Volume vs Price Move (with Buy/Sell %)

📊 Volume vs Price Move (with Buy/Sell %) — Pine Script Indicator

🧠 Overview

This TradingView indicator provides a clean, structured analysis of how price movement correlates with directional volume within each bar. By decomposing buy-side and sell-side effort relative to the price range moved, the script gives traders powerful insight into efficiency, aggression, and imbalance between market participants.

Unlike time-based volume analysis, this tool focuses on price efficiency — how much volume it takes to move price in a particular direction — helping you interpret strength or exhaustion at a glance.

⚙️ How It Works
Each bar is analyzed as follows:

1. Price Range Breakdown
Up Move = high - open (i.e., how far price moved up from the open)

Down Move = open - low (i.e., how far price dropped from the open)

2. Volume Allocation
Total bar volume is split proportionally based on the up and down range length.

If the bar has a bigger up wick than down, more volume is assigned to the buy side.

This approach mimics volume-weighted movement effort, assuming a rough correlation between range and directional participation.

3. Volume per Point (VPP)
Buy VPP = Buy Volume ÷ Up Move

Sell VPP = Sell Volume ÷ Down Move

High VPP suggests more effort (volume) was required to move price; low VPP indicates efficient movement.

4. Volume % Contribution
Buy % and Sell % are calculated as the share of total directional volume.

5. Averages
A rolling average (avgLen) is applied to Buy VPP and Sell VPP for trend smoothing.

📋 Table Output
Column Description
Type “Buy Move” or “Sell Move” row label
Points Distance price moved up or down in the bar
Volume Volume allocated to that direction
Vol/Point Volume used to move 1 point in that direction
Avg VPP Rolling average of Vol/Point over avgLen bars
Vol % Share of total directional volume for the side

📌 Inputs
intrabarTF: Not used in logic directly, but available for future extensions

avgLen: Number of bars used to smooth VPP average

mult: Multiplier to adjust volume scale (useful for normalizing across instruments)

🧪 Use Cases
Confirm strength: High up-move with low Buy VPP confirms strong buyers.

Spot inefficiency: Rising Sell VPP with small price movement = seller exhaustion.

Identify imbalance: Large Buy % with low price move could suggest trapped buyers.

Compare trends: Use VPP and % dominance to assess trend health bar-by-bar.

⚠️ Limitations
Volume assignment is proportional, not based on actual bid/ask trade direction.

It assumes price wicks are meaningful proxies for directional flow.

For true buy/sell volume, traders should use footprint or delta charts (e.g. NinjaTrader, Sierra Chart).

✅ Ideal For
Trend traders wanting to see the effort vs result of buyers/sellers

Scalpers confirming breakout or reversal conviction

Volume profile or order flow enthusiasts wanting a lightweight alternative on TradingView