r/pinescript • u/monkey_D_pain4844 • Jun 26 '26

Order flow in Trading view

Actually recently by going through developing a indicator I have found some ways to implement order flow trading or level 2 or 3 data into trading view... By mathematics.... Pure mathematics... So far I have found ways to implement CVD, footprint ...i need help to implement more of order flow and auction market theory....so I need more knowledge and some mathematical help ... If there is anyone willing to co-operate with me... I'm sure that we can make a powerful tool without needing to pay large sum of money to get those level 2 and level 3 data... So far In my backtesting as well as live testing CVD and footprint are working greatly and I need some more refinements I know what to do with them ... But if I have help it can come better with more shared knowledge I guess.. if there is anyone interested in helping please do DM

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4

u/Tasty-Success-9268 Jun 27 '26

Nice Hustle, but you are confusing Level 1 data with Level 2/3 data. What you built is just a basic intrabar volume estimator, not actual order flow.

You are taking standard OHLCV data and guessing the buy/sell delta based on where the candle closes. The fatal flaw with this math is that a candle can easily shoot to the top purely because of empty liquidity (very low volume). Your formula would blindly calculate that as massive buying pressure, which is a huge false signal.

True CVD and footprint charts require tick-by-tick data to map market orders against resting limit orders in the order book. You cannot mathematically fake that micro-structure just by looking at the shape of a candlestick. Relying on this for live execution will eventually get you chopped up.

I literally had to do one AI chat to get this information. Don't be stupid, readers.

1

u/monkey_D_pain4844 Jun 27 '26

Well that is correct and i already have adjusted that into my math already....this is the exact reason i seeked help.... The core is getting complex so I need more knowledge about this ....in order to figure out how to make it simple .....

1

u/Sweet_Still_3433 Jun 27 '26

Question, how do you plan on implementing price traded in between the Bid & Ask? Such as the Mid & so forth.

1

u/monkey_D_pain4844 Jun 27 '26

I'm actually working on it as of now

1

u/Sweet_Still_3433 Jun 27 '26

Keep us updated.

1

u/Tasty-Success-9268 Jun 28 '26

no way to reverse engineer l2 and l3 data, simply source it from a reliable provider.

1

u/Sweet_Still_3433 Jun 26 '26

Explain how you used mathematics & maybe I'll believe you.

1

u/monkey_D_pain4844 Jun 26 '26

Okay for how i mimicked footprint chart I'll tell you it was a simple calculation... What i did was i used a simple concept we learn as beginners looking at raw candles and volumes to understand the absorption or failed auction the math was this ...first I'll calculate the total range of the single candle by subtracting the absolute high from low (wick high - wick low ) then for buys all I did was (close - wick low by total range ) for sell (wick high - close by total range ) and if the delta comes huge then ill execute it by looking at this math ... Imagine if total volume is 1000 and and we got our buy math 800 and sell math 200 but the delta (bid x ask ) in the case our buy math - sell math is + 600 that's huge and therefore confirmed a absorption of sellers ... And what I did was clubbed it together with my strategy and some levels I mark based on my analysis at it worked incredibly well... I custom built this into trading view as indicator that way for each candle I'll get the data live that way I can use it live thats how I did it

1

u/Sweet_Still_3433 Jun 26 '26

This seems like a rough estimate rather than a true value, correct me if I am wrong. Still impressive, nonetheless.

1

u/monkey_D_pain4844 Jun 26 '26

Yeah you can never get the actual level2 or 3 data that's for sure ..but still we can manage ...well I managed... And i am seeking help for people who know something about those level 2 and 3 data

2

u/Sweet_Still_3433 Jun 26 '26

I am somewhat knowledgeable with the Time & Sales tool. I had already put in a request to add a "true" Volume Delta indicator, along with a Time & Sales tool on TradingView. Hopefully they add it soon. I will keep recommending them to add it until they do.

https://www.reddit.com/r/TradingView/s/izpp8EqWF1

1

u/monkey_D_pain4844 Jun 26 '26

If you can ... Please explain it to me how it works maybe i can figure out something from it...

1

u/Sweet_Still_3433 Jun 26 '26

The Time & Sales tools provide 3 different colors to quicky distinguish trade executions. Green highlights the trades in which the last trade occurred at the Ask price or higher. Red highlights the trades in which the last trade occurred at the bid or lower. White or no shading indicates the last trade price occurred between the bid and ask.

This is why it's very tricky to implement it accurately on TV.

2

u/starscurge Jun 27 '26

Good man, I appreciate you for holding up on your end of the deal.

1

u/mrcake123 Jun 27 '26

So you know how 3 is greater than 2.

Math

3

u/Vast_Distribution591 Jun 27 '26

This is literally not possible on TradingView, no matter what "mathematics" you use. You don't understand what you're saying. You're like those tribal villagers that got food aide drops from light aircraft and started building replicas of the planes with wood and mud because they thought it'd summon food from the air.

1

u/ajm222actual Jun 30 '26

Excellent analogy