Estimating Cumulative Delta from Candle Paths and Tick Volume

Summary

This indicator estimates buying and selling volume from candle geometry because the underlying platform does not provide separate up and down volume. It divides each candle’s tick volume between inferred upward and downward paths, using the candle’s high, low, open, and close. The difference between the estimated volumes becomes the bar’s delta, which is accumulated over time and displayed as candles of cumulative delta.

The approach is a proxy, not a measurement of actual aggressor-side volume: it infers volume allocation from price paths within each bar. As a result, the output depends on the assumptions used to approximate those paths and on the quality and meaning of the platform’s tick volume. The document gives the calculation logic and describes how the cumulative series is drawn, but reports no validation, backtest, or trading results. It explains an analytical indicator rather than a complete entry or exit strategy.

Key ideas

• The method estimates up and down volume by allocating tick volume according to candle path lengths.
• Per-bar delta is the estimated up volume minus estimated down volume.
• Adding each bar’s delta produces a cumulative series displayed as candles.
• The result is an approximation because it infers volume direction from candle prices.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.