Deep VWAP is an indicator designed to provide a volume-weighted anchor combined with real-time sentiment analysis. It does this by utilizing the standard VWAP formula—calculating the sum of price multiplied by volume, divided by the total volume—and wrapping it in a sentiment-aware volatility envelope. We have included a dynamic fill between the first set of standard deviation bands to visualize the polarity of the market. This works by utilizing Cumulative Volume Delta (CVD) to determine if the "Big Money" is currently aggressive. The result is a chart where the primary trading zone turns teal when buying pressure dominates and red when selling pressure takes over. This is convenient as it allows traders to see if price is staying above or below the average "fair value" while simultaneously knowing the current order flow bias. As a result, users can identify high-probability entries where the VWAP trend aligns with the deep market sentiment.
Deep Bollinger Bands is a volatility-focused tool designed to show you price extremes in the context of order flow. It does this by utilizing a 20-period simple moving average and standard deviation math to create upper and lower "tension" zones. We have modified the original structure by removing standard EMAs to focus purely on the interaction between volatility and the deep market bubbles. This works by plotting dashed envelopes that expand and contract based on market activity. The result is a clean visual representation of price "expensiveness" or "cheapness" that is color-coded by internal volume flow. Finally, we have included a specific crossover fill between the middle band and an internal 9-period average. This helps in estimating the immediate momentum relative to the volatility basis. Low-volatility periods are represented by narrow bands, while aggressive market entries are signaled when price tags a band accompanied by a large order flow bubble.
is a hybrid volatility and order-flow indicator that combines traditional Bollinger Bands (20-period SMA with standard deviation envelopes) with internal lower-timeframe volume scanning to reveal aggressive participation inside each candle. The area between the bands is dynamically filled based on a simplified Cumulative Volume Delta (CVD) calculation, shifting teal on bullish pressure and red on bearish pressure to reflect directional bias. Using request.security_lower_tf(), the script analyzes micro-bars within each candle and plots colored “bubbles” at price levels where volume significantly exceeds a calculated baseline, with bubble size scaling based on the intensity of the spike. Additionally, it flags full-bar volume anomalies (2× average volume) with directional triangles to highlight potential institutional activity. The result is a volatility framework that not only shows statistical price extremes but also visualizes where aggressive buying or selling occurred within the structure of each bar.
Deep Chart is a high-fidelity scanning engine designed to reveal what is happening inside a single price bar. It does this by utilizing Pine Script’s request.security_lower_tf function to "zoom in" and analyze micro-bars within the current candle. This works by scanning for volume spikes that exceed a specific sensitivity threshold—calculated as the current volume relative to the local average. The result is a series of "bubbles" or labels that appear at specific price levels where intense aggressive activity occurred.
The included logic metrics are as follows:
- Cumulative Delta: This tracks the net sum of buying vs. selling volume since the start of the session (e.g., 1D).
- Volume Sensitivity: This determines the threshold for a "Bubble." Only price levels with volume higher than the average are displayed.
- Bubble Size: This is a dynamic metric. Larger circles represent "spikes" where volume was 5x the average, while smaller circles represent normal aggressive activity.
- Absorption Logic: This identifies bars where volume is high but price fails to move further (e.g., matching Highs or Lows), signaling a potential reversal.
- Internal Timeframe: This displays the resolution of the scan. On a Daily chart, it utilizes 5-minute data; on Intraday charts, it utilizes 1-second or 1-minute data for maximum fidelity.