Lower-Timeframe Volume Delta Ladder by Price Level

Summary

This indicator estimates buy and sell volume within each chart bar by requesting lower-timeframe data, then divides the bar’s price range into rows. Each lower-timeframe candle’s volume is classified by whether its close rose or fell from its prior close and allocated across the price rows it spans. The displayed row delta is the difference between estimated buy and sell volume, with options for classic, pure-ladder, or on-bar presentations and total delta labels.

A volume-assumption option fills a missing side with an estimated share of the observed side, which the author says may help match other platforms’ delta displays. This is an approximation: direction is inferred from lower-timeframe price changes rather than actual aggressor-side trade data, and volume distribution across rows is allocated algorithmically. The document supplies implementation details and display controls, but no performance evaluation or evidence that the estimates predict price movement.

Key ideas

• The indicator divides each chart bar’s range into configurable price rows.
• Lower-timeframe candle direction is used to classify volume as buying or selling.
• Volume is allocated across the price rows spanned by each lower-timeframe candle.
• Row delta is calculated as estimated buy volume minus estimated sell volume.
• An optional assumption estimates a missing buy or sell side when a row records only one side.

Tags

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