Composite Liquidity Flow

AsksWhere is the whole market’s money leaning?

One histogram that answers where the whole market’s money is leaning. It estimates buy and sell pressure across five instruments at once: index futures, their ETFs, and an inverse hedge ETF flipped so its buying counts as market selling. Every leg is scaled by its own relative volume before it is combined, so futures contracts and ETF shares are not mixed as if they shared a unit, and legs with no data drop out of both the numerator and the denominator. The net is weighted, smoothed, and z-scored into a single pane with an RSI filter on top. Agreement markers print only when flow, its slope, breadth across the legs, and the filter all point the same way; divergence marks compare confirmed price pivots, not rolling ranges. All of it is estimated from OHLCV: a careful proxy, not tick data. It reads the index complex, not your single stock.

Plain EnglishIf the futures, the index ETFs, and the inverse hedge all lean one way at the same time, that lean is the whole market talking.

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Inputs and settings

Composite assetsFive symbol slots: two futures, two funds, and an inverse hedge whose flow is inverted. Minimum active legs for signals (default 4) blocks markers and alerts when too much of the composite is missing or outside its session.

WeightingPer-asset weights, funds weighted up by default because fund flow reads differently from futures. Only legs with a valid current bar and nonzero weight enter the denominator.

Smoothing and normalizationSmoothing length 25, z-score normalization over the last 50 in-session values, a 30-bar per-asset relative-volume baseline, and a 5x RVOL cap so one bad print cannot hijack the composite.

FilterAn RSI computed inside the filter symbol’s own context (ES by default), 14 length, bands at 70 and 30. Require filter agreement for markers is on; divergence confirmation uses fixed levels of 60 and 40 at the price pivot.

Session filterOn by default: the same regular-hours gate is applied to every leg so the composite universe does not change between overnight futures-only data and the cash open. Pre-market histogram suppression is a display choice only.

MarkersAgreement markers need flow, its slope, at least 60% directional breadth across active weight, and the filter to agree, with a 10-bar cooldown. Divergences compare confirmed price pivots, 3 bars each side by default.

When it fails

It is a proxyCandle-location pressure estimates participation from OHLCV. It is not bid/ask delta, and relative-volume scaling makes legs comparable without creating any causal link between them.

Cross-symbol feeds differSessions, delays, volume rules and entitlements differ across the five legs. A leg with no bar on the chart’s timestamp drops out for that bar, and the Coverage row tells you how many legs are live.

It reads the index complexThe default basket is the US index complex. On a single stock, or a market unrelated to the basket, the composite says nothing about your chart.

Intraday onlyThe session gate and per-leg baselines are defined against the regular New York session. It refuses to run on daily or higher.