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Delta Surge

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 A Minimum Volume
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 %
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.

Indicator Offset (Ticks)

The number of ticks away from the bar high/low that the Supply/Demand indicator Output Signals are drawn.

Outputs

This indicator provides:

Output Signals

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