RJC MTF High/Low Liquidity Levels ORB

A multi-timeframe liquidity map designed for intraday futures trading (especially US open) with UK-session context. It automatically plots key HTF highs/lows, Asia and London session extremes, and a 13:00–13:15 UK Opening Range (ORB) with midpoint. It also estimates “bounce likelihood” and a directional lean using simple, transparent proxies (confluence, rejection, relative extreme volume, and ATR-based distance).

What it shows

1) Higher-Timeframe Liquidity Levels (MTF High/Low)

4H High / Low

Daily High / Low

Weekly High / Low

Monthly High / Low

Quarterly High / Low

Yearly High / Low (computed using a daily engine for reliability on intraday charts)

These levels plot as line breaks so they extend cleanly without clutter.

2) Session High/Low Levels (UK time)

Asia session: 23:00–06:00

London session: 08:00–12:00

Each session records:

Session High & Low

The volume on the bar that set the high and the volume on the bar that set the low

A relative “liquidity ratio” for each side (high-side vs low-side), based on an EMA-style average of past extremes

3) ORB: 13:00–13:15 UK (15m)

Draws the ORB range box

Plots ORB high, ORB low, and midpoint (dashed)

Extends the ORB structure across the session (to 21:00 UK in this script)

4) New York window shading

Optional shading for 14:30–21:00 UK (light white background) to keep you visually anchored to the main trading window.

Bounce Likelihood (table + labels)

For each level, the script produces a Bounce % score (1–95%) using:

Base weight (higher TF levels carry more weight than lower TF)

Confluence bonus: nearby levels within a threshold (ATR15-based)

Rejection bonus: if the current 15m candle shows a rejection at that level

Extreme volume bonus: if the bar that set the high/low had unusually high volume vs its rolling extreme average (separate for highs and lows)

Distance penalty: if price is far from the level (ATR15-based)

This is not a prediction engine. It’s a quick way to prioritise which levels are most “relevant” right now.

Direction column (quick lean)

The Direction column combines:

Whether the level is currently acting as support (below price) or resistance (above price)

Nearby candle behaviour (rejection/acceptance/break logic)

A simple 15m EMA trend filter (9 vs 21)

Outputs include:

↑ Bounce / ↓ Bounce

↑ Break / ↓ Break

↑ Lean / ↓ Lean

Or neutral arrows when conditions are mixed

Inputs (key ones)

Display

Toggle each HTF level set (4H/D/W/M/Q/Y)

Toggle Asia + London sessions

Toggle ORB drawing and NY shading

Toggle labels on chart and the info table

Behaviour + Liquidity Proxies

Confluence Threshold (ATR15 multiplier): how close levels must be to count as confluence

Relevance Distance (ATR15 multiplier): how quickly far-away levels get penalised

Extreme Vol Avg Length: the smoothing length for “extreme volume” averages

Recommended usage

Use the plotted highs/lows as targets, decision points, and areas to expect stops/liquidity.

Use the table to quickly spot:

Which levels have strong confluence

Which extremes were set on unusually high volume

Which levels are closest and most relevant right now

Pair with your price action rules (sweeps, reclaim, midpoints, ORB logic) rather than trading the score alone.

Notes / limitations

“Liquidity ratio” here is a proxy using volume-at-extreme vs a rolling average of extreme volumes. It is not order book data.

Session and ORB calculations are done using 1m data for precision; the HTF extreme engine runs on 15m (and yearly uses daily) to stay stable and performant.

Best results on intraday charts (1m–15m) where the ORB/session logic matters most.

Version

v6 – MTF highs/lows, session extremes with separate high/low volume ratios, ORB 13:00–13:15 UK with midpoint + session shading, plus bounce scoring and direction lean table.