What is "Delta" – Delta is the term we use to describe the net difference between the buying and selling entering the market. It is calculated by subtracting the volume transacted at the bid price from the volume transacted at the ask price. By definition, MarketDelta considers trades that occur at the ask price to be trades initiated by aggressive buyers. Trades that occur at the bid price are considered to be initiated by aggressive sellers. Thus, a positive delta would reflect more aggressive buying as the result of motivated buyers lifting the ask. A negative delta would reflect more aggressive selling as the result of motivated sellers hitting the bid.

Calculation: Ask Traded Volume – Bid Traded Volume = Delta The components required to calculate delta are: bid price, ask price, last trade price, last trade volume, time.

Example: If the bid price in the market is 1445.25 and the ask price is 1445.50 and 25 contracts/shares trade at 1445.50, then the delta would be counted as +25. If a second trade occurs with the same bid and ask price in the market, but this time the trade occurs at 1445.25 for 10 contracts/shares, then the delta for that trade would be -10 and the total delta would now be +15.

Delta Divergence Summary: This indicator is looking for instances where the delta for a bar is opposite what is "expected". The expectations are set by a few simple conditions described below. When the condition is met the indictor is signaled on the chart in realtime. There are instances where a signal will be given but then vanish if conditions change intrabar. Not until the bar closes will the signal be confirmed.

Condition 1: Each new day unique and the indicator resets the days high and low each day on the open.

Condition 2: If price trades at or equal to a new high AND the delta for that bar is negative, then short signal given.

Condition 3: If price trades at or equal to a new low AND the delta for that bar is positive, then a long signal is given.

It is for conditions 1 and 2 that the high and low each day are important. Because of this there will surely be a signal or two produced in the opening minutes because a new daily high/low are naturally being created.

There are no reversal or target signals placed upon an initiating trade. You could logically assume you are either long or short all session, but that would not necessarily be the correct way to use this indicator.

Delta Divergence Outside 1 Std Dev VWAP Hi/Lo only

This indicator functions similar to the standard Delta Divergence Hi/Low Indicator except the trades are signaled when the market is both outside the 1 Standard Deviation and Hi/Low calculations are satisfied.

Purchase Information: The delta divergence indicator can be purchased from MarketDelta for a one time fee of $499.  The Professional edition or higher is required for this indicator to work.  It can be purchased by visiting the order page.  The delta divergence indicator ("Delta D") is also available for TradeStation through http://www.tradethemarkets.com/products/item49.cfm. The cost is a one time fee of $499 and can be purchased by visiting here.  There are no refunds once purchased.

Sample Screenshots

DD Hi/Low

Delta Divergence Outside 1 Std Dev VWAP Hi/Lo only