Footprint Delta Divergence

The Footprint Delta Divergence indicator is a specialized order flow tool designed to automatically identify discrepancies between price action and market delta to signal potential trend reversals or continuations. By analyzing the net difference between aggressive buyers and sellers, this script highlights moments where price extremes are not supported by underlying volume pressure, providing a systematic approach to footprint chart analysis.

Usage

The tool can be used to identify four distinct types of order flow divergences:

• Bullish Divergence: Occurs when price reaches a lower low but delta shows a higher low, suggesting selling pressure is exhausted.
• Bearish Divergence: Occurs when price reaches a higher high but delta shows a lower high, indicating fading buying momentum.
• Hidden Bullish Divergence: Identified when price makes a higher low while delta makes a lower low, often used as a trend continuation signal.
• Hidden Bearish Divergence: Identified when price makes a lower high while delta makes a higher high, suggesting the downtrend remains intact.

Users should look for these signals near key structural levels like Support/Resistance, Point of Control (POC), or VWAP for higher probability setups. The visual output includes labels, trend lines connecting pivots, and bar coloring for immediate identification.

Details

The indicator utilizes a pivot-based detection engine that scans for local highs and lows on both the price series and the selected delta calculation simultaneously. When a new pivot is formed, it is compared against the previous pivot of the same type within a user-defined lookback window.

To ensure the signals are meaningful, the script includes a delta change threshold and a volume filter. These filters help eliminate "noise" caused by low-liquidity market movements. The script also provides an informational panel showing real-time metrics such as current Delta, Cumulative Delta, and the Volume/MA ratio.

Settings

Delta Calculation

• Delta 数据源 (Delta Source): Choose between "Volume Delta (Tick)" (best for CME data), "Volume Delta (Estimated)" (weighted approximation), or "OBV" (classic On-Balance Volume).
• Delta 平滑周期 (Smoothing): Sets the SMA length applied to the raw delta values.

Pivot Detection

• Pivot Lookback: Determines the number of bars used to identify a local swing high or low.
• 背离最大间隔 (Max Bars): Limits the maximum number of bars allowed between two pivots for a divergence to be valid.

Filters

• 最小Delta变化% (Min Delta %): The minimum percentage difference required between two delta pivots to trigger a signal.
• 成交量过滤 (Volume Filter): When enabled, divergences only trigger if the bar's volume is above a specific multiple of its moving average.

Visuals

• Show Signals: Toggle visibility for Bullish, Bearish, and Hidden divergences.
• Show Delta Panel: Enables or disables the real-time information table on the chart.

FAQ

How do I access Footprint Delta Divergence?

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

Which Delta source should I use?

If you have access to high-quality tick data (like CME futures), use "Volume Delta (Tick)". For standard forex or equity feeds, "Volume Delta (Estimated)" provides a reliable approximation.

Why are some divergences not showing labels?

Ensure that the "Minimum Delta Change %" and "Volume Filter" settings are not too restrictive for the current symbol's volatility.