Kalman Absorption/Distribution Tracker (1 Second)

前天

The Microstructure Revolution: Kalman Filtering and the Physics of Order Flow

The evolution of technical analysis has historically been constrained by the limitations of available data and the processing power required to interpret it. For decades, retail traders have relied on indicators derived from Open, High, Low, and Close prices—metrics that are inherently reactive and fundamentally lagging. While these tools can effectively map the history of market movement, they often fail to capture the immediate, aggressive intent that dictates future price action. The financial markets are not merely a sequence of price prints; they are a continuous, high-velocity auction where liquidity is provided and consumed in milliseconds. To truly understand the mechanics of price delivery, one must look beyond the candlestick and into the microstructure of the order flow itself. The Kalman Absorption/Distribution Tracker, specifically designed to operate on 1-second intrabar intervals, represents a paradigm shift in this analytical approach. It abandons the simplistic smoothing of moving averages in favor of a state-space model that applies aerospace-grade signal processing to the chaotic environment of high-frequency market data.

At the core of this concept is the understanding that volume alone is insufficient; it is the relationship between aggressive volume and price displacement that reveals the hand of institutional participants. Traditional volume analysis is often binary, categorizing bars as simply "up" or "down," a method that obscures the nuances of the battle taking place within the timeframe. By drilling down to the 1-second level, this script effectively bypasses the limitations of time-based charting, treating the market stream almost as a tick chart. In this granular domain, the noise is immense. Algorithms, high-frequency trading bots, and market makers generate a blizzard of data that can easily deceive a standard cumulative volume delta (CVD) indicator. This is where the Kalman Filter becomes indispensable. Originally developed for trajectory estimation in navigation systems, the Kalman Filter excels at separating the "signal"—the true vector of buying or selling pressure—from the "noise" of random market chatter. By estimating the velocity and position of order flow in real-time, the tracker provides a smoothed yet highly responsive visualization of market intent, allowing traders to discern between genuine momentum and the deceptive phenomena of absorption and distribution.

The shift to 1-second intrabar resolution transforms the nature of the data being analyzed. In a standard 1-minute or 5-minute timeframe, the internal battle is aggregated into a single bar, hiding the specific sequence of events. A candle might close green, looking bullish, but the 1-second data might reveal that 90% of the buying occurred in the first ten seconds, followed by fifty seconds of passive selling that absorbed all further upside attempts. The 1-second processing logic implemented in this script utilizes a "Close-to-Close" methodology, which acts as a pseudo-tick reader. If the price of the current second is higher than the previous second, the volume is classified as aggressive buying; if lower, aggressive selling. This granularity offers a near-perfect correlation with true bid/ask data, providing the trader with an X-ray view of the auction. This level of detail is crucial because institutional accumulation and distribution rarely happen in obvious, large-block trades that spike volume histograms. Instead, they occur in a steady stream of smaller, algorithmic executions designed to mask intent. The 1-second granularity catches these footprints that larger timeframes simply average out.

A critical innovation within this framework is the handling of "flat ticks"—moments where volume executes but price remains unchanged. In the world of microstructure, these moments are often the most significant. When aggressive buying volume pours into the market but price refuses to tick higher, it signifies the presence of a "limit wall" or a passive seller absorbing the demand. Standard indicators often discard this data or split it arbitrarily. This script, however, offers advanced logic to assign this volume based on the previous tick's direction, recognizing that in a high-velocity momentum move, a flat tick is often a continuation of the immediate aggressor's effort meeting temporary resistance. By accurately categorizing this "effort without result," the script identifies Absorption with pinpoint accuracy. It flags the precise moment when the laws of supply and demand seemingly break—when effort (volume) fails to produce a result (price change)—alerting the trader to a potential reversal or exhaustion point long before the price pattern confirms it.

The concept of "Market Efficiency Benchmarking" serves as the analytical engine driving the script’s diagnostic capabilities. The market is not a static environment; liquidity conditions change depending on the time of day, the asset class, and the prevailing volatility regime. A 500-contract buy order might shatter resistance during the Asian session but barely move the needle during the New York open. To account for this, the tracker calculates a dynamic "Price per CVD" metric, effectively learning the current exchange rate between volume and price displacement. It utilizes an exponential decay mechanism to maintain a rolling baseline of market efficiency. By constantly asking, "How much price movement should this amount of volume create?", the script establishes a standard of normalcy. When the market deviates from this standard—for example, when a massive surge in buying velocity results in minimal price gain—the script registers a Distribution event. Conversely, when selling pressure evaporates into a stable price, it registers Absorption. This dynamic benchmarking ensures that the tool remains robust and adaptive, requiring less manual tuning as market conditions shift.

The Kalman Filter’s role in this process is to calculate the "velocity" of the order flow. While cumulative volume delta (CVD) tells you the position of buyers versus sellers (who has bought more in total), the Kalman velocity tells you the rate of change of that aggression. This is analogous to the difference between a car’s odometer and its speedometer. In trading, the speed of the move matters. A slow, grinding move upward suggests a lack of aggressive selling, while a rapid vertical spike suggests an emotional imbalance. The script detects these velocity shifts instantly. When the velocity exceeds a specific threshold, the system enters a "Trend State." It is during these states that the benchmarking logic is most active, comparing the predicted price trajectory against reality. If the velocity is high but the price lags behind the Kalman prediction, the divergence is mathematically quantified. This removes the subjectivity from reading divergence; instead of "eyeballing" a chart, the trader receives a definitive, data-driven signal that the current trend is unhealthy.

The visual interface of the tracker, the dashboard, is designed to synthesize this complex data into actionable intelligence. Trading is a game of context, and a single signal in isolation is often meaningless. The dashboard provides a multi-day memory, aggregating events from "Today," "Yesterday," and "Day Before (D-2)." This temporal perspective is vital because institutional campaigns often span several days. A single day of distribution might be a pause in a trend, but three consecutive days of distribution events in a rising market constitute a screaming warning sign of a reversal. The dashboard tracks "Confirmed" events (where price moves in harmony with volume) and "Hidden" events (Absorption/Distribution). By calculating the "Net" counts for each day, the script offers a directional bias summary. If the "Hidden Net" is positive, it implies that passive buyers are accumulating positions, supporting the trend. If negative, it implies smart money is using liquidity to exit. This high-level view allows the trader to align their intraday execution with the broader structural narrative of the market.

One of the most powerful metrics presented on the dashboard is the "Ease of Movement" ratio. Derived from Wyckoff logic, this ratio compares the efficiency of buyers versus sellers. If the script calculates that it takes 1,000 contracts of buying to move the price 5 points, but 1,000 contracts of selling only moves it 2 points, the ratio reveals a fundamental asymmetry. The path of least resistance is up. This metric allows traders to filter their setups with a bias toward the "easier" side of the market. Even if a short setup presents itself technically, a high Ease of Movement ratio warns that the trade will be fighting against the market’s internal physics. This insight is invaluable for risk management, helping traders avoid "choppy" trades and focus on high-probability expansions where price and volume are working in concert.

The granularity of the 1-second data also necessitates a discussion on the "State Change" counter. In a healthy, trending market, the Kalman state should remain relatively stable, holding a bullish or bearish velocity for extended periods. However, in a volatile, indecisive market, the state may flip rapidly back and forth. The "State Changes" metric quantifies this turbulence. A high number of state changes relative to the time elapsed indicates a "choppy" or "balanced" auction where neither side has seized control. This is an environment that destroys trend-following strategies. By observing this counter, a trader can gauge the "texture" of the market volatility. Is the market flowing smoothly, or is it erratic? This allows for dynamic strategy adjustment—tightening stops in high-state-change environments or letting winners run when the state is stable.

The practical application of this tool requires a nuanced understanding of the four primary events it detects: Confirmed Bullish, Confirmed Bearish, Absorption, and Distribution. A "Confirmed" event is the market functioning efficiently. Aggressive buyers step in, velocity spikes, and price expands proportionally. These are the waves traders want to ride. They signify agreement between aggressive and passive participants. However, the edge lies in identifying the anomalies. An "Absorption" event (Cyan on the dashboard) often marks the bottom of a pullback. It visually represents the moment when sellers run out of ammunition or hit a limit buy wall. Seeing a cluster of Absorption events at a key support level provides the confidence to enter a long position with a tight stop, knowing that the structural support is real, not just a line on a chart. Conversely, "Distribution" (Orange) at highs is the hallmark of a "bull trap." Retail traders see the breakout and buy, but the tracker sees that the buying volume is not translating into price distance, indicating that a larger player is feeding the bulls their exit liquidity.

The "Current State" section of the dashboard brings this analysis into the immediate present. It functions as a real-time monitor for the active candle or swing. By projecting an "Expected Price" based on the accumulated CVD of the current move, it gives the trader a live performance review of the trend. If the actual price is trading below the expected price during an uptrend, the text will flash "Distribution Risk." This is a leading indicator in the truest sense. It warns the trader before the candle closes, before the moving average crosses, and before the price structure breaks. This latency advantage is the primary benefit of the Kalman filter’s predictive capability. It allows for proactive trade management—taking partial profits as distribution appears, rather than waiting for the market to reverse and stop out the trade.

It is important to acknowledge the technical sophistication required to run such a script. Processing 1-second arrays for an entire trading session pushes the Pine Script engine to its limits. The sheer volume of data points—tens of thousands per session—requires efficient coding and array management to prevent timeouts. This complexity is the barrier to entry that keeps such analysis out of the hands of the casual amateur. It is a tool for the serious market participant who understands that the quality of their output is dependent on the resolution of their input. The script’s ability to handle this data load and persist the calculations across sessions using var variables demonstrates a mastery of the platform’s capabilities, turning TradingView into a workstation that rivals professional institutional terminals.

The psychological impact of using the Kalman Absorption/Distribution Tracker cannot be overstated. Uncertainty is the root of emotional error in trading. When a trader buys a pullback, the fear of the price continuing to drop is palpable. However, if that trader has quantitative evidence that selling pressure is being absorbed—if they can see the "Hidden Net" turning positive and the Kalman velocity slowing down despite the red candles—that fear is replaced by conviction. The tool acts as an objective third party, decoupling the decision-making process from the emotional sway of price ticks. It anchors the trader in the reality of the order flow. It fosters a mindset of "buying strength in weakness" and "selling weakness in strength," which is the antithesis of the typical retail urge to chase price.

Furthermore, the adaptability of the script through its inputs allows it to be tuned to specific assets. The "Alpha" and "Beta" settings of the Kalman filter control its sensitivity. A higher Alpha makes the filter more responsive to recent price changes, suitable for scalping volatile assets like cryptocurrencies. A lower Alpha smooths the data further, ideal for capturing broader trends in thicker markets like the ES or Treasuries. The "Price Follow Threshold" allows the user to define what constitutes "efficiency" for a specific instrument. By tweaking these parameters, the trader effectively calibrates their radar to the specific frequency of the market they are trading, ensuring that the signals generated are relevant and actionable. This customizability ensures that the tool is not a black box but a transparent framework for market analysis.

The distinction between "Confirmed Net" and "Hidden Net" on the dashboard offers a dual-layer view of market sentiment. "Confirmed Net" tracks the visible trend—the moves that everyone sees. A high positive Confirmed Net means the trend is healthy and obvious. "Hidden Net," however, tracks the invisible war. A divergence between these two is a powerful signal. For instance, if the market is grinding higher (Positive Confirmed Net) but the Hidden Net is deeply negative (Distribution), it indicates a "hollow rally." The price is rising due to a lack of selling, not the presence of strong buying, and passive sellers are unloading into the move. This setup often precedes a violent correction. Identifying this "hollow" structure allows the trader to avoid buying the top or to position themselves for a mean reversion trade.

The 1-second granularity also shines during news events and the market open. These periods are characterized by extreme volatility and noise. Standard indicators often blow out or provide false signals during these times due to the sheer magnitude of the variance. The Kalman filter, however, is designed to handle noisy data streams. By dynamically adjusting its state estimates, it can track the dominant flow of capital even through the chaos of an FOMC release or the opening bell. The "Close-to-Close" logic ensures that every tick is accounted for, providing a cumulative picture of who won the opening battle. If the first minute of the session sees high volatility but the script registers massive "Absorption," it suggests that the initial volatility was a liquidity grab, setting the stage for a steady move in the opposite direction.

Ultimately, the Kalman Absorption/Distribution Tracker is more than just a technical indicator; it is a philosophy of market engagement. It rejects the notion that price is the only truth, arguing instead that price is the result of a negotiation between aggression and liquidity. By quantifying this negotiation with the precision of 1-second intervals and the mathematical rigor of Kalman filtering, it provides a window into the "why" behind the move. It transforms the chart from a historical record of what happened into a real-time display of what is happening now.

For the trader with the right mindset—one who values process over prediction and risk management over gambling—this tool offers a significant edge. It does not promise to predict the future, but it offers the most accurate possible description of the present. In the zero-sum game of trading, having a clearer, faster, and more detailed view of the battlefield is often the deciding factor between profitability and ruin. The script bridges the gap between the retail trader and the institutional algorithm, democratizing access to high-frequency order flow analysis and empowering the user to make decisions based on the structural reality of the market rather than the deceptive surface of price action. It is a testament to the power of modern scripting languages and a valuable addition to the arsenal of any serious technical analyst.
# Trading View's premium subscription is required to run this script.

前天

發行說明

The Code: correctly defined var float persistKfVel = 0.0 (and others) in the global scope.
The Logic: By passing these into processIntrabarsWithPersistentState and then updating them after the function returns, ensures that the velocity at 09:30:59 is carried over to 09:31:00.
The Impact: This eliminates the "spikes" in velocity that occur at bar opens. The Kalman filter now sees the market as a continuous stream of 1-second ticks, regardless of chart timeframe. This drastically improves the accuracy of the velocityThreshold trigger.
# this update takes care of Kalman state resetting at every 1 second intrabar.