Tick Delta Volume

The Tick Delta Volume indicator provides real-time visualization of intrabar volume and price changes, helping traders identify significant tick-level activity as it occurs. This tool processes live market data to calculate deltas in volume, price, or a combination of both, offering immediate insights into market momentum that standard candle-based volume may miss.

Usage

The tool is designed for use on live updating bars. It displays a histogram representing the most recent ticks, allowing users to spot anomalies or spikes in activity.

• Real-time Monitoring: The histogram updates dynamically with every tick, showing the immediate delta (change) based on the selected mode.
• Mean and Standard Deviation: The indicator plots horizontal reference lines representing the average and standard deviation of historical live candle data. This helps in identifying whether the current tick activity is statistically significant (a "spike").
• Visual Histogram: Users can observe the last several tick changes as individual bars, providing a granular view of how volume or price is entering the market during the current bar's formation.

Details

This script operates using varip variables, meaning it tracks data changes within a single bar's lifecycle (intrabar). It calculates the difference between the current tick's volume/price and the previous tick's volume/price.

The indicator maintains a memory of historical "live" candles processed during the current session to establish reference means and standard deviations. Because it relies on real-time tick updates, the script's accuracy and reference data improve the longer the chart remains open and active.

Settings

Configuration

• Mode: Determines the data type displayed in the histogram:
  • Δ volume: Shows the change in volume per tick.
  • Δ price: Shows the change in price per tick.
  • Δ price * Δ volume: Shows a combined metric of price movement weighted by volume.
• Nº of lines: Sets the number of historical tick delta bars to display in the histogram.

Histogram Style

• Histogram Bars: Customizes the colors for positive and negative delta bars.
• Width: Adjusts the visual thickness of the histogram bars.
• Histogram Mean Lines: Configures the color and width for the mean and standard deviation reference lines.

FAQ

How do I use this indicator on historical data? Because this tool relies on live tick-by-tick updates to calculate deltas, it only functions accurately on live updating bars. It cannot retrospectively calculate intrabar tick deltas for historical bars where only OHLCV data is available.

What do the horizontal lines represent? The solid horizontal line represents the average delta processed from previous live candles. The dashed or secondary lines represent the standard deviation, helping you identify when a tick delta is exceptionally high or low.

How can I access Tick Delta Volume? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.