FVG MTF + 50%

// FVG MTF + 50%: A Multi-Timeframe Fair Value Gap Indicator
//
// Fair Value Gaps (FVGs) are core to the Inner Circle Trader (ICT) framework and mirror institutional order‐flow imbalances.
// In trading lore, an FVG is a rapid price swing that “leaves behind a gap” – a zone without trading – which is typically revisited later.
// In technical terms, a classic FVG spans three bars: the middle candle overshoots the prior swing without overlap (e.g. the 2nd candle’s high exceeds the 1st candle’s high in a bullish FVG).
// Such gaps represent transient liquidity vacuums. Bouchaud et al. (2011) model exactly this phenomenon: aggressive order flow creates a V-shaped supply/demand profile that “vanishes around the current price.”
// In other words, an FVG is a local imbalance where liquidity was exhausted and will tend to attract mean‐reverting orders as the market seeks equilibrium.
//
// In practice, ICT emphasizes the 50% retracement of an FVG as a high-probability entry level. This midpoint can be interpreted formally via market microstructure theory:
// Hasbrouck (2000) and others posit an underlying efficient price – a latent martingale value – around which observed prices fluctuate.
// The center of a recent gap heuristically proxies that latent fair value. Indeed, empirical models of order‐flow impact predict precisely this behavior:
// Bouchaud (2010) describes a “stimulated refill” mechanism, whereby a one‐sided price surge triggers an opposing flow of limit orders that pushes price back (a rising wall of liquidity).
// This liquidity‐induced mean‐reversion ensures that price often retraces to the gap midpoint as new limit orders fill the void.
// In essence, the 50% level embodies the short‐term equilibrium to which price gravitates after a liquidity shock.
//
// The FVG MTF + 50% indicator systematically implements these insights across multiple scales (M15, H1, H4).
// It identifies FVGs on each timeframe and continuously flags mitigation when price re‐enters a gap, effectively measuring market resiliency.
// A real‐time dashboard summarizes the total count of open FVGs and how many have been filled, quantifying latent imbalances much like institutional flow statistics.
// For example, a concentration of unfilled FVGs signals that many liquidity gaps remain, suggesting pent‐up supply/demand pressures. Conversely, a high fill rate indicates rapid liquidity absorption.
// By codifying ICT rules into quantitative outputs, this tool yields an empirical gauge of market stress and mean‐reversion potential.
//
// Overall, the script bridges ICT trading concepts with formal market microstructure.
// It treats FVG gaps as spontaneous liquidity voids and the 50% midpoint as a transient efficient price, consistent with Hasbrouck’s (2000) martingale view.
// As Bouchaud et al. note, markets operate with vanishing immediate liquidity and without instant equilibrium, explaining why price tends to return to the gap center.
// The dashboard and alerts translate these academic principles into actionable signals: by tracking gap creation and resolution, traders gain a systematic view of hidden order-flow dynamics.
// In summary, “FVG MTF + 50%” casts ICT’s smart‐money ideas in a rigorous framework (citing O’Hara, Hasbrouck, Bouchaud, Farmer, etc.), providing a scientific tool that enhances decision‐making with precise liquidity‐based metrics.
//
// References (illustrative):
//   • Hasbrouck, J. (2000). The Economics of Microstructure: Latent Efficient Prices and Observed Quotes. wpa00047.pdf.
//   • O’Hara, M. (1995). Market Microstructure Theory.
//   • Bouchaud, J.-P., Farmer, J. D., & Lillo, F. (2011). How Markets Slowly Digest Changes in Supply and Demand. arXiv:1105.1694.
//   • Bouchaud, J.-P. (2010). The Endogenous Dynamics of Markets: Price Impact and Feedback Loops. Farm\_CFM\_269-2010.pdf.
//   • Huddleston, I. C. T. (ICT). Inner Circle Trader Lectures on Fair Value Gaps and 50% Midpoints.
//
// URLs for further reading:
//   • [https://atas.net/technical-analysis/fvg-trading-what-is-fair-value-gap-meaning-strategy/](https://atas.net/technical-analysis/fvg-trading-what-is-fair-value-gap-meaning-strategy/)
//   • [https://fxopen.com/blog/en/what-is-the-ict-silver-bullet-strategy-and-how-does-it-work/](https://fxopen.com/blog/en/what-is-the-ict-silver-bullet-strategy-and-how-does-it-work/)
//   • [https://arxiv.org/abs/1105.1694](https://arxiv.org/abs/1105.1694)
//   • [https://w4.stern.nyu.edu/finance/docs/WP/2000/pdf/wpa00047.pdf](https://w4.stern.nyu.edu/finance/docs/WP/2000/pdf/wpa00047.pdf)
//   • [https://www.cfm.com/wp-content/uploads/2022/12/269-2010-the-endogenous-dynamics-of-markets-price-impact-and-feedback-loops.pdf](https://www.cfm.com/wp-content/uploads/2022/12/269-2010-the-endogenous-dynamics-of-markets-price-impact-and-feedback-loops.pdf)
//
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//
// This indicator identifies Fair Value Gaps (FVGs) on M15, H1, and H4 timeframes, highlights them on the chart as colored boxes, draws the 50% median line,
// and displays price labels for the 0%, 50%, and 100% levels of each gap.
// It also tracks when gaps are “filled” (mitigated) and logs counts on a dashboard, providing real-time metrics on open/filled FVGs for liquidity analysis.
//
// Key Features:
//   1. Multi‐Timeframe Detection: Scans M15, H1, H4 for three‐bar FVG patterns using a configurable threshold.
//   2. Colored Zones and Median Lines: Draws bullish (green) and bearish (red) gap boxes, bordered in white, with a dashed white line at the midpoint.
//   3. Price Labels: Optionally annotates each gap with “0% FVG = \$X,” “50% FVG = \$Y,” and “100% FVG = \$Z” at the moment of detection.
//   4. Gap Mitigation: Monitors price re‐entry into a gap; when filled, it removes the box and logs a dashed line at the fill price.
//   5. Dashboard: Counts total bullish/bearish FVGs and calculates the percentage filled on each timeframe.
//   6. Alerts: Configurable alerts for new gap creation and fill events at 0%, 50%, and 100% levels.
//
// Implementation Details:
//   • Detection Logic: A three-bar gap occurs when the middle bar’s low is above the prior bar’s high (bullish) or its high is below the prior bar’s low (bearish).
//     A “threshold” parameter filters minor gaps based on relative size.
//   • Data Structures: Uses Pine v6’s user‐defined “fvg” type to store gap high, low, direction, and timestamp. Arrays track open boxes, lines, labels for each timeframe.
//   • Drawing:
//       – box.new() draws transparent rectangles spanning 500 bars into the future.
//       – line.new() draws dashed median lines and mitigation lines when gaps are filled.
//       – label.new() places price annotations at the current right edge with textalign=text.align\_right.
//   • Dashboard: table.new() creates a 3×3 panel showing “Bullish”/“Bearish” counts and “Mitigated” percentages in real time.
//   • Alerts: alertcondition() triggers when new gaps form or are mitigated at specified percentages.
//
// Usage:
//   • Add to chart: Apply the script; enable or disable timeframes via checkboxes (Enable FVG M15, H1, H4).
//   • Configure text labels: Toggle “Text” to show or hide on‐chart price annotations.
//   • Monitor dashboard: Observe counts and fill rates to gauge market liquidity pressure.
//   • Set alerts: Enable alerts for specific levels (0%, 50%, 100%) and timeframes as needed.
//
// Potential Extensions:
//   • Customizable lookback on fill monitoring (beyond “showLast” parameter).
//   • Dynamic threshold based on ATR or volatility metrics instead of static percentage.
//   • Integration with order‐flow or volume data to refine gap significance.
//   • Expanded timeframes (D1, W, etc.) for higher‐timeframe liquidity profiling.
//
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//
// © 2025. Licensed under CC BY‐NC‐SA 4.0 International.
// Feel free to reference academic works (Hasbrouck, Bouchaud, O’Hara) for theoretical context.
//
// End of Description.