LOTS: Zone Interception Engine

A high-performance institutional confluence tracker using dynamic array-based price segmentation to identify and track overlapping order blocks in real-time.

Overview
The Liquidity & Overlap Tracking System (LOTS) is an advanced order flow diagnostic tool built for Pine Script v6. Unlike conventional supply and demand indicators that rely on static pivot points, LOTS utilizes a proprietary Dual-Rule Validation process to identify displacement zones and a high-performance Interception Engine to find price-level confluence.

The Methodology
To ensure high-signal accuracy, the script tracks price action through two distinct algorithmic rules:

• Rule 1: Displacement Identification – Detects immediate institutional "footprints" where price displacement creates a clear imbalance.
  
• Rule 2: Expansion & Liquidity Tracking – A rolling-window logic that monitors price expansion and updates the zone boundaries dynamically until a counter-displacement occurs.
  

Key Innovation: The Interception Engine
The primary utility of this script—and what differentiates it from open-source alternatives—is its Intra-Side Interception Algorithm.

• Array-Based Processing: The script maintains real-time arrays of active zones.
  
• Mathematical Set Intersection: For every new bar, the engine performs a cross-calculation between all active zones of the same side (Buy+Buy or Sell+Sell).
  
• Confluence Mapping: When two or more zones occupy the same price range, the script calculates the exact Intersection Set and renders a "Confluence Zone." This highlights "stacked" institutional orders where multiple order flow signals align, providing a much higher probability of a price reaction.
  

Technical Features & Optimization

• Dynamic Pruning: To maintain chart clarity and performance, zones are automatically removed from the calculation array once price action mitigates the zone (closes beyond the extremity).
  
• V6 Performance: Optimized for the latest Pine Script engine to handle complex nested loops efficiently, even with a high Calculation Depth.
  
• Visual Clarity: Includes an "Only Confluence" mode which filters out single zones to display only the high-density interception areas.
  

How to Use

• Gray/Red Zones: Primary displacement zones (potential supply/demand).
  
• High-Opacity Overlaps: These are the Interceptions. Look for these areas as high-probability reversal or continuation points where institutional liquidity is most concentrated.