Delta Snapshot

From: $9.99 / month

Identify price levels where institutional traders are entering the market


Delta  – the difference in volume between trades transacted at the ask price and trades transacted at the bid price – is one of the key considerations in analysing order flow. The Delta Snapshot indicator provides an easy-to-read indicator for use with Numbers Bars also incorporating information presented by the emoji trading Order Flow Suite indicators: Multiple Imbalances and Delta Divergence.

For each bar, the Delta Snapshot indicator presents a summary of the number selling and buying imbalances in the format: sell x buy. If the bar has positive Delta, this information is presented underneath the price bar. If the bar has negative Delta, this information is presented above the price bar. If a Delta Divergence condition is encountered, the information is presented as a buying or selling divergence and may be colored to highlight the divergence.

The Delta Sequence subgraph can be used to highlight situations when there is a sequence of rising or falling Delta values across consecutive bars. This can be indicative of a potential change in price direction or a weakening of the current trend. This can be used particularly effectively with the Sierra Chart 'Color Background Based On Alert Condition' study by directing this study to look for the the condition of Delta Snapshot Subgraph SG5<>0.

In order to display both the Delta Snapshot text display and Delta on the same chart, simply apply two instances of the Delta Snapshot indicator to the chart:

  • one instance applied to the same chart region as the main chart. Set the SG3 Draw Style to 'Text' ensuring that the Draw Style for SG1 and SG2 is set to 'Ignore'
  • another instance applied to a new chart region with SG3's Draw Style set to 'Ignore' and SG1's draw style set to e.g. 'Fill Rect To Zero'

Delta Snapshot may be licensed for Sierra Chart on a Lifetime, 1-month or 3-month basis, or as part of the complete Emoji Trading Order Flow Suite. Licences include all indicator updates and enhancements during the license period.

Input Name Description
Imbalance % The percentage level used for diagonal bid/ask volume imbalance calculations.
Bid/Ask Minimum Volume Compare Threshold Sets the minimum volume requirement for a Bid/Ask Imbalance
Enable Zero Diagonal Comparison? This input determines whether price levels where zero volume traded at the bid or ask (including the highest and lowest prices in within the bar) are evaluated for imbalance calculations.
Delta Sequence Allow Zero Cross? Specifies whether Delta sequential decline highlights a sequence of declines (Yes) or whether all Delta values must remain positive or negative (No).
Calculation Frequency Specifies whether the indicator is displayed in Real Time or At Bar Close. Use when applying the Delta Snapshot Text Display if you do not want the current bar to have a changing display of the Delta Snapshot indicator.
Signal Divergence at: Specifies whether Delta Divergence conditions are signalled only at the Daily High/Low or at the highest high/lowest low over the previous n bars specified by the Lookback Period input. Note! Signals at the Daily High/Low are only indicated for the current day when connected to a data feed or running a replay.
Lookback Period The number of bars back over which a recent high/low is considered.
Delta Specifies whether a Delta Divergence condition is indicated when Delta is opposing price, i.e. negative Delta at a high, positive Delta at a low, or weaker than previously, i.e. lower Delta at the current bar than at the previous high bar and higher Delta at the current bar than at the previous low bar.
Require Price Reversal? Specifies whether a high bar needs to close lower than it opened or a low bar needs to close higher than it opened in order for a Delta Divergence to be indicated.
Snapshot Display Offset (Ticks) Specifies the indicator’s display position above/below the current bar.

ID Subgraph Description
SG1 Delta The Delta value for each bar. Using this subgraph with a Fill Rect to Zero Draw Style and Auto-Colouring Based on +/- enables a simple and clear presentation of Delta in another graph region as per the example above.
SG2 Delta +/- Evaluates to 1 for positive Delta, -1 for negative Delta, 0 otherwise
SG3 Delta Snapshot Set this subgraph’s Draw Style to Text to enable the Delta Snapshot indicator (including sell x buy imbalance quantities) to appear above/below price bars.
SG4 Delta Divergence Snapshot Select the color used to highlight Delta Divergence conditions within the Delta Snapshot subgraph.
SG5 Delta Sequence Set the color and Draw Style desired to highlight sequential decline (for positive Delta) and sequential increase (for negative Delta) across consecutive bars. Suggested Draw Styles are ‘Fill Rect To Zero’ or ‘Arrow Right’