Volume Delta & Order Block Suite [QuantAlgo]

Upgrade your volume analysis and order flow trading with Volume Delta & Order Block Suite by QuantAlgo, a sophisticated technical indicator that leverages advanced volume delta calculations, along with dynamic order block detection to provide deep insights into market participant behavior. By calculating the distribution of volume between buyers and sellers and tracking pivotal volume zones, the indicator helps traders understand the underlying forces driving price movements. It is particularly valuable for those looking to identify high-probability trading opportunities based on volume imbalances and key price levels where significant activity has occurred.

🟢 Technical Foundation

The Volume Delta & Order Block Suite utilizes sophisticated volume analysis techniques to estimate buying and selling pressure within each price candle. The core volume delta calculation employs a formula that estimates buy volume as:

Volume × (Close - Low) ÷ (High - Low)

, with sell volume calculated as the remainder of total volume. This approach assumes that when price closes near the high of a candle, most volume represents buying pressure, and when price closes near the low, most volume represents selling pressure.

For order block detection, the indicator implements a multi-step process involving volume pivot identification and price state tracking. It first detects significant volume pivot points using the

ta.pivothigh

function with a user-defined pivot period. It then tracks the market's order state based on whether the high exceeds the highest high or the low falls below the lowest low. When a volume pivot occurs, the indicator creates order blocks based on price levels at that pivot point. These blocks are continuously monitored for invalidation based on subsequent price action.

🟢 Key Features & Signals

1. Volume Delta Representation on Candles

The Volume Delta visualization on candles shows the buy/sell distribution directly on price bars, creating an immediate visual representation of volume pressure.

When buyers are dominant, candles are colored with the bullish theme color (default: green/teal).

Similarly, when sellers are dominant, candles are colored with the bearish theme color (default: red).

This visualization provides immediate insights into underlying volume pressure without requiring separate indicators, helping traders quickly identify which side of the market is in control.

2. Buy/Sell Pressure Information Table

The Volume Analysis Table provides a comprehensive breakdown of volume metrics across multiple timeframes, helping traders identify shifts in market behavior.

The table is organized into four timeframe columns:

1. Current Volume
   
2. 1 Bar Before
   
3. 1 Day Before
   
4. 1 Week Before
   

For each timeframe, the table displays:

1. Buy volume: The estimated buying volume based on price action
   
2. Sell volume: The estimated selling volume based on price action
   
3. Total volume: The sum of buy and sell volume
   
4. Delta: The difference between buy and sell volume (positive when buyers are dominant, negative when sellers are dominant)
   

Additionally, the table shows both absolute values and percentage distributions, with trend indicators (Up, Down, or Neutral) at the bottom row of each timeframe column.

This multi-timeframe approach helps traders:

→ Identify volume imbalances between buyers and sellers
→ Track changes in volume delta across different periods
→ Compare current conditions with historical patterns
→ Detect potential reversals by watching for shifts in delta direction

The delta values are particularly useful as they provide a clear indication of market dominance – positive delta (Up) when buyers are dominant, and negative delta (Down) when sellers are dominant.

3. Order Blocks and Their Confluence

Order blocks represent significant price zones where volume pivots occur, potentially indicating areas of significant market participant activity.

The indicator identifies two types of order blocks:

1. Bullish Order Blocks (support): Highlighted with a green/teal color, these represent potential support areas where price might bounce when revisited
   
2. Bearish Order Blocks (resistance): Highlighted with a red color, these represent potential resistance areas where price might reverse when revisited
   

Each order block is visualized as a colored rectangle with a dashed line showing the average price within the block. The blocks are extended to the right until they are invalidated.

Order blocks can serve as key reference points for trading decisions, for example:

• Support/resistance identification
  
• Stop loss placement (beyond the opposite edge of the block)
  
• Potential reversal zones
  
• Target areas for profit-taking
  

When price approaches an order block, traders should look for confluence with the volume delta on candles and the information in the volume analysis table. Strong setups occur when all three components align – for example, when price approaches a bearish order block with increasing sell volume shown on the candles and in the volume table.

🟢 Practical Usage Tips

→ Volume Analysis and Interpretation: The indicator visualizes the buy/sell volume ratio directly on price candles using color intensity, allowing traders to immediately identify which side (buyers or sellers) is dominant. This information helps in assessing the strength behind price movements and potential continuation or reversal signals.

→ Order Block Trading Strategies: The indicator highlights significant price zones where volume pivots occur, marking these as potential support (bullish order blocks) or resistance (bearish order blocks). Traders can use these levels to identify potential reversal points, stop placement, and profit targets.

→ Multi-timeframe Volume Comparison: Through its comprehensive volume analysis table, the indicator enables traders to compare volume patterns across current, recent, daily, and weekly timeframes. This helps in identifying shifts in market behavior and confirming the strength of ongoing trends.

🟢 Pro Tips

• Adjust Pivot Period based on your timeframe:
  → Lower values (3-5) for more frequent order blocks
  → Higher values (7-10) for stronger, less frequent order blocks
  

• Fine-tune Mitigation Method based on your trading style:
  → "Wick" for more conservative invalidation
  → "Close" for more lenient order block survival
  

• Look for confluence between components:
  → Strong volume delta in the expected direction when price touches an order block
  → Corresponding patterns in the volume analysis table
  → Overall market context aligning with the expected direction
  

• Use for multiple trading approaches:
  → Support/resistance trading at order blocks
  → Trend confirmation with volume delta
  → Reversal detection when volume delta changes direction
  → Stop loss placement using order block boundaries
  

• Combine with:
  → Trend analysis using trend-following indicators for trade confirmation
  → Multiple timeframe analysis for strategic context