Volume at price and the buy/sell estimate

VWAP squeezes the day into one number. Volume at price keeps the detail: it shows at which prices today's volume traded. And because Live Flow has no access to the exchange's order book, it also estimates how much of that volume was buying and how much was selling. Both feed the cards, so it's worth knowing exactly what they are.

Building the profile

1. Take today's range, from the day's low to the day's high, and cut it into 32 equal price bands.
2. For each 5-minute candle, spread its volume over the bands its high-to-low range covers, in proportion to how much of each band it overlaps. (A candle with no range puts all its volume in the band of its close.)
3. Add it all up. The band with the most volume is the point of control (POC); Live Flow uses the middle of that band as the POC price.

The small histogram on each board tile is this profile, scaled so the busiest band is full length.

What the profile tells you

• Heavy bands are prices the market accepted: lots of shares changed hands there. A stock trading above a heavy area has a reference below it; one trading below has a reference overhead.
• Thin bands are prices the market moved through quickly. Price often crosses them fast again.
• The POC is one of the candidate levels for Support 1 and Target 1 in each stock's chart (lesson 9).

The buy/sell estimate: where did each candle close?

For each 5-minute candle, Live Flow asks: where did it close within its own range?

Buy share of a candle = (close − low) ÷ (high − low)

A candle with low ₹100, high ₹104 and close ₹103 closed three-quarters of the way up its range, so 75% of its volume is counted as buying and 25% as selling. A candle closing at its high counts as all buying; at its low, all selling; a candle with no range at all counts as half and half.

Weighting every candle's share by its volume and adding up the day gives the stock's buy % (and sell % = 100 − buy %), shown as "Candle flow" on the cards. The colour mix in each band of the profile uses the same estimate. Buy share is one of the six score measures (lesson 4), and a sector's buy share is the volume-weighted average of its stocks'.

Limits you should know

• It is an estimate from price and volume, not order-book data. It cannot tell a single large buyer from many small ones, or who was aggressive.
• One huge candle can dominate. If a block of volume trades in one candle that closes near its high, the day's buy % jumps.
• Gaps and spikes distort it. A candle with a long wick and a close near its low counts as mostly selling, even if a lot of buying happened inside it.
• Live Flow's data comes in as minute candles that can run a few minutes behind the exchange.