Volume delta is the difference between the total of the bid and ask traded volume.
What is the DeltaBars Indicator?
The DeltaBars Indicator for NinjaTrader 7 takes the delta value and modifies the bar color accordingly. Positive DeltaBars are printed in blue and negative DeltaBars are printed in red; Delta values for each bar are printed alongside. Cumulative volume delta values for Bid/Ask (red/blue) and Total (black) are plotted at the footer of the chart.
How it is calculated?
Positive Delta
The ES S&P emini traded 200 contacts at the offer and 100 contracts traded at the bid, this means that there is a "positive delta" of 100 hundred contracts. Delta Value: 200 (positive)
Negative Delta
The ES S&P emini traded 100 contacts at the offer and 200 contracts traded at the bid, this means that there is a "negative delta" of 100 hundred contracts. Delta Value: -100
This "Delta Value" is calculated as either a positive or negative value. This value can then be displayed on each bar; and depending if the delta is positive or negative, then modifiying the bar color accordingly.
What are DeltaBars good for?
The resulting graphical representation of this data could be useful in deturmining the bias of the order flow at that moment. Be aware that an "up bar", (one which closes higer than it opened and usually represented in green) would in fact be displayed in red should there be a negative delta. An up bar displayed in blue for example means that the delta is positive and the price move was in accordance with the order flow.
User Configurable Parameters:
Notes:
* Pressing F5 will refresh the chart and ALL the delta values.
* DeltaBars does not consume historical volume data. Only data from a live datafeed will be processed and printed on screen.
* This indicator works on any time period.
Installing this indicator:
1) Download the indicator from the link below.
(Note: on Google Docs page, click the Download Icon - Top Center)
2) Save the zip file to a convenient location on your PC.
3) In the NinjaTrader 7 Control Center, click File >> Utilities >> Import NinjaScript...
4) Select the zip file, and import it in to NinjaTrader.
Download / Indicator Info
FileName: A1DeltaBars.zip << Download Link
Version: 1.0.0
Type: NinjaTrader 7 Indicator
Copyright: N.Martin (c) Feb 2016
Website: http://nigel-forex.blogspot.co.uk/
-- Version 1.0.0
* Create Dictionary Look up for: barBidVolume, barAskVolume,
totalBidVolume, totalAskVolume, totalVolume.
* Change Bar Colors based on delta value
* Print Delta Value per bar
* Print Cumulative Volume for Bid, Ask and Total
-- Version 1.0.1 Proposed
* The Delta value printed on each bar needs to be text centered.
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