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Cumulative Delta

Trevor Harnett
posted this on March 18, 2011 14:51

Sometimes referred to as cumulative volume delta, it allows you to accumulate a single session or multiple sessions of delta and draw in many formats. 

It is often used as a gauge of the underlying order flow for a session or multiple sessions. It is computed based on each trade, so it provides a very accurate reading of order flow for the selected time period.

Common uses of the cumulative delta would be confirm price direction. For instance, if price is trending higher, look for the cumulative delta to be trending higher each step of the way. If price trades a new high BUT the cumulative delta does not, then it may be a sign order flow is beginning to reverse and price will soon follow.

Cumulative delta is an option with the Volume Breakdown Indicator (VB).

The first drop down provides different options.

  • Accumulate - Adds up all the delta. If Days Values selected, then it is the current session. If All Values selected, then it is for all the days loaded in the chart that have tick data.
  • Average - Average delta per bar for the chosen calculation period, days values or all values.
  • Average - Average delta per bar for the chosen calculation period, days values or all values.
  • Maximum - Maximum delta per bar for the chosen calculation period, days values or all values.
  • Minimum - Minimum delta per bar for the chosen calculation period, days values or all values.
  • Max Accum - Maximum accumulated delta achieved for the chosen calculation period, days values or all values.
  • Min Accum - Minimum accumulated delta achieved for the chosen calculation period, days values or all values.

To plot the cumulative delta, add a volume breakdown indicator to a chart. Make the settings as you see below and set the "Draw as" drop down to your linking.

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Candlechart_Cumulative_Delta.png