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Delta Scalper Pro

In order flow analysis, Aggression is often identified by considering imbalances between the quantity of market orders hitting the bid vs. lifting the offer. A limitation to this approach comes from how we arbitrarily decide what is aggressive. 3x more volume? 4x more volume? 

Delta Scalper takes a broader view by enabling bar-to-bar comparisons of bar Delta – net aggressive buying or selling activity. In real time it tracks the total net buying or selling and compares this to the prior bar. If the change in delta between bars exceeds a specified level, the range of prices through which this change occurred, i.e. where did significant supply or demand arrive, is established. This range of prices can be visualized and tracked using any EmojiZone visualization mode so that you can see whether the level is defended when it is revisited.

We can consider the Supply/Demand Event and the corresponding EmojiZone price levels as identifying:

…over what range of prices did strong demand (or supply) enter the market?

Indicator Settings & Outputs Reference

Inter-Bar Delta Change %

The percentage change in Delta between the current and previous bar that is necessary to trigger the Delta Scalper Supply/Demand Event and start tracking the price range through which it holds

Minimum Bar Volume

The minimum total volume that must be present in the bar for a Delta Scalper condition to be identified, e.g. at least 2000 contracts must trade as market orders. This is total volume – it does not matter on which side of the market this volume trades.

Minimum Bar Delta

The minimum difference between buying and selling that must be present in the bar for a Delta Scalper condition to be identified, e.g. at least 300 more contracts must be aggressively sold than bought.

Advanced Lookback Filter Settings

You can filter Delta Scalper events using price and time using the emoji Advanced Lookback Filter.

Indicator Offset (Ticks)

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


This indicator provides:

Output Signals
EmojiZone Data

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