4 February, 2017

Delta Surge

Rationale & Trading Techniques

 

Delta is one of the key concepts in order flow trading and represents the difference between the volume traded on the ask minus the volume traded on the bid for a particular price bar. If more volume traded on the ask than the bid, we have positive Delta and this usually indicates buyers are in control. The opposite applies for negative Delta. Delta Surge highlights when there is a strong increase in either positive or negative Delta highlighting arrival of strong buyers or sellers into the market.

 

Delta Surge considers the current bar and preceding three bars. If the most recent three bars have Delta that is opposite to the furthest bar, we have the potential for a Delta Surge condition and the trader can select the filters for the increase in Delta across the most recent three bars to refine the ‘surge’.


Examples

It is important to consider the context of the market when trading using Order Flow. Here we see a strong push down into the daily low. This is a typical capitulation of sellers prior to a turnaround:

Delta Surge sell turnaround - Emoji Trading Order Flow Suite

 

Following a rebound from the daily low, Delta Surge here indicates the arrival of buying confirming the continuation of rising prices:

Delta Surge intermediate uptrend 2 - Emoji Trading Order Flow Suite

 

Delta Surge Settings


Input Name Description
Symbol Offset (Ticks) Specifies the indicator’s display position above/below the current bar.
Bar A Minimum Volume The minimum volume filter for the bar furthest away from the current price bar (Bar D).
Bar B Minimum Volume The minimum volume filter for the bar with opposing Delta to Bar A.
Bar C Minimum Delta Difference % The percentage increase from the previous bar to Bar B necessary for a Delta Surge condition to be indicated.
Bar C Minimum Volume The minimum volume filter for the previous bar to the current price bar (Bar D).
Bar D Minimum Delta Difference % The percentage increase from the previous bar to the current price Bar necessary for a Delta Surge condition to be indicated.
Bar D Minimum Volume The minimum volume filter for the current price bar.

Indicator Subgraphs

Subgraph ID Subgraph Description
SG1 Delta Surge Buy/Sell Condition Evaluates to 1 when a buying Delta Surge condition occurs, -1 when a selling Delta Surge condition occurs, 0 otherwise.
SG2 Delta Surge Indicator Use to set the Draw Style parameters for the Delta Surge indicator.