order-flow data boundary
Cumulative volume delta normally accumulates buyer-initiated volume minus seller-initiated volume. A valid implementation needs a defensible way to classify traded volume by side.
Source review completed
Prompt brief
ThinkScript · one source file
Example request
Create a lower thinkorswim study named Cumulative Directional Volume Proxy. For each completed regular-session bar, add volume when close exceeds open, subtract it when close is below open, and add zero for a doji. Reset at the regular-session start and label this as a price-direction proxy.
Standard thinkScript bar volume is not, by itself, a historical bid-ask aggressor split. A script that assigns all volume on an up bar to buying and all volume on a down bar to selling is a price-direction proxy, not true trade-classified CVD. Label such approximations plainly and do not compare them as equivalent to an order-flow data product.
Reference points
Two lines can look like CVD while using different classifications. Before interpreting divergence, identify whether the input is bid-ask trade data, uptick and downtick classification, or a bar-direction proxy.
The standard volume function returns volume for the selected symbol and aggregation. It does not document a historical buyer-versus-seller split in that value.
If a price-direction proxy is acceptable, state the rule, neutral-bar behavior, and reset. Name the plot accordingly, such as cumulative directional-volume proxy, instead of presenting it as exact order-flow delta.
Pineify can encode that transparent approximation and its display. It cannot add unavailable market data to thinkorswim or verify equivalence with another vendor's order-flow feed.
Imagine a bar that closes above its open with total volume of 1,000. A close-versus-open proxy assigns +1,000. If hypothetical trade classification instead contains 400 buyer-initiated and 600 seller-initiated units, trade delta is -200. The same rising bar can therefore produce opposite signs. Neither number identifies traders as institutions.
The volume function accepts LAST, ASK, BID, and MARK price types, with documented restrictions for non-Forex symbols. Those parameter names alone do not establish a complete historical aggressor-classified feed. Verify the field's meaning and coverage before calling its difference true CVD.
Pineify thinkScript workflow
Use Pineify when the official study or platform feature does not cover a clearly defined calculation, display, or alert. The agent returns one editable study or strategy file for native review.
Choose a thinkorswim volume indicator from the question you need to answer. Use bar volume for activity by time, VolumeAvg for comparison with a recent baseline, RelativeVolumeStDev for standardized activity, VolumeProfile for activity by price, and cumulative indexes for a specified directional rule. No single volume indicator is best across all uses.
Read guideAdd VolumeProfile from the studies library, then set the profile period, price-per-row mode, row height, value-area percentage, expansion behavior, and plot visibility. The study distributes volume across price rows for the selected profile interval. It is different from volume by time bar and from bid-ask delta.
Read guidethinkorswim documents a RelativeVolumeStDev study and exposes bar volume to custom thinkScript. A custom RVOL ratio can divide current volume by an average baseline, but the denominator must be specified. A simple recent-bar average and a time-of-day seasonal average answer different questions.
Read guideLast verified:
Pineify provides information and code-generation assistance, not investment advice. Generated scripts, strategy reports, simulations, and historical examples cannot predict prices or guarantee returns. Review every script and test it in its target platform before relying on its output.
Standard bar volume alone does not supply a historical aggressor-side split. A script based on up and down bars is a proxy unless it uses a documented trade-classified data source.
No. The built-in CumulativeVolumeIndex accumulates advancing-stock volume minus declining-stock volume for the selected exchange. That breadth calculation differs from an individual instrument's trade-classified delta.
Yes, if the classification and reset are explicit. The page and source should label it as an approximation rather than true bid-ask delta.
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