Delta Volume

The Delta Volume indicator provides a detailed breakdown of buying versus selling volume by utilizing intraday data from lower timeframes. This tool allows traders to identify the net order flow within a single candle, offering a more granular perspective on market conviction and potential trend reversals.

Usage

The Usage section highlights how traders can interpret the relationship between volume and price action. By default, the script displays Delta Volume as columns, where green indicates a surplus of buying volume and red indicates a surplus of selling volume.

• Trend Identification: Users can enable the "Smooth Delta Volume" to view a moving average of the net volume. This helps filter out market noise and identify the prevailing momentum.
• Relative Strength: The "Show as Percentage" option scales the delta relative to the total candle volume, making it easier to spot extreme imbalances regardless of absolute volume levels.
• Timeframe Selection: The tool is designed for charts starting from 5 minutes and higher. For higher timeframes like Daily or Weekly, users should adjust the lower timeframe setting to ensure sufficient data history is available.

Details

This script leverages the request.security_lower_tf() function to access granular data within higher timeframe bars. It iterates through lower timeframe candles (e.g., 1-minute data within a 4-hour bar), categorizing volume based on the direction of each sub-candle. By subtracting the total selling volume from the total buying volume of these sub-intervals, the script calculates a true delta that standard volume bars cannot provide.

Settings

Main Settings

• Lower TimeFrame: Sets the resolution used for the delta calculation (options range from 1 to 30 minutes).
• Show: Determines the visual output on the chart (Only Delta Volume, Only Smooth Delta Volume, or Both).
• MA Length: Adjusts the period for the Weighted Moving Average (WMA) used to calculate the Smooth Delta Volume.
• Show as Percentage: When enabled, converts the absolute delta values into a percentage of the total bar volume.

FAQ

Does the indicator repaint?

No, the indicator calculates values based on closed lower timeframe data or real-time streaming data, ensuring that historical values remain fixed once the bar closes.

Why does the indicator not show any data on my chart?

The indicator requires a data feed with volume and must be used on a timeframe higher than the selected "Lower TimeFrame" in the settings. If the gap between the chart timeframe and calculation timeframe is too large, you may need to increase the "Lower TimeFrame" setting to avoid history limits.

How do I access Delta Volume?

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