16 July, 2016

Delta Snapshot

Rationale & Trading Techniques

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.

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’

Examples

A simple Delta display (subgraph 1) in graph region 2:

Delta Snapshot region 2 - Emoji Trading Order Flow Suite

 

The same chart with the Delta Snapshot indicator (subgraph 3) displaying sell imbalance x buy imbalance quantities and highlighting a Delta Divergence condition.

Delta Snapshot region 1 with delta divergence - Emoji Trading Order Flow Suite

 

 


Delta Snapshot Settings


Input Name Description
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.
Imbalance % The percentage level used for diagonal bid/ask volume imbalance calculations.
Snapshot Display Offset (Ticks) Specifies the indicator’s display position above/below the current bar.
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.

 


Indicator Subgraphs

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’