Delta Buy/Sell

The Delta Buy/Sell indicator tracks the difference between what is considered buying volume and selling volume over a specific time frame corresponding to the resolution of the underlying chart. In other words, if the underlying chart has a 1-Minute resolution, the difference (delta) will be calculated as the difference between ASK quantities minus BID quantities accumulated over each single minute.

It is an oscillator that oscillates around zero. A positive indicator value will highlight a majority of buyers. Conversely, a negative value will highlight a majority of sellers.

To calculate Delta Buy/Sell, 1-tick data is required. If your data feed does not provide historical 1-tick data, the indicator will be calculated only based on real-time data. Therefore, you will not see the historical part of the indicator.

Delta Buy/Sell – CUMULATIVE #

The value of the cumulative Delta Buy/Sell indicator is the difference between the bought (ASK) and sold (BID) volumes accumulated up to that point. The indicator is calculated at the session level and reset at the beginning of each session. It can also be calculated only during a specific time interval within the session.

Calculation Properties #

Delta Buy/Sell has essentially 3 important calculation properties:

Calculation Method:

2 options available:

  • Bid/Ask: (recommended) the quantity of each trade is attributed to Bid or Ask based on the trade execution price.
  • Tick Direction: the quantity of each trade is attributed to Bid or Ask based on the direction of the current trade price compared to the previous trade price. Specifically, if the current price is higher than the previous price, the quantity is attributed to ASK; if lower, to BID; if equal, it is attributed to Bid or Ask based on the attribution of the previous trade.

The Bid/Ask calculation method is clearly the best of the two. Unfortunately, some data feeds do not provide information on where the trade price was executed (Bid or Ask). In real-time, this problem is solved by Overcharts using the Bid/Ask data flow, but for historical data, the problem is NOT solvable. In these cases, the indicator will be calculated only using real-time data and will start when you connect to the data feed. The historical part will thus be absent. If your data feed has this limitation, it is recommended to use the Tick Direction calculation method.

Calculate Using…:

  • Volume: (recommended) the actual trade volume is used.
  • Tick Count: the calculation is done using the number of trades executed. In this type of calculation, each trade has the same weight regardless of the executed quantity.

Point / Percent:

Defines the indicator’s calculation formula:

  • Percent: (ASK – BID) / Volume
    (where Volume = ASK + BID)
  • Point: (ASK – BID)
    (in this case, the calculation is practically the same as the Volume Delta indicator)

Trade Size Filter #

By setting the properties related to the Trade Size Filter, you can filter the trades that participate in the calculation based on the executed quantity.