MOTIVATION: Increasing efforts are being made in the field of machine learning to advance the learning of robust and accurate models from experimentally measured data and enable more efficient drug discovery processes. The prediction of binding affinity is one of the most frequent tasks of compound bioactivity modelling. Learned models for binding affinity prediction are assessed by their average performance on unseen samples, but point predictions are typically not provided with a rigorous confidence assessment. Approaches, such as the conformal predictor framework equip conventional models with a more rigorous assessment of confidence for individual point predictions. In this article, we extend the inductive conformal prediction framework for interaction data, in particular the compound-target binding affinity prediction task. The new framework is based on dynamically defined calibration sets that are specific for each testing pair and provides prediction assessment in the context of calibration pairs from its compound-target neighbourhood, enabling improved estimates based on the local properties of the prediction model. RESULTS: The effectiveness of the approach is benchmarked on several publicly available datasets and tested in realistic use-case scenarios with increasing levels of difficulty on a complex compound-target binding affinity space. We demonstrate that in such scenarios, novel approach combining applicability domain paradigm with conformal prediction framework, produces superior confidence assessment with valid and more informative prediction regions compared to other 'state-of-the-art' conformal prediction approaches. AVAILABILITY AND IMPLEMENTATION: Dataset and the code are available on GitHub (https://github.com/mlkr-rbi/dAD).