Delta is a key concept in order flow trading. It represents the difference in the amount of aggressive buying and selling. Delta Surge highlights when there is a strong change in Delta highlighting the arrival of strong supply (sellers) or demand (buyers) into the market.
Consider four bars, A-B-C-D with D being the latest bar.
Delta Surge highlights:
- Supply when Bar A’s delta is positive and the delta of the following three bars is negative.
- Demand when Bar A’s delta is negative and the delta of the following three bars is positive.
…and considers the difference in delta between Bars B & C and Bars C & D.
Using the indicator’s default values, we are looking for a condition where Demand turns to Supply (or vice-versa) and we have a surge in activity following this change. This can indicate a sign of seller capitulation at lows followed by aggressive buying, or buyer exhaustion at highs followed by aggressive and panic selling.
Indicator Settings & Outputs Reference
Bar B Minimum Volume
Specify the minimum volume that must appear in each of bars A & B in order for a Delta Surge condition to be evaluated.
Bar C Delta Difference %
Specify the minimum difference in delta between Bars B & C and Bars C & D in order for a Delta Surge condition to be evaluated.
The number of ticks away from the bar high/low that the Supply/Demand indicator Output Signals are drawn.
This indicator provides:
• Output Signals