Delta Volume v2.1

The Delta Volume v2.1 indicator calculates and visualizes the net difference between buying and selling volume across specified time fragments to provide insights into market sentiment and pressure.

Usage

The Usage section focuses on identifying the balance of power between buyers and sellers. Traders can use this tool to spot volume-based exhaustion or trend continuation.

• Delta Line: The main line represents the net volume (Buy Volume + Sell Volume). When the line is above zero, it indicates a bullish delta (buying pressure), and when below zero, it indicates a bearish delta (selling pressure).
• Volume Columns: The indicator plots background columns for total volume, buy volume (positive values), and sell volume (negative values). This allows for a quick visual comparison of how much of the total volume is attributed to each side.
• Crossovers: A crossover of the Delta line above or below the zero level can signal a shift in market momentum.

Details

The script operates by fragmenting higher-timeframe volume into smaller user-defined intervals (minutes). It classifies volume as "buy" if the close is greater than the open and "sell" if the close is less than the open. For flat bars, the volume is split equally.

It is important to note that this indicator is not real-time; calculations are performed after a bar has closed. It utilizes request.security with lookahead_on to aggregate historical fragment data, which results in the plots being offset by one bar to maintain historical accuracy.

Settings

• Fragment Size (minutes): Determines the sub-interval used to calculate the buy and sell volume components. For example, setting this to 5 on a higher timeframe will aggregate volume based on 5-minute price action chunks.

FAQ

How do I interpret the Delta line?

The Delta line shows the net buying or selling pressure. A positive value means buyers are more aggressive, while a negative value means sellers are more aggressive.

Why is the indicator offset by one bar?

The indicator is calculated only after a bar is closed to ensure data consistency across the fragments used in the calculation.

How can I access Delta Volume v2.1?

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