Cumulative Volume Delta Candles from Intrabar Data
Summary
This indicator builds cumulative volume delta candles by classifying lower-timeframe volume as upward or downward from intrabar price movement, then aggregating the signed volume within each chart bar. It offers resets based on higher-timeframe boundaries, fixed times, regular-session starts, visible history, or changes in a selected trend indicator. Display options include delta candles, a delta line and average, divergence coloring, reset highlighting, and optional total-volume candles for comparison.
A key control is intrabar precision: requesting more intrabars can improve the detail of each chart-bar estimate, but reduces the number of chart bars covered. The information panel reports coverage and average intrabars, and warns when the available count is very small. Delta is therefore an estimate based on lower-timeframe price-based classification, not necessarily trade-level buyer and seller initiation. Results also depend on the data vendor supplying usable volume and intrabar data; the document offers no strategy performance evidence.
Key ideas
- The indicator estimates signed volume from lower-timeframe price movement and accumulates it into delta candles.
- Users can choose how and when the cumulative series resets, including at session, time, timeframe, or trend boundaries.
- More intrabars per chart bar improve calculation detail while reducing historical chart coverage.
- Optional visuals compare delta with total volume and mark divergences, resets, and averages.
- The estimate depends on intrabar and volume data availability and does not provide evidence of trading profitability.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.