Volume has to be the most underrated market variable used in technical analysis. But if you know how to analyze and interpret it, you’ll be able to see market turning points develop and anticipate pullbacks and trend changes.

You can figure out whether the Professionals are buying or selling by analyzing:

• Volume transacted at the bid or the ask
• High to low range of the bar, and
• Average trade size.

The best bar chart indicator applies directly to the price window. If you prefer traditional candlesticks, simply change the name “DRAWBARCHART” in the code to “DRAWCANDLE”.

1. Volume Climax Up – high volume, high range, up bars (red)
2. Volume Climax Down – high volume, high range, down bars (white)
3. High Volume Churn – high volume, low range bars (green, PaintBar blue)
4. Low Volume – low volume bars (yellow)
5. Volume Climax plus High Volume Churn – both the above conditions (magenta)

Source :

• original code and credits from (description taken from http://emini-watch.com/free-stuff/volume-indicator/)
• https://www.prorealcode.com/prorealtime-indicators/better-volume/

  // Better Volume Indicator for BarChart
  // Original idea by emini-watch.com
  
  // Better Volume Indicator - Summary
  // ClimaxUp (Red) : Top, Start Up Trend, Down Trend Continue
  // ClimaxDown (White): Bottom, Up Trend Continue, Start Down Trend
  // LowVolume (Yellow): Bottom, Top, Up Trend Continue
  // Churn (Green): Bottom, Top, Down Trend Continue
  // ClimaxChurn (Magenta): Top, Down Trend Continue
  
  // Parameter: History = Boolean
  // Parameter: Use2Bars = Boolean
  // Parameter: Lookback = 20(Default)
  
  Lookback = 20
  
  ONCE Condition1  = 0
  ONCE Condition2  = 0
  ONCE Condition3  = 0
  ONCE Condition4  = 0
  ONCE Condition5  = 0
  ONCE Condition6  = 0
  ONCE Condition7  = 0
  ONCE Condition8  = 0
  ONCE Condition9  = 0
  ONCE Condition10 = 0
  ONCE Condition11 = 0
  ONCE Condition12 = 0
  ONCE Condition13 = 0
  ONCE Condition14 = 0
  ONCE Condition15 = 0
  ONCE Condition16 = 0
  ONCE Condition17 = 0
  ONCE Condition18 = 0
  ONCE Condition19 = 0
  ONCE Condition20 = 0
  
  VolValue         = Volume
  LowVolValue      = VolValue
  ClimaxUpValue    = VolValue
  ClimaxDownValue  = VolValue
  ChurnValue       = VolValue
  ClimaxChurnValue = VolValue
  //StopVolValue     = VolValue
  //TrampolineValue  = VolValue
  
  //AVVolume = Average[Lookback*2](VolValue)//Average[Lookback*2](VolValue)
  
  IF 0 = 0 THEN
  BI = 400
  ELSIF 1 = 1 THEN
  BI = Lookback //BI=Lookback
  ENDIF
  
  IF BARINDEX > BI AND Volume <> 0 THEN
          
  IF Close > Open THEN
  Value1 = Volume * (Range / (2 * Range + Open - Close))
  ELSIF Close < Open THEN
  Value1= Volume * ((Range + Close - Open) / (2 * Range + Close - Open))
  ENDIF
  IF Close = Open THEN
  Value1 = 0.5 * Volume
  ENDIF
  Value2 = Volume  - Value1
      
  Value3 = Value1 + Value2
  Value4 = Value1 * Range
  Value5 = (Value1 - Value2) * Range
  Value6 = Value2 * Range
  Value7 = (Value2 - Value1) * Range
  IF Range <> 0 THEN
  Value8 = Value1 / Range
  Value9 = (Value1 - Value2) / Range
  Value10 = Value2 / Range
  Value11 = (Value2 - Value1) / Range
  Value12 = Value3 / Range
  ENDIF
      
  Value13 =  Value3  + Value3[1]
  Value14 = (Value1 + Value1[1]) * (Highest[2](High)    - Lowest[2](Low))
  Value15 = (Value1 + Value1[1]  -  Value2 - Value2[1]) * (Highest[2](High) - Lowest[2](Low))
  Value16 = (Value2 + Value2[1]) * (Highest[2](High)    - Lowest[2](Low))
  Value17 = (Value2 + Value2[1]  -  Value1 - Value1[1]) * (Highest[2](High) - Lowest[2](Low))
  IF Highest[2](High) <> Lowest[2](Low) THEN
  Value18 = (Value1 + Value1[1]) / (Highest[2](High) - Lowest[2](Low))
  ENDIF
  Value19 = (Value1 + Value1[1]  - Value2 - Value2[1]) / (Highest[2](High) - Lowest[2](Low))
  Value20 = (Value2 + Value2[1]) / (Highest[2](High)   - Lowest[2](Low))
  Value21 = (Value2 + Value2[1]  - Value1 - Value1[1]) / (Highest[2](High) - Lowest[2](Low))
  Value22 =  Value13 / (Highest[2](High) - Lowest[2](Low))
      
  IF 0 = 0 THEN
  Condition1  = Value3  = Lowest [Lookback](Value3)
  Condition2  = Value4  = Highest[Lookback](Value4)  AND Close > Open
  Condition3  = Value5  = Highest[Lookback](Value5)  AND Close > Open
  Condition4  = Value6  = Highest[Lookback](Value6)  AND Close < Open
  Condition5  = Value7  = Highest[Lookback](Value7)  AND Close < Open
  Condition6  = Value8  = Lowest [Lookback](Value8)  AND Close < Open
  Condition7  = Value9  = Lowest [Lookback](Value9)  AND Close < Open
  Condition8  = Value10 = Lowest [Lookback](Value10) AND Close > Open
  Condition9  = Value11 = Lowest [Lookback](Value11) AND Close > Open
  Condition10 = Value12 = Highest[Lookback](Value12)
  ELSIF 1 = 1 THEN
  Condition11 = Value13 = Lowest [Lookback](Value13)
  Condition12 = Value14 = Highest[Lookback](Value14) AND Close > Open AND Close[1] > Open[1]
  Condition13 = Value15 = Highest[Lookback](Value15) AND Close > Open AND Close[1] > Open[1]
  Condition14 = Value16 = Highest[Lookback](Value16) AND Close < Open AND Close[1] < Open[1]
  Condition15 = Value17 = Highest[Lookback](Value17) AND Close < Open AND Close[1] < Open[1]
  Condition16 = Value18 = Lowest [Lookback](Value18) AND Close < Open AND Close[1] < Open[1]
  Condition17 = Value19 = Lowest [Lookback](Value19) AND Close < Open AND Close[1] < Open[1]
  Condition18 = Value20 = Lowest [Lookback](Value20) AND Close > Open AND Close[1] > Open[1]
  Condition19 = Value21 = Lowest [Lookback](Value21) AND Close > Open AND Close[1] > Open[1]
  Condition20 = Value22 = Highest[Lookback](Value22)
  ENDIF
      
  // *********************************************************************************************
      
  // Yellow BarChart
  IF (Condition1 or Condition11) THEN
  LowVol = LowVolValue
  DRAWBARCHART(Open,High,Low,Close) COLOURED (255,255,0)
  ELSE
  LowVol = 0
  ENDIF
      
  // Red Barchart
  IF (Condition2 or Condition3 or Condition8 or Condition9 or Condition12 or Condition13 or Condition18 or Condition19) THEN
  ClimaxUp = ClimaxUpValue
  DRAWBARCHART(Open,High,Low,Close)COLOURED (255,0,0)
  IF LowVol <> 0 THEN
  ClimaxUp = ClimaxUpValue / 2
  ENDIF
  ELSE
  ClimaxUp = 0
  ENDIF
      
  // White Barchart
  IF (Condition4 or Condition5 or Condition6 or Condition7 or Condition14 or Condition15 or Condition16 or Condition17) THEN
  ClimaxDown = ClimaxDownValue
  DRAWBARCHART(Open,High,Low,Close)COLOURED (255,255,255)
  IF LowVol <> 0 OR ClimaxUp <> 0 THEN
  ClimaxDown = ClimaxDownValue
  ENDIF
  ELSE
  ClimaxDown = 0
  ENDIF
      
  // Green BarChart
  IF (Condition10 or Condition20) THEN
  Churn = ChurnValue
  DRAWBARCHART(Open,High,Low,Close)COLOURED (0,128,0)
  IF LowVol <> 0 OR ClimaxUp <> 0 OR ClimaxDown <> 0 THEN
  Churn = ChurnValue / 2
  ENDIF
  ELSE
  Churn = 0
  ENDIF
      
  //IF (Condition10 or Condition20) AND (Condition2 or Condition3 or Condition4 or Condition5 or Condition6 or Condition7 or Condition8 or Condition9 or Condition12 or Condition13 or Condition14 or Condition15 or Condition16 or Condition17 or Condition18 or Condition19) THEN
  
  // Magenta BarChart
  IF Churn <> 0 AND (ClimaxUp <> 0 OR ClimaxDown <> 0) THEN
  ClimaxChurn = ClimaxChurnValue
  DRAWBARCHART(Open,High,Low,Close)COLOURED (255,0,255)
  ELSE
  ClimaxChurn = 0
  ENDIF
      
  //StopVolume Orangered BarChart
  LocalClosingPosition = 1 - (High - Close) / (High - Low)
  IF Volume > Volume[1] AND Range < Range[1] AND ((High > High[1] AND LocalClosingPosition < 0.4) OR (Low < Low[1] AND LocalClosingPosition > 0.6)) THEN
  //StopVol = StopVolValue    * 1 / 3     // HigherVolume & LowerRange @ HigherHigh or LowerLow - DBlue
  DRAWBARCHART(Open,High,Low,Close)COLOURED (255,69,0)
  ELSE
  //StopVol = 0
  ENDIF
      
  //Trampoline Blue BarChart
  FOR i = 1 TO 2        // Close together
  IF ((ClimaxChurn[i] > 0 OR ClimaxUp[i] > 0) AND (ClimaxChurn > 0 OR ClimaxUp > 0)) AND ((Close[i] > Open[i] AND Close < Open) OR (Close[i] < Open[i] AND Close > Open)) THEN
  //Trampoline = TrampolineValue * 1 / 4
  BREAK
  DRAWBARCHART(Open,High,Low,Close)COLOURED (0,0,255)
  ELSE
  //Trampoline = 0
  ENDIF
  NEXT
      
  ENDIF
  
  RETURN
  

Thanks to Nicolas for this site.