structure-aware-volume-profiling-per-swing.pine

// This work is licensed under Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International  
// https://creativecommons.org/licenses/by-nc-sa/4.0/
// © BigBeluga

//@version=6
indicator("Swing Profile [BigBeluga]", overlay = true, max_labels_count = 500, max_boxes_count = 500, calc_bars_count = 2000, max_bars_back = 5000)


// INPUTS ---------------------------------------------------------------------

swingLen = input.int(50, "Swing Length", minval = 10)

swingColorUp = input.color(color.lime, "▲", inline = "colors")
swingColorDown = input.color(color.orange, "▼", inline = "colors")

showProfile = input.bool(true, "Profile", group = "Swing Volume Profile")
showHeatMap = input.bool(false, "HeatMap", group = "Swing Volume Profile")

showZigZag = input.bool(true, "ZigZag", inline = "Zz")
zigZagStyleInput = input.string("Dotted", "", ["Dotted", "Dashed", "Solid"], inline = "Zz")

showPOC = input.bool(true, "PoC", "", inline = "Poc", group = "Point of Control")
pocWidthInput = input.int(2, "", inline = "Poc", group = "Point of Control")
pocColor = input.color(color.red, "", inline = "Poc", group = "Point of Control")

transparentNA = color.new(color.black, 100)

string dataSizeInput = input.string("Small", title = "Data Size", options = ["Tiny", "Small", "Normal", "Large", "Huge"])

// Size switcher for labels
getLabelSize() =>
    switch dataSizeInput
        "Small"  => size.small
        "Normal" => size.normal
        "Large"  => size.large
        "Huge"   => size.huge
        => size.tiny

getZigZagLineStyle() =>
    switch zigZagStyleInput
        "Dotted" => line.style_dotted
        "Dashed" => line.style_dashed
        "Solid"  => line.style_solid


// Persistent storage containers
var polyline profilePoly = na
var dataLabel = label(na)
var pocLineHandle = line(na)
var profileBoxes = array.new<box>()

// Structs for swing points
type SwingData
    float price
    int index

var highSwing = SwingData.new(na, na)
var lowSwing  = SwingData.new(na, na)

// Direction flag: true = down move, false = up move
var isDownMove = false

// CALCULATIONS ---------------------------------------------------------------

// Detect swing highs and lows
highestSwingHigh = ta.highest(swingLen)
lowestSwingLow   = ta.lowest(swingLen)

if high == highestSwingHigh
    isDownMove := true
if low == lowestSwingLow
    isDownMove := false

// Store completed swing high
if high[1] == highestSwingHigh[1] and high < highestSwingHigh
    highSwing.index := bar_index[1]
    highSwing.price := high[1]

// Store completed swing low
if low[1] == lowestSwingLow[1] and low > lowestSwingLow
    lowSwing.index := bar_index[1]
    lowSwing.price := low[1]

// Default bin size based on ATR
priceBinSize = ta.atr(200) * 0.5

// HISTORICAL SWING LEG -------------------------------------------------------

// When direction flips we finalize previous swing leg and build full profile
if isDownMove != isDownMove[1]

    // Clear previous drawings
    profilePoly.delete()
    dataLabel.delete()
    for b in profileBoxes
        b.delete()
    profileBoxes.clear()

    swingMainColor = isDownMove ? swingColorDown : swingColorUp

    // Draw zigzag connector
    if showZigZag
        line.new(highSwing.index, highSwing.price, lowSwing.index, lowSwing.price, color = swingMainColor, style = getZigZagLineStyle())

    // Determine swing boundaries
    swingBottom = math.min(highSwing.price, lowSwing.price)
    swingTop    = math.max(highSwing.price, lowSwing.price)

    // Number of volume bins
    binCount = int(math.abs(highSwing.price - lowSwing.price) / priceBinSize)
    binStep  = math.abs(highSwing.price - lowSwing.price) / binCount

    lastSwingIndex = math.max(highSwing.index, lowSwing.index)
    prevSwingIndex = math.min(highSwing.index, lowSwing.index)

    // Arrays for volume accumulation
    volumeBins = array.new<float>(binCount, 0.)
    profilePoints = array.new<chart.point>()
    buyVolumeBins = array.new<float>(binCount, 0.)
    sellVolumeBins = array.new<float>(binCount, 0.)

    barOffset = bar_index - lastSwingIndex

    // Accumulate volume per price bin
    for i = barOffset to (lastSwingIndex - prevSwingIndex) + barOffset

        candleClose = close[i]
        candleOpen  = open[i]
        candleVol   = volume[i]

        for k = 0 to binCount - 1
            binMidPrice = swingBottom + (k * binStep) + (binStep / 2)

            if math.abs(binMidPrice - candleClose) < binStep

                volumeBins.set(k, volumeBins.get(k) + candleVol)

                if candleClose > candleOpen
                    buyVolumeBins.set(k, buyVolumeBins.get(k) + candleVol)
                else
                    sellVolumeBins.set(k, sellVolumeBins.get(k) + candleVol)

    // Draw boxes and build profile outline
    for k = 0 to binCount - 1

        binLow  = swingBottom + (k * binStep)
        binHigh = binLow + binStep

        volumeRatio = volumeBins.get(k) / volumeBins.max()
        profileWidth = int(volumeRatio * ((lastSwingIndex - prevSwingIndex) / 2))

        // Draw POC line
        if volumeRatio == 1 and showPOC
            line.new(showProfile ? prevSwingIndex + profileWidth : prevSwingIndex, math.avg(binLow, binHigh), lastSwingIndex, math.avg(binLow, binHigh), color = pocColor, width = pocWidthInput)

        // Create volume box
        box.new(
            showProfile ? prevSwingIndex + profileWidth : prevSwingIndex,
            binHigh,
            showHeatMap ? lastSwingIndex : prevSwingIndex,
            binLow,
            transparentNA,
            0,
            bgcolor = showProfile or showHeatMap ? color.from_gradient(volumeRatio, 0, 1, color.new(swingMainColor, 90), color.new(volumeRatio == 1 and showPOC ? pocColor : swingMainColor, 50)) : transparentNA,
            text = showHeatMap ? "" : volumeRatio == 1 ? str.tostring(volumeBins.max(), format.volume) : ""
        )

        // Build polygon outline
        if k == 0
            profilePoints.push(chart.point.from_index(prevSwingIndex, binLow))
        profilePoints.push(chart.point.from_index(prevSwingIndex + profileWidth, binLow))
        profilePoints.push(chart.point.from_index(prevSwingIndex + profileWidth, binHigh))
        if k == binCount - 1
            profilePoints.push(chart.point.from_index(prevSwingIndex, binHigh))

    // Draw outer polyline
    if showProfile
        polyline.new(profilePoints, false, true, line_color = showHeatMap ? color.new(swingMainColor, 50) : swingMainColor)

    // Summary label for historical swing
    swingArrowText = isDownMove ? "▼" : "▲"

    swingTooltip =
          "Total Volume: " + str.tostring(volumeBins.sum(), format.volume)
         + "\nBuy Volume: " + str.tostring(buyVolumeBins.sum(), format.volume)
         + "\nSell Volume: " + str.tostring(sellVolumeBins.sum(), format.volume)
         + "\nDelta Volume: " + str.tostring((buyVolumeBins.sum() - sellVolumeBins.sum()) / volumeBins.sum() * 100, format.percent)

    label.new(prevSwingIndex, isDownMove ? swingTop : swingBottom, swingArrowText,
         style = isDownMove ? label.style_label_down : label.style_label_up,
         color = transparentNA,
         textcolor = swingMainColor,
         size = getLabelSize(),
         tooltip = swingTooltip)


// REAL-TIME SWING LEG --------------------------------------------------------

// Real-time profile rebuilding while swing is still forming
if not isDownMove

    // Clear boxes on every update
    for b in profileBoxes
        b.delete()
    profileBoxes.clear()

    if barstate.islast

        swingMainColor = chart.fg_color

        // Remove previous zigzag preview line
        line.delete(line.new(highSwing.index, highSwing.price, lowSwing.index, lowSwing.price, color = swingMainColor, style = line.style_dashed)[1])

        swingBottom = math.min(highSwing.price, lowSwing.price)
        swingTop    = math.max(highSwing.price, lowSwing.price)

        binCount = int(math.abs(highSwing.price - lowSwing.price) / priceBinSize)
        binStep  = math.abs(highSwing.price - lowSwing.price) / binCount

        lastSwingIndex = math.max(highSwing.index, lowSwing.index)
        prevSwingIndex = math.min(highSwing.index, lowSwing.index)

        volumeBins = array.new<float>(binCount, 0.)
        profilePoints = array.new<chart.point>()
        buyVolumeBins = array.new<float>(binCount, 0.)
        sellVolumeBins = array.new<float>(binCount, 0.)

        barOffset = bar_index - lastSwingIndex

        // Accumulate volume in real time
        for i = barOffset to (lastSwingIndex - prevSwingIndex) + barOffset

            candleClose = close[i]
            candleOpen  = open[i]
            candleVol   = volume[i]

            for k = 0 to binCount - 1
                binMidPrice = swingBottom + (k * binStep) + (binStep / 2)

                if math.abs(binMidPrice - candleClose) < binStep

                    volumeBins.set(k, volumeBins.get(k) + candleVol)
                    if candleClose > candleOpen
                        buyVolumeBins.set(k, buyVolumeBins.get(k) + candleVol)
                    else
                        sellVolumeBins.set(k, sellVolumeBins.get(k) + candleVol)

        // Draw real-time boxes
        for k = 0 to binCount - 1

            binLow  = swingBottom + (k * binStep)
            binHigh = binLow + binStep

            volumeRatio = volumeBins.get(k) / volumeBins.max()
            profileWidth = int(volumeRatio * ((lastSwingIndex - prevSwingIndex) / 2))

            if volumeRatio == 1 and showPOC
                pocLineHandle := line.new(showProfile ? prevSwingIndex + profileWidth : prevSwingIndex, math.avg(binLow, binHigh), lastSwingIndex, math.avg(binLow, binHigh), color = pocColor, width = pocWidthInput)
                line.delete(pocLineHandle[1])

            profileBoxes.push(box.new(
                 showProfile ? prevSwingIndex + profileWidth : prevSwingIndex,
                 binHigh,
                 showHeatMap ? lastSwingIndex : prevSwingIndex,
                 binLow,
                 transparentNA,
                 0,
                 bgcolor = showProfile or showHeatMap ? color.from_gradient(volumeRatio, 0, 1, color.new(swingMainColor, 90), color.new(volumeRatio == 1 and showPOC ? pocColor : swingMainColor, 50)) : transparentNA,
                 text = showHeatMap ? "" : volumeRatio == 1 ? str.tostring(volumeBins.max(), format.volume) : ""
            ))

            if k == 0
                profilePoints.push(chart.point.from_index(prevSwingIndex, binLow))
            profilePoints.push(chart.point.from_index(prevSwingIndex + profileWidth, binLow))
            profilePoints.push(chart.point.from_index(prevSwingIndex + profileWidth, binHigh))
            if k == binCount - 1
                profilePoints.push(chart.point.from_index(prevSwingIndex, binHigh))

        // Update polyline in real time
        if showProfile
            polyline.delete(profilePoly[1])
            profilePoly := polyline.new(profilePoints, false, true, line_color = showHeatMap ? color.new(swingMainColor, 50) : swingMainColor)

        // Label with summary data
        swingTooltip = "T - Total Volume\nB - Buy Volume\nS - Sell Volume\nD - Delta Volume"

        swingDataText =
              "T: " + str.tostring(volumeBins.sum(), format.volume)
             + "\nB: " + str.tostring(buyVolumeBins.sum(), format.volume)
             + "\nS: " + str.tostring(sellVolumeBins.sum(), format.volume)
             + "\nD: " + str.tostring((buyVolumeBins.sum() - sellVolumeBins.sum()) / volumeBins.sum() * 100, format.percent)

        dataLabel := label.new(prevSwingIndex, not isDownMove ? swingTop : swingBottom, swingDataText,
             style = not isDownMove ? label.style_label_down : label.style_label_up,
             color = transparentNA,
             textcolor = swingMainColor,
             size = getLabelSize(),
             tooltip = swingTooltip,
             textalign = text.align_left)

        label.delete(dataLabel[1])


// MIRROR OF ABOVE FOR isDownMove == true ------------------------------------------

// Mirror logic for bullish direction
else

    for b in profileBoxes
        b.delete()
    profileBoxes.clear()

    if barstate.islast

        swingMainColor = chart.fg_color

        line.delete(line.new(highSwing.index, highSwing.price, lowSwing.index, lowSwing.price, color = swingMainColor, style = line.style_dashed)[1])

        swingBottom = math.min(highSwing.price, lowSwing.price)
        swingTop    = math.max(highSwing.price, lowSwing.price)

        binCount = int(math.abs(highSwing.price - lowSwing.price) / priceBinSize)
        binStep  = math.abs(highSwing.price - lowSwing.price) / binCount

        lastSwingIndex = math.max(highSwing.index, lowSwing.index)
        prevSwingIndex = math.min(highSwing.index, lowSwing.index)

        volumeBins = array.new<float>(binCount, 0.)
        profilePoints = array.new<chart.point>()
        buyVolumeBins = array.new<float>(binCount, 0.)
        sellVolumeBins = array.new<float>(binCount, 0.)

        barOffset = bar_index - lastSwingIndex

        for i = barOffset to (lastSwingIndex - prevSwingIndex) + barOffset

            candleClose = close[i]
            candleOpen  = open[i]
            candleVol   = volume[i]

            for k = 0 to binCount - 1

                binMidPrice = swingBottom + (k * binStep) + (binStep / 2)

                if math.abs(binMidPrice - candleClose) < binStep

                    volumeBins.set(k, volumeBins.get(k) + candleVol)
                    if candleClose > candleOpen
                        buyVolumeBins.set(k, buyVolumeBins.get(k) + candleVol)
                    else
                        sellVolumeBins.set(k, sellVolumeBins.get(k) + candleVol)

        for k = 0 to binCount - 1

            binLow  = swingBottom + (k * binStep)
            binHigh = binLow + binStep

            volumeRatio = volumeBins.get(k) / volumeBins.max()
            profileWidth = int(volumeRatio * ((lastSwingIndex - prevSwingIndex) / 2))

            if volumeRatio == 1 and showPOC
                pocLineHandle := line.new(showProfile ? prevSwingIndex + profileWidth : prevSwingIndex, math.avg(binLow, binHigh), lastSwingIndex, math.avg(binLow, binHigh), color = pocColor, width = pocWidthInput)
                line.delete(pocLineHandle[1])

            profileBoxes.push(box.new(
                 showProfile ? prevSwingIndex + profileWidth : prevSwingIndex,
                 binHigh,
                 showHeatMap ? lastSwingIndex : prevSwingIndex,
                 binLow,
                 transparentNA,
                 0,
                 bgcolor = showProfile or showHeatMap ? color.from_gradient(volumeRatio, 0, 1, color.new(swingMainColor, 90), color.new(volumeRatio == 1 and showPOC ? pocColor : swingMainColor, 50)) : transparentNA,
                 text = showHeatMap ? "" : volumeRatio == 1 ? str.tostring(volumeBins.max(), format.volume) : ""
             ))

            if k == 0
                profilePoints.push(chart.point.from_index(prevSwingIndex, binLow))
            profilePoints.push(chart.point.from_index(prevSwingIndex + profileWidth, binLow))
            profilePoints.push(chart.point.from_index(prevSwingIndex + profileWidth, binHigh))
            if k == binCount - 1
                profilePoints.push(chart.point.from_index(prevSwingIndex, binHigh))

        if showProfile
            polyline.delete(profilePoly[1])
            profilePoly := polyline.new(profilePoints, false, true, line_color = showHeatMap ? color.new(swingMainColor, 50) : swingMainColor)

        swingTooltip = "T - Total Volume\nB - Buy Volume\nS - Sell Volume\nD - Delta Volume"

        swingDataText =
              "T: " + str.tostring(volumeBins.sum(), format.volume)
             + "\nB: " + str.tostring(buyVolumeBins.sum(), format.volume)
             + "\nS: " + str.tostring(sellVolumeBins.sum(), format.volume)
             + "\nD: " + str.tostring((buyVolumeBins.sum() - sellVolumeBins.sum()) / volumeBins.sum() * 100, format.percent)

        dataLabel := label.new(prevSwingIndex, not isDownMove ? swingTop : swingBottom, swingDataText,
             style = not isDownMove ? label.style_label_down : label.style_label_up,
             color = transparentNA,
             textcolor = swingMainColor,
             size = getLabelSize(),
             tooltip = swingTooltip,
             textalign = text.align_left)

        label.delete(dataLabel[1])




// Smoothing MA inputs
GRP = "Moving Average"
maTypeInput = input.string("None", "Type", options = ["None", "SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group = GRP, display = display.none)
maLengthInput = input.int(25, "Length", group = GRP, display = display.none, active = maTypeInput != "None")
src = input(close, title="Source", group = GRP, active = maTypeInput != "None")


// Smoothing MA Calculation
ma(source, length, MAtype) =>
    switch MAtype
        "SMA"                   => ta.sma(source, length)
        "EMA"                   => ta.ema(source, length)
        "SMMA (RMA)"            => ta.rma(source, length)
        "WMA"                   => ta.wma(source, length)
        "VWMA"                  => ta.vwma(source, length)

plot(ma(src, maLengthInput, maTypeInput), color=color.yellow, title="MA")