————————— Calculations
// Lower timeframe (LTF) used to mine intrabars.
var string ltfString = PCltf.ltf(ltfModeInput, LTF1, LTF2, LTF3, LTF4, LTF5, LTF6, LTF7, LTF8, LTF9, LTF10)
// Get upward and downward volume arrays.
[upVolumes, dnVolumes] = request.security_lower_tf(syminfo.tickerid, ltfString, upDnIntrabarVolumes())
// Create conditions for lines and labels from user inputs.
bool useVdPct = vdCalcModeInput == VD02
bool useHisto = lineTypeInput == LN02
// Find visible chart attributes.
int leftBar = chart.leftBarIndex()
int rightBar = chart.rightBarIndex()
bool isVisible = chart.barIsVisible()
bool isLastBar = chart.isLastVisibleBar()
int totalBars = chart.bars()
// Calculate line width for histogram display.
int lineWidth = scaleHistoWidth(totalBars, 29, 391, -63)
// Calculate the maximum volumes, total volume, and volume delta, and assign the result to the `barDelta` variable.
float totalUpVolume = nz(array.sum(upVolumes))
float totalDnVolume = nz(array.sum(dnVolumes))
float maxUpVolume = nz(array.max(upVolumes))
float maxDnVolume = nz(array.min(dnVolumes))
float totalVolume = totalUpVolume - totalDnVolume
float delta = totalUpVolume + totalDnVolume
float deltaPct = delta / totalVolume
float barDelta = useVdPct ? deltaPct : delta
// Track cumulative volume.
[reset, trendIsUp, resetDescription] =
switch resetInput
RST1 => [false, na, "No resets"]
RST2 => [timeframe.change(htfStep()), na, "Resets every " + htfStep()]
RST3 => [timeframe.change(fixedTfInput), na, "Resets every " + fixedTfInput]
RST4 => [timeReset(hourInput, minuteInput), na, str.format("Resets at {0,number,00}:{1,number,00}", hourInput, minuteInput)]
RST5 => [session.isfirstbar_regular, na, "Resets at the beginning of the session"]
RST6 => [time == chart.left_visible_bar_time, na, "Resets at the beginning of visible bars"]
RST7 =>
switch trendInput
TR01 =>
[_, direction] = ta.supertrend(trendValue2Input, trendPeriodInput)
[ta.change(direction, 1) != 0, direction == -1, "Resets on Supertrend changes"]
TR02 =>
[up, dn] = TVta.aroon(trendPeriodInput)
[ta.cross(up, dn), ta.crossover(up, dn), "Resets on Aroon changes"]
TR03 =>
float psar = ta.sar(0.02, 0.02, 0.2)
[ta.cross(psar, close), ta.crossunder(psar, close), "Resets on PSAR changes"]
=> [na, na, na]
// Get the qty of intrabars per chart bar and the average.
int intrabars = array.size(upVolumes)
int chartBarsCovered = int(ta.cum(math.sign(intrabars)))
float avgIntrabars = ta.cum(intrabars) / chartBarsCovered
// Detect divergences between volume delta and the bar's polarity.
bool divergence = delta != 0 and math.sign(delta) != math.sign(close - open)
// Segment's values, price range and start management.
var array<float> segCvdValues = array.new<float>()
var array<float> rawCvdValues = array.new<float>()
var array<float> barCenters = array.new<float>()
var array<float> zeroLevels = array.new<float>()
var array<float> priceRanges = array.new<float>()
var array<float> highCvd = array.new<float>()
var array<float> lowCvd = array.new<float>()
var array<int> resetBars = array.new<int>()
var float priceHi = high
var float priceLo = low
var float cvd = 0.0
priceHi := isVisible ? math.max(priceHi, high) : high
priceLo := isVisible ? math.min(priceLo, low) : low
// Store values for the visible segment on the reset bar, or last bar.
if reset or isLastBar
if isVisible
array.push(segCvdValues, cumulativeInput ? cvd + barDelta : barDelta)
array.push(resetBars, bar_index)
array.push(zeroLevels, math.avg(priceHi, priceLo) - (priceHi - priceLo))
array.push(priceRanges, (priceHi - priceLo) / 2)
array.push(highCvd, array.max(segCvdValues))
array.push(lowCvd, array.min(segCvdValues))
array.push(barCenters, hl2)
array.concat(rawCvdValues, segCvdValues)
array.clear(segCvdValues)
priceHi := high
priceLo := low
cvd := reset ? 0 : cvd
// Cumulate CVD.
float cvdO = cvd
cvd += barDelta
// Draw CVD objects on the last visible bar.
if isLastBar
// Initialize `startBar` to the leftmost bar, find the highest Y value and greatest absolute CVD Value.
int startBar = leftBar
int step = 0
float yRangeMax = array.max(priceRanges) * percentYRangeInput
float highScale = useVdPct and not cumulativeInput ? 1 : array.max(array.abs(array.copy(rawCvdValues)))
for [i, resetBar] in resetBars
// For each reset bar, find the segment's zero level, Y range, high/low CVD, and scale the CVD values.
float zero = array.get(zeroLevels, i)
float yRange = array.get(priceRanges, i)
float highValue = array.get(highCvd, i)
float lowValue = array.get(lowCvd, i)
float highLevel = scale(highValue, 0, highScale, zero, zero + yRangeMax)
float offset = zero + yRange - (useHisto ? math.max(highLevel, zero) : highLevel)
float zeroLevel = zero + offset
float hiLevel = zeroLevel + yRangeMax
float loLevel = zeroLevel - yRangeMax
// If enabled, draw the zero level, high and low bounds, and fill range background.
if showZeroLineInput
line.new(startBar, zeroLevel, resetBar, zeroLevel, color = zeroLineColorInput, style = line.style_dashed)
if showHiLoInput
line.new(startBar, hiLevel, resetBar, hiLevel, color = hiColorInput)
line.new(startBar, loLevel, resetBar, loLevel, color = loColorInput)
if showBgAreaInput
box.new(startBar, hiLevel, resetBar, zeroLevel, border_color = color(na), bgcolor = upBgColorInput)
box.new(startBar, loLevel, resetBar, zeroLevel, border_color = color(na), bgcolor = dnBgColorInput)
// Initialize the `bar` variable and track the last price value and high and low label placements for the segment.
int bar = startBar
float lastPriceValue = na
bool placeHigh = true
bool placeLow = true
for x = step to resetBar - startBar + step
// For each CVD value in the segment, calculate and scale the price level. Determine line color and label text.
float eachCvd = array.get(rawCvdValues, x)
float priceLvl = scale(eachCvd, 0, highScale, zero, zero + yRangeMax) + offset
color lineColor = priceLvl > zeroLevel ? upColorInput : dnColorInput
string labelStr = labelInput ? useVdPct ? str.format("{0, number, percent}", eachCvd) : str.tostring(eachCvd, format.volume) : string(na)
bool isHiCvd = eachCvd == highValue
bool isLoCvd = eachCvd == lowValue
// Draw a label for the highest or lowest CVD in the segment if "Hi/Lo Labels" is enabled.
if labelInput and (isHiCvd or isLoCvd)
bool drawHiLbl = isHiCvd and placeHigh and bar != leftBar
bool drawLoLbl = isLoCvd and placeLow and bar != leftBar
string labelStyle = isHiCvd ? label.style_label_down : label.style_label_up
float labelPrice = useHisto ? highValue < 0 and isHiCvd or lowValue > 0 and isLoCvd ? zeroLevel : priceLvl : priceLvl
// Check that a high or low label has not already been drawn.
if drawHiLbl or drawLoLbl
label.new(bar, labelPrice, labelStr, color = color(na), style = labelStyle, textcolor = lineColor, size = labelSizeInput)
placeHigh := drawHiLbl ? false : placeHigh
placeLow := drawLoLbl ? false : placeLow
// Draw an invisible label with a CVD value tooltip over each chart bar if "Value Tooltips" is enabled.
if tooltipInput
label.new(bar, array.get(barCenters, x), LBL_TXT, color = color(na), size = size.tiny, style = label.style_label_center, tooltip = labelStr)
// Draw a line for the CVD value on each bar, using the current and previous bar values for line display, or the current bar and zero level for histogram display.
switch
useHisto => line.new(bar, zeroLevel, bar, priceLvl, color = lineColor, width = lineWidth)
bar > startBar => line.new(bar - 1, lastPriceValue, bar, priceLvl, color = lineColor, width = 2)
// Increment `bar` by one, set last price level to the price on this iteration.
bar += 1
lastPriceValue := priceLvl
// Increment the step counter by the number of bars in the current segment, set the start bar to the reset bar for the next iteration.
step += resetBar - startBar + 1
startBar := resetBar
// Store values for visible bars.
if isVisible
array.push(segCvdValues, cumulativeInput ? cvd : barDelta)
array.push(barCenters, hl2)
//#endregion
//#region ———————————————————— Visuals
color candleColor = colorDivBodiesInput and divergence ? delta > 0 ? upDivColorInput : dnDivColorInput : na
// Display key values in indicator values and Data Window.
displayDataWindow = display.data_window
plot(delta, "Volume delta for the bar", candleColor, display = displayDataWindow)
plot(totalUpVolume, "Up volume for the bar", upColorInput, display = displayDataWindow)
plot(totalDnVolume, "Dn volume for the bar", dnColorInput, display = displayDataWindow)
plot(totalVolume, "Total volume", display = displayDataWindow)
plot(na, "═════════════════", display = displayDataWindow)
plot(cvdO, "CVD before this bar", display = displayDataWindow)
plot(cvd, "CVD after this bar", display = displayDataWindow)
plot(maxUpVolume, "Max intrabar up volume", upColorInput, display = displayDataWindow)
plot(maxDnVolume, "Max intrabar dn volume", dnColorInput, display = displayDataWindow)
plot(intrabars, "Intrabars in this bar", display = displayDataWindow)
plot(avgIntrabars, "Average intrabars", display = displayDataWindow)
plot(chartBarsCovered, "Chart bars covered", display = displayDataWindow)
plot(bar_index + 1, "Chart bars", display = displayDataWindow)
plot(na, "═════════════════", display = displayDataWindow)
plot(totalBars, "Total visible bars", display = displayDataWindow)
plot(leftBar, "First visible bar index", display = displayDataWindow)
plot(rightBar, "Last visible bar index", display = displayDataWindow)
plot(na, "═════════════════", display = displayDataWindow)
// Up/Dn arrow used when resets occur on trend changes.
plotchar(reset and not na(trendIsUp) ? trendIsUp : na, "Up trend", "▲", location.top, upColorInput)
plotchar(reset and not na(trendIsUp) ? not trendIsUp : na, "Dn trend", "▼", location.top, dnColorInput)
// Background on resets and divergences.
bgcolor(bgResetInput and reset ? bgResetColorInput : bgDivInput and divergence ? bgDivColorInput : na)
barcolor(candleColor)
// Display information box only once on the last historical bar, instead of on all realtime updates, as when `barstate.islast` is used.
if showInfoBoxInput and barstate.islastconfirmedhistory
var table infoBox = table.new(infoBoxYPosInput + "_" + infoBoxXPosInput, 1, 1)
color infoBoxBgColor = infoBoxColorInput
string txt = str.format(
"{0}\nUses intrabars at {1}\nAvg intrabars per chart bar: {2,number,#.##}\nChart bars covered: {3} / {4} ({5,number,percent})",
resetDescription, PCtime.formattedNoOfPeriods(timeframe.in_seconds(ltfString) * 1000),
avgIntrabars, chartBarsCovered, bar_index + 1, chartBarsCovered / (bar_index + 1))
if avgIntrabars < 5
txt += "\nThis quantity of intrabars is dangerously small.\nResults will not be as reliable with so few."
infoBoxBgColor := color.red
table.cell(infoBox, 0, 0, txt, text_color = infoBoxTxtColorInput, text_size = infoBoxSizeInput, bgcolor = infoBoxBgColor)
//#endregion
//#region ———————————————————— Errors
if resetInput == RST3 and timeframe.in_seconds(fixedTfInput) <= timeframe.in_seconds()
runtime.error("The higher timeframe for resets must be greater than the chart's timeframe.")
else if resetInput == RST4 and not timeframe.isintraday
runtime.error("Resets at a fixed time work on intraday charts only.")
else if resetInput == RST5 and not timeframe.isintraday
runtime.error("Resets at the begining of session work on intraday charts only.")
else if ta.cum(totalVolume) == 0 and barstate.islast
runtime.error("No volume is provided by the data vendor.")
else if ta.cum(intrabars) == 0 and barstate.islast
runtime.error("No intrabar information exists at the '" + ltfString + "' timeframe.")
else if timeframe.in_seconds() < 60 * 2
runtime.error("The indicator cannot work on chart timeframes < 2min.")
//#endregion