[{"data":1,"prerenderedAt":5031},["ShallowReactive",2],{"indicators:functions/volume-indicators":3},{"slug":4,"filePath":5,"frontmatter":6,"rawMarkdown":11,"tree":12},"functions/volume-indicators","functions/volume-indicators.md",{"title":7,"description":8,"order":9,"section":10},"Volume indicators","Volume indicators fold volume into the calculation to read buying and selling pressure, money flow, and participation. kScript (legacy) shipped mfi, obv, vwap…",36,"functions","---\ntitle: \"Volume indicators\"\ndescription: \"Volume indicators fold volume into the calculation to read buying and selling pressure, money flow, and participation. kScript (legacy) shipped mfi, obv, vwap…\"\norder: 36\nsection: \"functions\"\n---\n\n\u003C!-- source: docs/indicators/functions/volume-indicators.md; generated by packages/cli/scripts/gen-indicator-docs.ts, do not edit -->\n\n# Volume indicators\n\nVolume indicators fold volume into the calculation to read buying and\nselling pressure, money flow, and participation. kScript (legacy) shipped\n`mfi`, `obv`, `vwap`, and `cum` as builtins; all four ship as classes in\n`src/sdk/ta.ts` (`Mfi`, `Obv`, `Vwap`, `Cum`), each matching the kScript\nengine bar for bar. Volume itself is an ordinary input (`input(\"volume\",\nohlcv.volume)`), and the side split the kScript `buy_sell_volume` source\ngave you is two `trades.volume` inputs with a `side`.\n\n| Type | What it reads |\n| --- | --- |\n| Money flow index (`Mfi`) | a volume-weighted RSI, 0..100; overbought above 80, oversold below 20 |\n| On-balance volume (`Obv`) | a cumulative line that adds volume on up bars and subtracts it on down bars |\n| Volume-weighted average price (`Vwap`) | the fair price weighted by where volume traded, cumulative or anchored |\n| Cumulative sum (`Cum`) | the running total of any series, the primitive behind OBV-style accumulation |\n\nFor volume-weighted moving averages see `Vwma` on the\n[Moving averages](moving-averages.md) page; for per-price buy and sell\nvolume inside one bar see [Volume profile](volume-profile.md).\n\n## Mfi\n\n`new Mfi(period = 14)`, `.update(high, low, close, volume)`. Each bar's\nraw money flow is the typical price `(high + low + close) / 3` times\nvolume, counted as positive when the typical price rose against the\nprevious bar, negative when it fell, and neither when equal; the index is\n`100 - 100 / (1 + positive / negative)` over the last `period` bars, and\n`100` when the negative sum is `0`. Like `Rsi`, but weighted by volume,\nso it reads pressure rather than price alone. The first value lands at\nbar `period`; a non-finite bar fails both comparisons and adds nothing,\nas in the engine.\n\n## Obv\n\n`new Obv()`, `.update(close, volume)`. A running cumulative line with no\nperiod: bar 0 returns `0`, then the bar's volume is added when the close\nrose against the previous close, subtracted when it fell, and ignored when\nequal (or when either close is `NaN`). The whole state is the previous\nclose and the running total, which `reset()` clears. Its level depends on\nhow much history the host loaded; its slope does not, and the slope is\nwhat confirms or contradicts price.\n\n## Vwap\n\n`new Vwap(anchor = \"\", price = \"hlc3\")`, `.update(open, high, low, close,\nvolume, tsMs)`. `anchor` is `\"\"` for one accumulation from the first bar\n(what `vwap()` computes), `\"day\"`, `\"week\"`, `\"month\"`, `\"quarter\"`, or\n`\"year\"` to restart the sums at each UTC calendar boundary (a week starts\nMonday 00:00 UTC), or a number of milliseconds as a string\n(`\"14400000\"`) for a fixed bucket width floored from the epoch. `price`\npicks the bar price: `hlc3`, `hl2`, `ohlc4` (the only mode that reads the\nopen), `hlcc4`, or `close`. `tsMs` is the bar's open time in milliseconds\nsince the epoch and is only read when an anchor is set: the `time` source\ndelivers seconds, so pass `in_bar_t() * 1000.0`. Three properties worth\nknowing:\n\n1. **Anchored VWAP is stable under history loading.** Each bucket\n   computes only from its own bars, so loading older history cannot\n   change later buckets' values. The unanchored cumulative form does\n   shift when history loads: its anchor is the data edge.\n2. **There is no warm-up.** The first bar of the series starts a bucket,\n   even a partial one, so a load that begins mid-session shows a value\n   from the first bar, computed from the bars it has; the value settles\n   once a full bucket is in view. A bar whose high, low, close, or volume\n   is not finite marks the current bucket `NaN` until the next bucket\n   starts (forever, in the cumulative form), and a zero total volume gives\n   `NaN`.\n3. **Session calendars are not mirrored.** The engine's session-calendar\n   bucketing on venues with trading sessions, its regular-hours filter,\n   and its deep-history lane for quarter and year anchors need data a\n   per-bar class never sees; the calendar anchors above are computed on\n   the UTC clock. The day anchor and numeric bucket widths are proven\n   against the engine; the week, month, quarter, and year anchors are\n   ported from the same arithmetic and left unproven.\n\nThe anchor modes and the calendar arithmetic are described on the\n[Special indicators](special-indicators.md) page; the module below carries\nthe cumulative and daily forms.\n\n## Cum\n\n`new Cum()`, `.update(x)`. It is barely a class: a running total of\nwhatever you feed it from the start of the data, bar 0 returning `x`\nitself. It is the primitive behind OBV-style accumulation and custom\nanchored math (feed it signed volume for a delta proxy).\n\n```typescript\nconst cumDelta = new Cum();\nlet deltaValue: f64 = NaN;\n\nexport function state(): i32 {\n  const volume = in_volume();\n  // Signed volume: the bar's volume counted toward the side of its close.\n  deltaValue = cumDelta.update(in_close() >= in_open() ? volume : -volume);\n  return isNaN(deltaValue) ? 0 : 1;\n}\n```\n\nA non-finite sample sets the running total to `NaN` for the rest of the\nhistory, which is the engine's `cum` rule; a sparse input that must not\npoison it goes through `Fixnan` first, or through a `missing: \"zero\"`\npolicy on the source ([Series functions](series-functions.md)).\n\n## Putting them together\n\nThe four on one lower pane plus the two VWAP lines on the price pane: a\nmoney flow index, on-balance volume, a cumulative signed-volume delta\nproxy, and the cumulative and daily VWAPs.\n\n```typescript\nimport { input, line, lower, ohlcv, output, overlay, param, time } from \"./sdk/declare\";\nimport { in_bar_t, in_close, in_high, in_low, in_open, in_volume } from \"./gen/inputs\";\nimport { emitRow, out_cum_delta, out_mfi, out_obv, out_vwap_cum, out_vwap_day } from \"./gen/outputs\";\nimport { p_mfi_period } from \"./gen/params\";\nimport { Cum, Mfi, Obv, Vwap } from \"./sdk/ta\";\n\nparam(\"mfi_period\", 14, { min: 2, max: 200 });\ninput(\"close\", ohlcv.close);\ninput(\"open\", ohlcv.open);\ninput(\"high\", ohlcv.high);\ninput(\"low\", ohlcv.low);\ninput(\"volume\", ohlcv.volume);\ninput(\"bar_t\", time.bar_open_sec);\noutput(\"vwap_cum\", line, overlay, { color: \"#2563eb\", width: 1, description: \"Cumulative VWAP from the first loaded bar\" });\noutput(\"vwap_day\", line, overlay, { color: \"#eab308\", width: 2, description: \"VWAP reset at each UTC day boundary\" });\noutput(\"mfi\", line, lower, { color: \"#16a34a\", width: 2, description: \"Money flow index, 0..100\" });\noutput(\"obv\", line, lower, { color: \"#0f766e\", width: 1, description: \"On-balance volume\" });\noutput(\"cum_delta\", line, lower, { color: \"#22d3ee\", width: 1, description: \"Cumulative signed volume: a delta proxy\" });\n\nlet mfi = new Mfi(14);\nconst obv = new Obv();\nconst cumDelta = new Cum();\nconst vwapCum = new Vwap();\nconst vwapDay = new Vwap(\"day\");\nlet mfiValue: f64 = NaN;\nlet obvValue: f64 = NaN;\nlet deltaValue: f64 = NaN;\nlet vwapCumValue: f64 = NaN;\nlet vwapDayValue: f64 = NaN;\n\nexport function init(): void {\n  mfi = new Mfi(i32(p_mfi_period()));\n}\n\nexport function state(): i32 {\n  const close = in_close();\n  const high = in_high();\n  const low = in_low();\n  const volume = in_volume();\n  mfiValue = mfi.update(high, low, close, volume);\n  obvValue = obv.update(close, volume);\n  const open = in_open();\n  // Signed volume: the bar's volume counted toward the side of its close.\n  deltaValue = cumDelta.update(close >= open ? volume : -volume);\n  const tsMs = in_bar_t() * 1000.0;\n  vwapCumValue = vwapCum.update(open, high, low, close, volume, tsMs);\n  vwapDayValue = vwapDay.update(open, high, low, close, volume, tsMs);\n  return 1;\n}\n\nexport function finalize(): void {\n  out_vwap_cum(vwapCumValue);\n  out_vwap_day(vwapDayValue);\n  out_mfi(mfiValue);\n  out_obv(obvValue);\n  out_cum_delta(deltaValue);\n  emitRow();\n}\n\nexport function reset(): void {\n  mfi.reset();\n  obv.reset();\n  cumDelta.reset();\n  vwapCum.reset();\n  vwapDay.reset();\n  mfiValue = NaN;\n  obvValue = NaN;\n  deltaValue = NaN;\n  vwapCumValue = NaN;\n  vwapDayValue = NaN;\n}\n```\n\n## Buy and sell volume\n\nThe close-versus-open sign above is a proxy. The real side split is a\nsource: `trades` serves per-period volume aggregated by aggressor side,\none series per side, so the port of kScript's `.buy` and `.sell` columns\nis two inputs on the same feed with a `side`. A venue that skips bars on\none side delivers nothing on that bar; `missing: \"zero\"` turns the gap\ninto `0` so the delta stays finite. The chart lane serves `trades` volume\nwith a side; on your machine the same declarations fetch it.\n\n```typescript\nimport { histogram, input, line, lower, none, ohlcv, output, trades } from \"./sdk/declare\";\nimport { in_buy, in_close, in_sell } from \"./gen/inputs\";\nimport { emitRow, out_cvd, out_delta, out_delta_sign } from \"./gen/outputs\";\n\ninput(\"close\", ohlcv.close);\ninput(\"buy\", trades.volume, { side: \"BUY\", missing: \"zero\", description: \"Volume traded by aggressive buyers\" });\ninput(\"sell\", trades.volume, { side: \"SELL\", missing: \"zero\", description: \"Volume traded by aggressive sellers\" });\noutput(\"delta\", histogram, lower, { color_by: \"delta_sign\", colors: [\"#ef5350\", \"#26a69a\"], description: \"Buy minus sell volume per bar\" });\noutput(\"delta_sign\", none, lower, { description: \"0 on a sell-dominant bar, 1 on a buy-dominant bar\" });\noutput(\"cvd\", line, lower, { color: \"#22d3ee\", width: 2, description: \"Cumulative volume delta\" });\n\nlet delta: f64 = NaN;\nlet cvd: f64 = 0.0;\n\nexport function init(): void {}\n\nexport function state(): i32 {\n  in_close();\n  delta = in_buy() - in_sell();\n  cvd += delta;\n  return 1;\n}\n\nexport function finalize(): void {\n  out_delta(delta);\n  out_delta_sign(delta >= 0.0 ? 1.0 : 0.0);\n  out_cvd(cvd);\n  emitRow();\n}\n\nexport function reset(): void {\n  delta = NaN;\n  cvd = 0.0;\n}\n```\n\nThe primary input stays the close so the package follows the chart's\nselector; the two side inputs align to its grid row for row. The\n[aggregated CVD recipe](../cookbook/aggregated-cvd.md) extends this\nacross venues with `symbol` + `exchange` pins.\n\n## Reading them\n\n- **Volume quality.** High volume on a breakout confirms the move; a\n  low-volume breakout often reverses. `delta` and `cvd` say which side did\n  the volume, not just how much.\n- **Divergence.** Price at a new high while `obv` or `cvd` is not is a\n  warning; the same pattern on `mfi` above 80 is a classic exhaustion\n  read.\n- **Anchors.** The daily VWAP is the intraday fair price; the cumulative\n  line is context that drifts with the loaded window.\n",{"type":13,"children":14,"data":5024,"position":5026},"root",[15,25,28,29,302,304,587,588,665,666,681,682,854,855,868,869,967,968,982,983,1353,1354,1491,1492,1529,1530,1544,1545,1609,1610,1905,1906,2013,2014,2030,2031,2046,2047,3794,3795,3811,3812,3955,3956,4743,4744,4817,4818,4834,4835],{"type":16,"value":17,"position":18},"comment"," source: docs/indicators/functions/volume-indicators.md; 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