Order Flow Delta Bars

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Order Flow Delta Bars

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Description
A bar type that plots new bars based on when the cumulative delta surpasses the defined Trend delta or Trend reversal, providing a clear and noise-filtered visualization of significant shifts in market sentiment and order flow dynamics.

 

tog_minus        Order Flow Delta Overview

Using the Order Flow Delta
Order Flow Delta bars are similar to range bars, except they are based on cumulative delta values rather than price. These bars help remove much of the noise that can be seen with time based bars and can be helpful to find trends or areas of support and resistance

In the example below we can see a comparison of a Delta chart to a 1 Minute chart.Here we can see the smooth of bars to present a different view for analysis.

 

ofd1

 

Below the Delta bars are being used to identify an area or strong resistance.

 

ofd2

 

In this example we can see in the Delta bars a narrowing trend channel.

 

ofd3

 

 

Notes:

1. To plot historically Delta bars require historical bid ask stamped tick data. See the Data by Provider section for information on what providers offer historical bid/ask stamped tick data.

2. Volume bars could split a single tick into multiple bars for both historical and real-time data.

tog_minus        Order Flow Delta Parameters

 

Trend delta

Defines how much the cumulative delta needs to surpass in it's current trend to build a new bar

Trend reversal

Defines how much the cumulative delta needs to reverse from it's current trend to build a new bar