Delta Volume Bubbles

24 בנוב׳

Delta Volume Bubbles

Visualize order flow delta at specific price levels with automatic threshold detection

Overview

Delta Volume Bubbles is an order flow indicator that displays volume delta at individual price levels within each candle, rather than showing aggregate candle delta. This level-by-level analysis shows where buying and selling pressure is concentrated, helping identify key support and resistance zones based on actual order flow.

Key Features

• Level-Based Delta Calculation: Unlike traditional delta indicators that show total candle delta, this indicator calculates and displays delta for each price level within the candle's range, providing granular order flow information.
  
  
• Automatic Threshold Detection: The indicator automatically calculates dynamic thresholds using a rolling window analysis (similar to volume spike detection). Three threshold levels are determined:
  2.5x average delta (normal bubbles)
  3.5x average delta (large bubbles)
  5.0x average delta and above (huge bubbles)
  
• Intrabar Analysis: Uses lower timeframe intrabar data to calculate delta for each price level. The indicator automatically selects the appropriate lower timeframe based on your chart timeframe.
  
  
• Delta Calculation: Uses proprietary delta deduction logic that considers:
  Candle body size and range
  Upper and lower shadows (wicks)
  Body-to-range ratio
  Price action characteristics
  
• Proportional Delta Distribution: When an intrabar crosses multiple price levels, its delta is distributed proportionally based on the overlap between the intrabar's range and each level.
  
  
• Dynamic Level Sizing: Price levels are calculated using ATR (Average True Range) divided by 10, with a minimum of the symbol's minimum tick size.
  
  
• Visual Bubble Sizes: Three distinct bubble sizes correspond to the three threshold multipliers, indicating the magnitude of delta at each level.
  
  
• Color Coding:
  Green bubbles indicate bullish delta (buying pressure)
  Red bubbles indicate bearish delta (selling pressure)
  
• Optional Labels: Display delta values directly on bubbles with K/M/B formatting (K for thousands, M for millions, B for billions).
  
  

How It Works

1. Level Creation: For each confirmed candle, the indicator divides the price range into multiple levels based on ATR calculations. Each level represents a specific price zone within the candle.
   
   
2. Intrabar Data Collection: The indicator requests lower timeframe intrabar data (OHLCV) to analyze price action within the main candle. The lower timeframe is automatically selected based on your chart timeframe.
   
   
3. Delta Calculation: For each intrabar, the indicator calculates delta using proprietary logic that considers body size, wicks, and price action characteristics.
   
   
4. Level Distribution: Each intrabar's delta is distributed across all price levels it crosses, proportionally based on the overlap between the intrabar's range and each level.
   
   
5. Threshold Calculation: The indicator maintains a rolling window of maximum deltas from previous candles (last 300 bars). It calculates separate averages for positive and negative deltas, then applies multipliers (2.5x, 3.5x, 5.0x) to determine thresholds.
   
   
6. Bubble Display: Only price levels with delta exceeding the 2.5x threshold are displayed as bubbles. The bubble size indicates which threshold was exceeded:
   Normal size = 2.5x threshold
   Large size = 3.5x threshold
   Huge size = 5.0x+ threshold
   
7. Label Display: If enabled, labels show the exact delta value for each displayed bubble, formatted with K/M/B notation for readability.
   
   

Use Cases

• Support and Resistance Identification: Large delta concentrations at specific price levels often indicate significant support or resistance zones where institutional traders are active.
  
  
• Order Flow Analysis: Understand where buying and selling pressure is concentrated within each candle, helping identify potential reversal or continuation zones.
  
  
• Entry and Exit Timing: Use delta bubbles to identify optimal entry and exit points based on actual order flow, not just price action.
  
  
• Market Structure Analysis: Identify key price levels where significant order flow activity occurs, helping understand market structure and potential price reactions.
  
  
• Confirmation Tool: Combine with other technical analysis tools to confirm signals. For example, a bullish delta bubble at a support level can confirm a potential bounce.
  
  

Settings

• Show Delta Bubbles: Toggle to enable/disable bubble display
  
• Show Numbers in Bubbles: Toggle to show/hide delta value labels
  
• Bullish Delta Color: Customize color for bullish (positive) delta bubbles
  
• Bearish Delta Color: Customize color for bearish (negative) delta bubbles
  

Technical Notes

• The indicator uses barstate.isconfirmed to ensure calculations only occur on confirmed bars, preventing repainting.
  
  
• Thresholds are calculated automatically and adapt to market conditions.
  
  
• The rolling window maintains the last 610 maximum deltas for threshold calculations.
  
  
• Level size is calculated using ATR(14) divided by 10, adapting to current market volatility.
  
  
• Delta distribution uses proportional overlap calculations when intrabars cross multiple levels.
  
  

Best Practices

• Use on timeframes where intrabar data is available (typically 5 minutes and above for most symbols).
  
  
• Combine with price action analysis - delta bubbles show where order flow is concentrated, but price action confirms the significance.
  
  
• Look for clusters of bubbles at similar price levels - multiple bubbles at the same level may indicate support or resistance.
  
  
• Pay attention to bubble sizes - larger bubbles indicate higher order flow activity.
  
  
• Use in conjunction with other order flow tools for comprehensive market analysis.
  
  

This indicator breaks down delta into price levels, providing level-by-level order flow information based on market microstructure.

25 בנוב׳

הערות שחרור

- Better Adaptability

25 בנוב׳

הערות שחרור

- Fixed the Extra Paint Issue

26 בנוב׳

הערות שחרור

- Fixed Bug Happening on Renko Charts

1 בדצמ׳

הערות שחרור

- Remove Requirement for Bar Confirmation to make signals

1 בדצמ׳

הערות שחרור

- Better Adaptability