OFS HeavyNodes

Description

Volume does not distribute evenly. It piles up at the prices where buyers and sellers agreed for the longest time, and it thins out where one side gave way. The heavy shelves - High Volume Nodes - are the places the market keeps returning to. And inside that structure the tape occasionally prints a single trade that is out of all proportion to the normal print size: someone with real size acted at one price. OFS HeavyNodes puts both readings on one chart.

HVN PROFILES

The indicator builds one volume profile per period - 1, 5, 15, 30 or 60 minutes, one session or one week - anchored to the exchange calendar. For CME index futures the day starts at 17:00 Chicago and a 30-minute profile runs 08:30-09:00, 09:00-09:30 and so on; a US cash-hours filter and a plain 24x7 UTC calendar are available as well. Every profile is drawn as a raw histogram at the left edge of its period: exactly the volume that traded at every tick, with the highest row - the profile POC - in its own colour. Nothing is smoothed away in the picture.

Detection works on top of the same data. An optional smoothing pass can be applied before the peaks are searched, so that a jagged profile does not fall apart into a dozen nodes; the histogram you see stays raw. A local peak becomes a node when it reaches a configurable share of the highest row (70 % by default). Around every node the cluster grows upward and downward as long as the neighbouring rows still carry at least the configured share of the peak (80 % by default), bridging small dips up to the gap tolerance. Overlapping clusters of one profile are merged, clusters thinner than the minimum height are dropped, and every surviving cluster gets its own POC - the highest raw row inside it, tie-broken towards the volume-weighted centre.

When the period closes the clusters become zones. A zone is a band from its low to its high, coloured differently when it contains the profile POC, with a thin line on its cluster POC and another on the profile POC. Zones extend to the right until price comes back: the first bar after the grace bars whose range overlaps the band ends the zone at that bar, and it stays frozen there. Zones are created only from finished periods and only after they can be known - a zone never appears inside the period that produced it, so what you see on history is exactly what a live chart would have shown.

HEAVY ABSORPTION

The second reading looks at individual executed trades, not at the footprint. For every bar the indicator takes all trades of the previous N closed bars (100 by default), computes their mean size and population standard deviation, and freezes a threshold of mean plus K standard deviations. Any trade of the current bar at or above that threshold qualifies. Per bar and per aggressor side the qualifying trades are summed into one circle anchored at the price of the largest of them; the diameter grows with the square root of the circle's volume relative to the largest circle of the lookback window at the moment it was created, and it never changes afterwards. Green marks buy aggression, red sell aggression - the side that hit the book, not a direction to trade. Optionally each circle also opens a level at its anchor price that extends until price returns.

The threshold adapts to the instrument and to the time of day by itself. A quiet overnight tape has a small mean and a small deviation, so a moderate trade already stands out; in the cash session the same trade disappears into the crowd. There is nothing to calibrate in contracts unless you deliberately add a fixed floor. A Strict mode adds a price-response condition inside the bar: the trade must sit at the bar extreme on its side and the bar must close back against the aggressor.

DATA HONESTY

Heavy Absorption needs every trade, so the indicator requests the raw trade history from the platform day by day when the chart loads and verifies each bar against its candle volume. A bar whose trades do not add up is not silently filled with the candle volume: it is marked missing, it blocks the window until it leaves it, and the panel says so. While the history is loading or the window is not complete the chart says LOADING or WARMING UP instead of drawing circles from half a population. Late data never rewrites a frozen circle. The HVN profiles do not depend on the raw trades and keep working on footprint data alone.

An optional confluence highlight rings every circle whose anchor sits inside an HVN zone that was already active when its bar started. Platform alerts and Telegram can report the first touch of a zone and every bar that produced a circle; everything is off by default and history is never replayed as a live notification.

The detection engine is pure code covered by 184 automated checks derived from the written technical specification - smoothing kernel, peak and cluster rules, POC tie-breaks, the statistical model, lifecycle, coverage rules and a replay that proves the live path and a plain recalculation produce identical zones and circles bar by bar. The same protected DLL is built for classic ATAS and ATAS X on the current .NET 10 runtime.