PineFlow — ICT FVG Liquidity Model

//@version=6
//@strategy_alert_message {"secret":"REPLACE_ME","version":"2","event_id":"pineflow-ict-v1-{{ticker}}-{{interval}}-{{strategy.order.id}}-{{time}}","strategy_id":"pineflow-ict-v1","symbol":"{{ticker}}","timeframe":"{{interval}}","action":"{{strategy.order.action}}","quantity":{{strategy.order.contracts}},"price":{{strategy.order.price}},"timestamp":"{{time}}","order_id":"{{strategy.order.id}}","intent":"{{strategy.order.alert_message}}"}
strategy(
     "PineFlow v6 — ICT FVG Liquidity Model",
     overlay = true,
     initial_capital = 100000,
     currency = currency.USD,
     pyramiding = 0,
     commission_type = strategy.commission.percent,
     commission_value = 0.05,
     slippage = 1,
     process_orders_on_close = true
)

const string CONTEXT_GROUP = "ICT context"
const string TRIGGER_GROUP = "Entry model"
const string RISK_GROUP = "Risk"
const string SESSION_GROUP = "Session"
const string DISPLAY_GROUP = "Display"

string contextTimeframe = input.timeframe("240", "Context / FVG timeframe", group = CONTEXT_GROUP)
string setupTimeframe = input.timeframe("15", "Setup timeframe", group = CONTEXT_GROUP)
int contextEmaLength = input.int(50, "4H bias EMA", minval = 2, group = CONTEXT_GROUP)
int setupPivotLength = input.int(3, "15m liquidity pivot strength", minval = 1, group = CONTEXT_GROUP)
float displacementAtrMultiple = input.float(0.8, "Displacement body (ATR)", minval = 0.1, step = 0.1, group = CONTEXT_GROUP)
int setupExpiryMinutes = input.int(240, "4H touch setup expiry (minutes)", minval = 15, group = CONTEXT_GROUP)

bool enableLongs = input.bool(true, "Enable longs", group = TRIGGER_GROUP)
bool enableShorts = input.bool(true, "Enable shorts", group = TRIGGER_GROUP)
int triggerPivotLength = input.int(3, "1m liquidity pivot strength", minval = 1, group = TRIGGER_GROUP)
int triggerExpiryMinutes = input.int(90, "15m confirmation expiry (minutes)", minval = 5, group = TRIGGER_GROUP)
int maxTradesPerDay = input.int(2, "Maximum trades per day", minval = 1, group = TRIGGER_GROUP)

float riskPercent = input.float(0.5, "Equity risk per trade (%)", minval = 0.1, step = 0.1, group = RISK_GROUP)
int atrLength = input.int(14, "ATR length", minval = 1, group = RISK_GROUP)
float fallbackStopAtr = input.float(1.5, "Fallback stop (ATR)", minval = 0.1, step = 0.1, group = RISK_GROUP)
float fallbackTargetR = input.float(2.0, "Fallback target (R)", minval = 0.1, step = 0.1, group = RISK_GROUP)
float quantityStep = input.float(0.001, "Quantity step", minval = 0.000001, group = RISK_GROUP)
float maxDailyLossPercent = input.float(2.0, "Maximum daily loss (%)", minval = 0.1, maxval = 100, group = RISK_GROUP)
float maxDrawdownPercent = input.float(15.0, "Maximum drawdown (%)", minval = 0.1, maxval = 100, group = RISK_GROUP)

string tradingSession = input.session("0000-2359", "Trading session", group = SESSION_GROUP)
string sessionTimezone = input.string("Etc/UTC", "Session timezone", group = SESSION_GROUP)
bool flattenAtSessionEnd = input.bool(false, "Flatten at session end", group = SESSION_GROUP)

bool showContextZones = input.bool(true, "Show 4H FVG", group = DISPLAY_GROUP)
bool showSetupZone = input.bool(true, "Show confirmed 15m FVG", group = DISPLAY_GROUP)
bool showDashboard = input.bool(true, "Show state dashboard", group = DISPLAY_GROUP)

if barstate.isfirst and timeframe.in_seconds() != 60
    runtime.error("Run the ICT execution model on a 1-minute chart.")
if barstate.isfirst and timeframe.in_seconds(setupTimeframe) <= timeframe.in_seconds()
    runtime.error("The setup timeframe must be higher than the chart timeframe.")
if barstate.isfirst and timeframe.in_seconds(contextTimeframe) <= timeframe.in_seconds(setupTimeframe)
    runtime.error("The context timeframe must be higher than the setup timeframe.")

strategy.risk.max_intraday_loss(maxDailyLossPercent, strategy.percent_of_equity)
strategy.risk.max_drawdown(maxDrawdownPercent, strategy.percent_of_equity)

lastBullishFvgLower() =>
    ta.valuewhen(low > high[2], high[2], 0)[1]

lastBullishFvgUpper() =>
    ta.valuewhen(low > high[2], low, 0)[1]

lastBearishFvgLower() =>
    ta.valuewhen(high < low[2], high, 0)[1]

lastBearishFvgUpper() =>
    ta.valuewhen(high < low[2], low[2], 0)[1]

lastPivotHigh(int strength) =>
    float pivot = ta.pivothigh(high, strength, strength)
    ta.valuewhen(not na(pivot), pivot, 0)[1]

lastPivotLow(int strength) =>
    float pivot = ta.pivotlow(low, strength, strength)
    ta.valuewhen(not na(pivot), pivot, 0)[1]

lastBearishDisplacementOpen(float atrMultiple) =>
    float body = math.abs(close - open)
    ta.valuewhen(close < open and body >= ta.atr(14) * atrMultiple, open, 0)[1]

lastBullishDisplacementOpen(float atrMultiple) =>
    float body = math.abs(close - open)
    ta.valuewhen(close > open and body >= ta.atr(14) * atrMultiple, open, 0)[1]

float contextOpen = request.security(syminfo.tickerid, contextTimeframe, open[1], lookahead = barmerge.lookahead_on)
float contextClose = request.security(syminfo.tickerid, contextTimeframe, close[1], lookahead = barmerge.lookahead_on)
float contextPreviousHigh = request.security(syminfo.tickerid, contextTimeframe, high[2], lookahead = barmerge.lookahead_on)
float contextPreviousLow = request.security(syminfo.tickerid, contextTimeframe, low[2], lookahead = barmerge.lookahead_on)
float contextEma = request.security(syminfo.tickerid, contextTimeframe, ta.ema(close, contextEmaLength)[1], lookahead = barmerge.lookahead_on)
float contextBullFvgLower = request.security(syminfo.tickerid, contextTimeframe, lastBullishFvgLower(), lookahead = barmerge.lookahead_on)
float contextBullFvgUpper = request.security(syminfo.tickerid, contextTimeframe, lastBullishFvgUpper(), lookahead = barmerge.lookahead_on)
float contextBearFvgLower = request.security(syminfo.tickerid, contextTimeframe, lastBearishFvgLower(), lookahead = barmerge.lookahead_on)
float contextBearFvgUpper = request.security(syminfo.tickerid, contextTimeframe, lastBearishFvgUpper(), lookahead = barmerge.lookahead_on)

bool bullishContext = contextClose > contextEma
bool bearishContext = contextClose < contextEma
bool bullishExpansion = bullishContext and contextClose > contextPreviousHigh
bool bearishExpansion = bearishContext and contextClose < contextPreviousLow
string contextPhase = bullishExpansion ? "Bull expansion" : bearishExpansion ? "Bear expansion" : contextClose >= contextOpen ? "Bull pullback" : "Bear pullback"

bool newSetupBar = ta.change(time(setupTimeframe)) != 0
float setupHigh = request.security(syminfo.tickerid, setupTimeframe, high[1], lookahead = barmerge.lookahead_on)
float setupLow = request.security(syminfo.tickerid, setupTimeframe, low[1], lookahead = barmerge.lookahead_on)
float setupClose = request.security(syminfo.tickerid, setupTimeframe, close[1], lookahead = barmerge.lookahead_on)
float setupPreviousClose = request.security(syminfo.tickerid, setupTimeframe, close[2], lookahead = barmerge.lookahead_on)
float setupSwingHigh = request.security(syminfo.tickerid, setupTimeframe, lastPivotHigh(setupPivotLength), lookahead = barmerge.lookahead_on)
float setupSwingLow = request.security(syminfo.tickerid, setupTimeframe, lastPivotLow(setupPivotLength), lookahead = barmerge.lookahead_on)
float setupBearishOpen = request.security(syminfo.tickerid, setupTimeframe, lastBearishDisplacementOpen(displacementAtrMultiple), lookahead = barmerge.lookahead_on)
float setupBullishOpen = request.security(syminfo.tickerid, setupTimeframe, lastBullishDisplacementOpen(displacementAtrMultiple), lookahead = barmerge.lookahead_on)
bool setupBullFvgFormed = request.security(syminfo.tickerid, setupTimeframe, low[1] > high[3], lookahead = barmerge.lookahead_on)
bool setupBearFvgFormed = request.security(syminfo.tickerid, setupTimeframe, high[1] < low[3], lookahead = barmerge.lookahead_on)
float newSetupBullFvgLower = request.security(syminfo.tickerid, setupTimeframe, high[3], lookahead = barmerge.lookahead_on)
float newSetupBullFvgUpper = request.security(syminfo.tickerid, setupTimeframe, low[1], lookahead = barmerge.lookahead_on)
float newSetupBearFvgLower = request.security(syminfo.tickerid, setupTimeframe, high[1], lookahead = barmerge.lookahead_on)
float newSetupBearFvgUpper = request.security(syminfo.tickerid, setupTimeframe, low[3], lookahead = barmerge.lookahead_on)

bool contextBullZoneTouched = setupLow <= contextBullFvgUpper and setupHigh >= contextBullFvgLower
bool contextBearZoneTouched = setupHigh >= contextBearFvgLower and setupLow <= contextBearFvgUpper
bool setupBullLiquiditySweep = setupLow < setupSwingLow and setupClose > setupSwingLow
bool setupBearLiquiditySweep = setupHigh > setupSwingHigh and setupClose < setupSwingHigh
bool setupBullMss = setupClose > setupSwingHigh and setupPreviousClose <= setupSwingHigh
bool setupBearMss = setupClose < setupSwingLow and setupPreviousClose >= setupSwingLow
bool setupBullCisd = setupClose > setupBearishOpen and setupPreviousClose <= setupBearishOpen
bool setupBearCisd = setupClose < setupBullishOpen and setupPreviousClose >= setupBullishOpen

var int setupDirection = 0
var int setupArmedBar = na
var int triggerDirection = 0
var int triggerConfirmedBar = na
var float confirmedSetupFvgLower = na
var float confirmedSetupFvgUpper = na
var bool triggerZoneTouched = false
var bool triggerLiquiditySwept = false
var float triggerSweepExtreme = na
var int tradesToday = 0
var float activeStop = na
var float activeTarget = na

bool setupTouchSweepLong = false
bool setupTouchSweepShort = false
bool setupConfirmedLong = false
bool setupConfirmedShort = false

if ta.change(time("D")) != 0
    tradesToday := 0

if not na(setupArmedBar) and bar_index - setupArmedBar > setupExpiryMinutes
    setupDirection := 0
    setupArmedBar := na

if not na(triggerConfirmedBar) and bar_index - triggerConfirmedBar > triggerExpiryMinutes
    triggerDirection := 0
    triggerConfirmedBar := na
    triggerZoneTouched := false
    triggerLiquiditySwept := false
    triggerSweepExtreme := na

if newSetupBar
    if bullishContext and contextBullZoneTouched and setupBullLiquiditySweep
        setupDirection := 1
        setupArmedBar := bar_index
        setupTouchSweepLong := true
    else if bearishContext and contextBearZoneTouched and setupBearLiquiditySweep
        setupDirection := -1
        setupArmedBar := bar_index
        setupTouchSweepShort := true

    if setupDirection == 1 and setupBullFvgFormed and (setupBullMss or setupBullCisd)
        triggerDirection := 1
        triggerConfirmedBar := bar_index
        confirmedSetupFvgLower := newSetupBullFvgLower
        confirmedSetupFvgUpper := newSetupBullFvgUpper
        triggerZoneTouched := false
        triggerLiquiditySwept := false
        triggerSweepExtreme := na
        setupDirection := 0
        setupArmedBar := na
        setupConfirmedLong := true
    else if setupDirection == -1 and setupBearFvgFormed and (setupBearMss or setupBearCisd)
        triggerDirection := -1
        triggerConfirmedBar := bar_index
        confirmedSetupFvgLower := newSetupBearFvgLower
        confirmedSetupFvgUpper := newSetupBearFvgUpper
        triggerZoneTouched := false
        triggerLiquiditySwept := false
        triggerSweepExtreme := na
        setupDirection := 0
        setupArmedBar := na
        setupConfirmedShort := true

float triggerAtr = ta.atr(atrLength)
float triggerHighPivotValue = ta.pivothigh(high, triggerPivotLength, triggerPivotLength)
float triggerLowPivotValue = ta.pivotlow(low, triggerPivotLength, triggerPivotLength)
float triggerPivotHigh = ta.valuewhen(not na(triggerHighPivotValue), triggerHighPivotValue, 0)
float triggerPivotLow = ta.valuewhen(not na(triggerLowPivotValue), triggerLowPivotValue, 0)
float triggerBody = math.abs(close - open)
float triggerBearishOpen = ta.valuewhen(close < open and triggerBody >= triggerAtr * displacementAtrMultiple, open, 0)
float triggerBullishOpen = ta.valuewhen(close > open and triggerBody >= triggerAtr * displacementAtrMultiple, open, 0)
bool triggerBullFvgFormed = low > high[2]
bool triggerBearFvgFormed = high < low[2]
bool triggerBullMss = ta.crossover(close, triggerPivotHigh)
bool triggerBearMss = ta.crossunder(close, triggerPivotLow)
bool triggerBullCisd = ta.crossover(close, triggerBearishOpen)
bool triggerBearCisd = ta.crossunder(close, triggerBullishOpen)

bool inTradingSession = not na(time(timeframe.period, tradingSession, sessionTimezone))
bool tradingSessionEnded = not inTradingSession and inTradingSession[1]
bool canTrade = barstate.isconfirmed and inTradingSession and tradesToday < maxTradesPerDay and strategy.position_size == 0
bool longSignal = false
bool shortSignal = false

if triggerDirection == 1
    if low <= confirmedSetupFvgUpper and high >= confirmedSetupFvgLower
        triggerZoneTouched := true
    if triggerZoneTouched and low < triggerPivotLow and close > triggerPivotLow
        triggerLiquiditySwept := true
        triggerSweepExtreme := na(triggerSweepExtreme) ? low : math.min(triggerSweepExtreme, low)
    longSignal := canTrade and enableLongs and triggerLiquiditySwept and triggerBullFvgFormed and (triggerBullMss or triggerBullCisd)
else if triggerDirection == -1
    if high >= confirmedSetupFvgLower and low <= confirmedSetupFvgUpper
        triggerZoneTouched := true
    if triggerZoneTouched and high > triggerPivotHigh and close < triggerPivotHigh
        triggerLiquiditySwept := true
        triggerSweepExtreme := na(triggerSweepExtreme) ? high : math.max(triggerSweepExtreme, high)
    shortSignal := canTrade and enableShorts and triggerLiquiditySwept and triggerBearFvgFormed and (triggerBearMss or triggerBearCisd)

positionSize(float stopDistance) =>
    float riskCapital = strategy.equity * riskPercent / 100
    float riskPerUnit = stopDistance * syminfo.pointvalue
    float rawQuantity = riskPerUnit > 0 ? riskCapital / riskPerUnit : 0
    math.floor(rawQuantity / quantityStep) * quantityStep

if longSignal
    float fallbackStop = close - triggerAtr * fallbackStopAtr
    activeStop := not na(triggerSweepExtreme) and triggerSweepExtreme < close ? triggerSweepExtreme : fallbackStop
    float stopDistance = math.max(close - activeStop, syminfo.mintick)
    activeTarget := setupSwingHigh > close ? setupSwingHigh : close + stopDistance * fallbackTargetR
    float orderQuantity = positionSize(stopDistance)
    if orderQuantity >= quantityStep
        strategy.entry("ICT Long", strategy.long, qty = orderQuantity, alert_message = "entry")
        strategy.exit("ICT Long Exit", from_entry = "ICT Long", stop = activeStop, limit = activeTarget, alert_message = "exit")
        tradesToday += 1
        triggerDirection := 0
        triggerConfirmedBar := na
        triggerZoneTouched := false
        triggerLiquiditySwept := false
        triggerSweepExtreme := na
else if shortSignal
    float fallbackStop = close + triggerAtr * fallbackStopAtr
    activeStop := not na(triggerSweepExtreme) and triggerSweepExtreme > close ? triggerSweepExtreme : fallbackStop
    float stopDistance = math.max(activeStop - close, syminfo.mintick)
    activeTarget := setupSwingLow < close ? setupSwingLow : close - stopDistance * fallbackTargetR
    float orderQuantity = positionSize(stopDistance)
    if orderQuantity >= quantityStep
        strategy.entry("ICT Short", strategy.short, qty = orderQuantity, alert_message = "entry")
        strategy.exit("ICT Short Exit", from_entry = "ICT Short", stop = activeStop, limit = activeTarget, alert_message = "exit")
        tradesToday += 1
        triggerDirection := 0
        triggerConfirmedBar := na
        triggerZoneTouched := false
        triggerLiquiditySwept := false
        triggerSweepExtreme := na

if flattenAtSessionEnd and tradingSessionEnded and strategy.position_size != 0
    strategy.close_all(comment = "Session close", alert_message = "exit")

if strategy.position_size == 0 and strategy.position_size[1] != 0
    activeStop := na
    activeTarget := na

if setupTouchSweepLong
    alert("PineFlow ICT: bullish 4H FVG touch and 15m sell-side sweep", alert.freq_once_per_bar_close)
if setupTouchSweepShort
    alert("PineFlow ICT: bearish 4H FVG touch and 15m buy-side sweep", alert.freq_once_per_bar_close)
if setupConfirmedLong
    alert("PineFlow ICT: bullish 15m FVG with MSS/CISD", alert.freq_once_per_bar_close)
if setupConfirmedShort
    alert("PineFlow ICT: bearish 15m FVG with MSS/CISD", alert.freq_once_per_bar_close)

contextBullLowerPlot = plot(showContextZones and bullishContext ? contextBullFvgLower : na, "4H bullish FVG lower", color = color.new(color.lime, 35), style = plot.style_linebr)
contextBullUpperPlot = plot(showContextZones and bullishContext ? contextBullFvgUpper : na, "4H bullish FVG upper", color = color.new(color.lime, 35), style = plot.style_linebr)
contextBearLowerPlot = plot(showContextZones and bearishContext ? contextBearFvgLower : na, "4H bearish FVG lower", color = color.new(color.red, 35), style = plot.style_linebr)
contextBearUpperPlot = plot(showContextZones and bearishContext ? contextBearFvgUpper : na, "4H bearish FVG upper", color = color.new(color.red, 35), style = plot.style_linebr)
fill(contextBullLowerPlot, contextBullUpperPlot, color.new(color.lime, 90), title = "4H bullish FVG")
fill(contextBearLowerPlot, contextBearUpperPlot, color.new(color.red, 90), title = "4H bearish FVG")

setupLowerPlot = plot(showSetupZone and triggerDirection != 0 ? confirmedSetupFvgLower : na, "15m confirmed FVG lower", color = color.new(color.aqua, 20), style = plot.style_linebr)
setupUpperPlot = plot(showSetupZone and triggerDirection != 0 ? confirmedSetupFvgUpper : na, "15m confirmed FVG upper", color = color.new(color.aqua, 20), style = plot.style_linebr)
fill(setupLowerPlot, setupUpperPlot, color.new(color.aqua, 88), title = "15m execution FVG")

plot(activeStop, "Active stop", color = color.red, style = plot.style_linebr)
plot(activeTarget, "Liquidity target", color = color.green, style = plot.style_linebr)
plotshape(setupTouchSweepLong, "15m long setup armed", shape.circle, location.belowbar, color.yellow, size = size.tiny)
plotshape(setupTouchSweepShort, "15m short setup armed", shape.circle, location.abovebar, color.yellow, size = size.tiny)
plotshape(setupConfirmedLong, "15m long confirmation", shape.diamond, location.belowbar, color.aqua, size = size.tiny)
plotshape(setupConfirmedShort, "15m short confirmation", shape.diamond, location.abovebar, color.aqua, size = size.tiny)
plotshape(longSignal, "ICT long entry", shape.triangleup, location.belowbar, color.lime, size = size.small)
plotshape(shortSignal, "ICT short entry", shape.triangledown, location.abovebar, color.red, size = size.small)

string setupState = setupDirection == 1 ? "15m bull armed" : setupDirection == -1 ? "15m bear armed" : "Waiting 4H touch"
string triggerState = triggerDirection == 1 ? "1m long watch" : triggerDirection == -1 ? "1m short watch" : "Waiting 15m confirm"
var table dashboard = table.new(position.top_right, 2, 6, border_width = 1)
if barstate.islast and showDashboard
    table.cell(dashboard, 0, 0, "PineFlow ICT", text_color = color.white, bgcolor = color.new(color.blue, 20))
    table.cell(dashboard, 1, 0, "v6", text_color = color.white, bgcolor = color.new(color.blue, 20))
    table.cell(dashboard, 0, 1, "4H phase")
    table.cell(dashboard, 1, 1, contextPhase)
    table.cell(dashboard, 0, 2, "Setup")
    table.cell(dashboard, 1, 2, setupState)
    table.cell(dashboard, 0, 3, "Trigger")
    table.cell(dashboard, 1, 3, triggerState)
    table.cell(dashboard, 0, 4, "Zone / sweep")
    table.cell(dashboard, 1, 4, str.tostring(triggerZoneTouched) + " / " + str.tostring(triggerLiquiditySwept))
    table.cell(dashboard, 0, 5, "Trades")
    table.cell(dashboard, 1, 5, str.tostring(tradesToday) + " / " + str.tostring(maxTradesPerDay))