Order Flow Imbalance - displayed on bars

[tkades]

Please could someone tell me if anything similar to this has been created? Besides the Bid-Ask Volume per candle, it bolds the large imbalances within each candle.
Another interesting feature is the Pressure bar (on the left).
Including the link to see this in action.
A few platforms offer this (Ninja) and we should also have this on TOS.
Any feedback would be appreciated.

 

[merryDay]

Please could someone tell me if anything similar to this has been created? Besides the Bid-Ask Volume per candle, it bolds the large imbalances within each candle.
Another interesting feature is the Pressure bar (on the left).
Including the link to see this in action.
A few platforms offer this (Ninja) and we should also have this on TOS.
Any feedback would be appreciated.

Sadly no; there is no such indicator on this forum.

 

[tkades]

Sadly no; there is no such indicator on this forum.

If TOS data is accessible then isn't it doable? e.g. Volume Profile gives summed buy and sell transactions, even on this site we have Market Cumulative Delta, and Order Flow, and Auction Control Index. Doesn't this mean that aggressive buy and sell transaction data is available? If time on the Volume profile could be set to one candle, then that candle would have the data. Isn't it then just a matter of scaling it out candle by candle?

 

[useThinkScript]

Core Limitations of ThinkorSwim & thinkScript​

1. Custom Graphics Limitations
   ToS does not support custom canvas drawing or UI components like a standalone "pressure bar" adjacent to candles. Custom scripts are restricted to plotting lines, histograms, candle overlays, or basic background highlights.
2. No Access to Tick-Level Bid/Ask Data
   True order flow requires real-time and historical tick data tagged with Bid vs. Ask trade executions (i.e., whether an order lifted the offer or hit the bid). ToS aggregates market data into candles/bars without providing historical tick-level side-attribution to thinkScript.
3. Language & Data Structure Restrictions (No Arrays or Dynamic Bucket Sort)
   Even if ToS provided aggregated volume data, thinkScript lacks data structures like arrays, lists, or dictionaries. As a result, thinkScript cannot:
   • Categorize volume into dynamic price buckets inside individual candles.
   • Store, sort, or sum transactions at specific price levels dynamically.
   • Calculate stacked volume imbalances dynamically per candle.
4. Proxies vs. True Cumulative Delta
   Yes, you are correct. On this site, community members have built ingenious proxies using sub-minute tick aggregation or high/low volume approximations, these remain math-based estimations. They do not represent true trade-by-trade cumulative delta or auction flow.
5. External Tools Integration
   Add-ons like Bookmap provide depth-of-market and liquidity visualizations inside ToS via a separate subscription, but that data stream is isolated and cannot be referenced or manipulated inside thinkScript code.

ThinkOrSwim is considered the gold standard for technical chartists. But it is not a good fit for everyone.

Hope this helps,
@tkades

 

[tkades]

Core Limitations of ThinkorSwim & thinkScript​

1. Custom Graphics Limitations
   ToS does not support custom canvas drawing or UI components like a standalone "pressure bar" adjacent to candles. Custom scripts are restricted to plotting lines, histograms, candle overlays, or basic background highlights.
2. No Access to Tick-Level Bid/Ask Data
   True order flow requires real-time and historical tick data tagged with Bid vs. Ask trade executions (i.e., whether an order lifted the offer or hit the bid). ToS aggregates market data into candles/bars without providing historical tick-level side-attribution to thinkScript.
3. Language & Data Structure Restrictions (No Arrays or Dynamic Bucket Sort)
   Even if ToS provided aggregated volume data, thinkScript lacks data structures like arrays, lists, or dictionaries. As a result, thinkScript cannot:
   • Categorize volume into dynamic price buckets inside individual candles.
   • Store, sort, or sum transactions at specific price levels dynamically.
   • Calculate stacked volume imbalances dynamically per candle.
4. Proxies vs. True Cumulative Delta
   Yes, you are correct. On this site, community members have built ingenious proxies using sub-minute tick aggregation or high/low volume approximations, these remain math-based estimations. They do not represent true trade-by-trade cumulative delta or auction flow.
5. External Tools Integration
   Add-ons like Bookmap provide depth-of-market and liquidity visualizations inside ToS via a separate subscription, but that data stream is isolated and cannot be referenced or manipulated inside thinkScript code.

ThinkOrSwim is considered the gold standard for technical chartists. But it is not a good fit for everyone.

Hope this helps,
@tkades

Thanks for the replies, they helped me get the full lay of the land. So, I'm going to do my analysis with ATAS with CQG and Rithmic data feeds with order flow, heat maps etc. but still take my trades on the TOS SPX 0DTE Option Chain which is what I am familiar with.

 

[tkades]

If TOS data is accessible then isn't it doable? e.g. Volume Profile gives summed buy and sell transactions, even on this site we have Market Cumulative Delta, and Order Flow, and Auction Control Index. Doesn't this mean that aggressive buy and sell transaction data is available? If time on the Volume profile could be set to one candle, then that candle would have the data. Isn't it then just a matter of scaling it out candle by candle?

Thanks for letting me know.