Volume Delta Compare [Ticks ~ LTF data]

The Volume Delta Compare [Ticks ~ LTF data] indicator provides in-depth analysis of volume dynamics using two distinct methodologies: real-time Tick data and historical Lower-Time-Frame (LTF) data.

Usage

The script is designed to identify divergences between price movement and volume flow, helping traders understand the "why" and "when" behind volume delta developments.

• Divergence Detection: Compare the directional movement of price against the volume delta to spot potential exhaustion or absorption.
• Intra-bar Details: View the composition of every bar through up, down, and neutral volume components.
• Cumulative Delta Analysis: Toggle the Cumulative Delta Volume (CVD) mode to see the running sum of volume delta across the chart, useful for identifying long-term shifts in market control.
• Visual Interpretation:
  • Green Columns: Up volume (price rise).
  • Orange Columns: Down volume (price fall).
  • Blue Pillars: Neutral volume (no price change).
  • Step Line: Represents the net Delta Volume (ΔV), color-coded based on the relationship between price action and volume delta.

Details

This tool implements two different calculation methods to suit different trading needs:

• Tick Data: Utilizes varip to capture volume changes on every price update (ticks). This offers maximum precision and detail but is limited to real-time execution and may reset if chart settings are modified.
• LTF Data: Uses request.security_lower_tf() to fetch data from smaller timeframes (e.g., 1-second or 1-minute). This provides access to historical data upon loading the chart but is inherently less granular than tick-by-tick monitoring.

The indicator categorizes volume into three buckets: Up (uV), Down (dV), and Neutral (nV). From these, it derives the Volume Delta (ΔV = uV - dV) and the Cumulative Volume Delta (CVD).

Settings

• Data Source: Choose between "Ticks" for real-time precision or "LTF" for historical availability.
• LTF Resolution: Select the lower timeframe used for calculations (1S, 5S, 10S, 15S, 30S, or 1m).
• Start Conditions: Option to begin calculations only on a new bar or include data from the current active bar.
• CVD Mode: Enable to transform the output into a Cumulative Volume Delta display.
• Colors: Customize the colors for Up, Down, and Neutral volume components.
• Label Settings: Toggle the visibility of detailed statistics, total volume, and price delta, and adjust the label size.
• 0-line Adjustment: Adjust the vertical offset of the labels to prevent them from being cut off at the bottom of the pane.

FAQ

How can I see historical delta data?

To see historical data, set the "Data from" setting to "LTF". This will use lower timeframe data to reconstruct volume delta for previous bars.

Why does the Tick data label say "Too much data"?

TradingView has a character limit for labels. Because the Tick mode captures every single price update, a highly active bar can exceed this limit. The aggregate sums will continue to update even if the individual tick log stops.

How do I access this tool?

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