RVOL ToD Adjusted — Absorption/POC latest 21.09.25

RVOL ToD Adjusted (Intraday + Daily 1m) — with Absorption/POC (strict, 15m only)

What it does

This study builds a time-of-day adjusted Relative Volume (RVOL) model for both intraday charts and daily charts (via a 1-minute proxy), then adds a strict absorption detector on 15-minute bars using POC/VWAP context.

Cum / 30d (teal) — cumulative intraday volume vs a 30-day, time-of-day baseline (EMA by index within the session).

When strict absorption triggers on 15m, teal line recolors to blue (seller absorption, bullish) or white (buyer absorption, bearish).

Optional overlays: Cum vs Yesterday, Cum Bull/Bear vs 30d, Delta RVOL (1 = neutral), and per-bar RVOLs.

How it works (high level)
1) Time-of-Day RVOL Baselines

For intraday charts: builds an EMA baseline for each minute index of the session (RTH optional). Tracks total, bullish, and bearish volume slices per bar and cumulates them across the session.

For daily charts: calls a 1-minute engine with the same logic via request.security() so your daily pane still shows “today vs 30-day typical” profiles.

2) Earnings Day Weighting (cleaner baselines)

You can down-weight D0/D+1… in the 30-day baseline so earnings spikes don’t distort the “typical” curve.

Choose exponential taper (τ) or step weights, and optionally severity scaling that uses the peak RVOL on D0 (or cached D0 for D+1) to cap influence automatically.

3) Strict Absorption (15m only)

Flags seller absorption (blue) or buyer absorption (white) when all gates pass:

RVOL gate: Cum / 30d (or Yesterday) ≥ threshold.

Location gate: price near VWAP and near Yesterday’s POC.

POC stability: today’s POC ≈ yesterday’s POC and today’s POC is stable intraday.

Structure: no new low (seller) / no new high (buyer) for N bars.

Momentum: Δ(Delta RVOL) slope over slopeLen exceeds minDeltaSlope.

Hold: require holdBars consecutive confirmations.

Absorption recolors the primary Cum / 30d line only on 15m.

Key Inputs

Session: RTH on/off, custom time window.

Baselines: 30-day lookback (EMA), auto-cap and floor settings for clean scaling.

Earnings weighting: step or exponential taper, plus severity cap.

Absorption (15m): POC bin size, tolerance % for VWAP/POC proximity and POC stability, RVOL gate (30d or Yesterday), slope length & min slope, hold bars, and “no new high/low” window. Optional buyer absorption flag.

Plots & Colors

Cum / 30d (teal → blue/white on absorption)

Cum / Yesterday (orange)

Cum Bull / 30d (green), Cum Bear / 30d (white)

Delta RVOL (gray, 1 = neutral)

Optional Bar RVOL / 30d (blue) and Bar RVOL / Yday (purple)

Heartbeat dots mark latest values; invisible “ScaleTop/ScaleBot” anchors help auto-range.

Usage Tips

Intraday: Focus on teal vs 30-day and Delta RVOL to see whether the session is building pressure relative to typical flow. Absorption recolors (blue/white) hint at trap/soak zones around VWAP/POC where moves can pivot.

Daily: You still get a “today vs typical day” read via the 1-minute proxy engine.

Tighten/loosen tolerances (VWAP/POC %, POC stability window) to control how strict absorption must be.

If earnings distort your names, enable exponential taper and severity scaling.

Non-repainting & Performance

All request.security() calls use lookahead_off; RTH gates use the session mask for the current bar.

The 15m absorber is computed on 15m charts only; on other TFs the absorption flags are off, and the teal line stays teal.

Arrays are session-indexed and reset at session start to avoid drift.

Limitations

POC is a simple intraday VP using fixed tick-sized bins (not exchange-grade volume profile).

“Bull/Bear volume” is a range-split heuristic (body location within bar range), not true order-flow.

Best for: intraday traders who want a stable ToD RVOL read, light earnings de-spiking, and objective absorption signals at VWAP/POC on 15m.