Live Tick Delta Histogram for Price and Volume Changes
Summary
This indicator tracks changes in price and reported volume between successive updates on the current live candle. It displays a rolling histogram in one of three modes: volume change, price change, or the product of price and volume changes. Positive and negative values receive separate colors, and the display can show mean and standard deviation reference lines alongside current and average delta statistics.
The script accumulates per-candle reference averages and deviations as live candles are processed. Its author explicitly describes it as experimental and says it works only on live updating bars, becoming more accurate the longer it runs. The accumulated intrabar volume may differ from the candle's stated volume, and historical bars do not provide the same live tick observations. The document describes a visualization and its calculations, not a trading rule or evidence that delta readings predict returns.
Key ideas
- The indicator measures successive live changes in price and volume within a candle.
- Users can plot volume delta, price delta, or their product as a histogram.
- It displays current and reference averages and standard deviations for the observed changes.
- The reference statistics build as live candles are processed.
- The author cautions that it is experimental, live-only, and its processed volume may not match candle volume.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.