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Delta Dots Study

Inputs | Subgraphs

The Delta Dots study tracks volume at price data and highlights price bars or individual prices with a circular marker when the selected threshold conditions are met or exceeded: Minimum Traded Volume; Ask/Bid Delta Imbalance; Ask/Bid Delta Difference.
Fixed or automatically sized markers, based on traded volume.
Color markers according to dominant side or Ask/Bid components of volume.
Most suited for use on ‘time period’, ‘volume’, ‘number of trades’, ‘range’ or ‘reversal’ charts.
Up to 256 ‘Delta Dots’ can be drawn per chart bar index.

The study is summarised in the following update post – Delta Dots.

Note:

  • Not compatible with Sierra Chart OpenGL graphics mode, use Delta Dots – LW Study instead
  • This study can only be used on charts with a chart data type of ‘Intraday Chart‘
  • It is recommended to use ‘Intraday Data Storage Time Unit‘ setting ‘1 Tick’
Inputs
Study Calculation Mode (In:1)
  • Total for Bar: Study calculations are made using traded volume for entire intraday chart bar period (total volume and/or ask/bid volume).
  • Per Price for Bar: Study calculations are made using traded volume at each individual price level for each intraday chart bar period (total volume and/or ask/bid volume). The ask/bid volume can optionally be evaluated diagonally (bid volume vs. ask volume at next higher price).
Position for ‘Per Bar’ Delta Dot (In:21)

When using the ‘Total for Bar’ calculation mode, the Delta Dot output can be displayed in 1 of 5 positions.
Delta Dots displayed at the high or low price of the intraday chart bar period can optionally be offset by a specified number of ticks.

  • HL Average: Use average of High and Low prices for bar period
  • High: Use High price for bar period
  • Low: Use Low price for bar period
  • VWAP: Use VWAP price for bar period
  • VPOC: Use VPOC price for bar period
Offset Amount (ticks) (In:22)

Specify the offset amount in ticks for ‘Total for Bar’ Delta Dot (only applies to High and Low positions).

  • Min: 0
  • Max: 50
Position for ‘Per Price’ Delta Dot (In:23)
  • Bid Price: Delta Dots are drawn vertically aligned with the evaluated bid price.
  • Ask/Bid Average Price: Delta Dots are drawn vertically aligned with the average of evaluated bid price and the evaluated ask price.
  • NOTE: Applies only to ‘Per Price for Bar’ calculation mode and when ‘Use Diagonal Ask/Bid Comparison’ is enabled.
Delta Dot Display Mode (In:3)

Select the display output type for Delta Dot.
‘Dominant Side’ can both be configured with varying color intensity relative to the Delta Dot with the highest delta imbalance value.
All output types can be configured to automatically adjust size relative to the Delta Dot with the highest traded volume.
‘Dominant Side’ refers to dominant aggressive orders, i.e. Market Orders
– Dominant Ask: Buy Market Orders dominate Sell Markets Order
– Dominant Bid: Sell Market Orders dominate Buy Market Orders

  • Dominant Side: Delta Dots are coloured using according to the dominant side using the Ask & Bid colours.
  • Ask/Bid Split: Delta Dots are split horizontally into segments, the segment areas being based on the Ask/Bid volume percentages.
  • Ask/Bid Pie: Delta Dots are split into sectors about the vertical axis, the sector areas being base on the Ask/Bid volume percentages.
  • Ask/Bid Gradient: Delta Dots are coloured using a vertical linear gradient transition from Ask color to Bid color, the position of the transition being based on the Ask/Bid volume percentages.
Delta Threshold Mode (In:2)
  • Imbalance (Ratio/Percent): Ask / Bid Delta is evaluated against only the ‘Imbalance Threshold for Dominant Ask/Bid’
    ‘Difference Threshold (Actual) For Dominant Ask/Bid’ is ignored
  • Difference (Actual): Ask / Bid Delta is evaluated against only the ‘Difference Threshold (Actual) For Dominant Ask/Bid’
    ‘Imbalance Threshold for Dominant Ask/Bid’ is ignored
  • Imbalance & Difference: Ask / Bid Delta is evaluated against both the ‘Imbalance Threshold for Dominant Ask/Bid’ AND the ‘Difference Threshold (Actual) For Dominant Ask/Bid’
    If both conditions are not met, then no Delta Dot will be displayed.
Minimum Volume Threshold (In:4)

Specify the minimum traded volume required, per chart bar or price level before a Delta Dot will be drawn.

  • Min: 1
  • Max: 1000000
Use Diagonal Ask/Bid Comparison (In:7)
  • Yes: Bid Volume at each price level is evaluated against Ask Volume at the next highest price level.
  • No: Bid Volume at each price level is evaluated against Ask Volume at the same price level.
  • NOTE: Applies only to ‘Per Price for Bar’ calculation mode.
Allow Zero Volume Ask/Bid Comparison (In:25)
  • Yes: Allows Delta evaluation of Ask/Bid Volume when one either Ask or Bid has zero volume. To achieve this, zero volume levels are treated as having a volume of 1.”
    – If Ask Volume = 0 then Ask Volume = 1
    – If Bid Volume = 0 then Bid Volume = 0
  • No: If either of Ask or Bid Volume has zero volume, then no Delta evaluation is performed.
    Ask/Bid Minimum Volume Compare Threshold (In:26)

    Delta evaluation will only be performed if both the Ask Volume AND Bid Volume meet or exceed the ‘Ask/Bid Minimum Volume Compare Threshold’

    • Min: 0
    • Max: 1000000
    Imbalance Threshold for Dominant Ask/Bid (In:5)
    The ‘Imbalance Threshold for Dominant Ask/Bid’ is only relevant when the ‘Delta Threshold Mode’ is set to ‘Imbalance (Ratio/Percent)’ or ‘Imbalance & Difference’.
    Depending on the value selected, ranging from 0.01-1000, the threshold value will either represent a ratio comparison or a percentage comparison.
    The largest of either the Ask or Bid volume is always compared to the smallest multiplied by a value derived from the Imbalance Threshold.
    Difference Threshold (Actual) For Dominant Ask/Bid (In:6)

    The ‘Difference Threshold (Actual) For Dominant Ask/Bid’ is only relevant when the ‘Delta Threshold Mode’ is set to ‘Difference (Actual)’ or ‘Imbalance & Difference’.
    Delta Difference is the absolute difference between the Ask volume and Bid volume being evaluated.

    • Min: 1
    • Max: 1000000
    Use Variable Size Delta Dots (In:8)
    • Yes:
      Delta Dots are automatically sized based on the following:
      – Dot Size / Minimum Variable Dot Size
      – Maximum Variable Dot Size
      – Delta Dot total volume as a percentage of the Delta Dot with the highest total volume (either within the visible chart area or the whole period to which the chart applies)
    • No: Delta Dots are uniform size (Dot Size / Minimum Variable Dot Size)
    Dot Size / Minimum Variable Dot Size (In:12)

    Specify the size used for non-variable delta dots / minimum size for variable delta dots

    • Min: 1
    • Max: 100
    Maximum Variable Dot Size (In:13)

    Specify the maximum size used for variable delta dots

    • Min: 10
    • Max: 200
    Maximum Volume for Variable Sizing (0 = Ignore) (In:14)

    Specify the upper limit for the total volume used when sizing Delta Dots.
    This can be used to prevent outlier volume levels distorting the overall view of the other volume levels.

    • Min: 0
    • Max: 1000000
    Variable Sizing Based On (In:10)
    • Visible Bars: Variable Size for Delta Dots is calculated using only the bars within the time/x-axis visible range
      NOTE: Delta Dots that are within the visible time range, but beyond the visible price range are included in the calculation.
    • All Bars Included in Study Calculation: The time range for the entire chart is used.
      This can be controlled using the setting ‘Chart Settings->Use Number of Days to Load’
    • Current Session: Variable Size for Delta Dots is calculated using the current trading session only (based on the session times for the chart to which the study is applied)
    • NOTE: ‘Variable Sizing Based On’ also applies to ‘Variable Coloring’, when used.
    Enable Dynamic Scaling (In:11)
    When this setting is enabled, the displayed Delta Dots are scaled inversely proportional to the change in span of the time and price axis. This option can be enabled/disabled via the ‘Chart Shortcut Menu’ context menu option ‘TWFX Delta Dots – Dynamic Scaling’.
    When the study is initially applied to the chart, reference values for the span of the time and price axis are automatically set, these reference values can be reset at any time to better suit the current chart configuration.
    To reset the time and price axis reference values, ‘Chart Shortcut Menu’ context menu option ‘Reset Scale Reference’
    NOTE: Does not apply when ‘Use Variable Size Delta Dots’ is set to ‘No’
    Use Variable Color Intensity (In:9)
    • Yes: Delta Dots are automatically colored based on the following:

      – Ask/Bid Minimum Color
      – Ask/Bid Color / Maximum Color
      – Delta Dot imbalance value as a percentage of the Delta Dot with the highest delta imbalance value (either within the visible chart area or the whole period to which the chart applies)
      – Minimum Color Intensity

    • No: Delta Dots colored using only the Ask/Bid Color / Maximum Color
    • NOTE: Applies only to ‘Dominant Side’ display mode
    Minimum Color Intensity (In:16)

    Specify the minimum color intensity to be displayed, ranging from 0 to 100% of the ‘Maximum Color’.
    If, when calculating the interpolated color, the calculated intensity is lower than the ‘Minimum Color Intensity’, the ‘Minimum Color Intensity’ will be used in place of the calculated intensity.

    • Min: 0%
    • Max: 100%
    Ask Volume – Minimum Color (In:17)
    Specify the minimum color to be used when calculating variable (interpolated) ask volume color.
    Ask Volume Color / Maximum Color (In:18)
    Specify the ask volume color (non-variable coloring) or the maximum color to be used when calculating variable (interpolated) ask volume color.
    Bid Volume – Minimum Color (In:19)
    Specify the minimum color to be used when calculating variable (interpolated) bid volume color.
    Bid Volume Color / Maximum Color (In:20)
    Specify the bid volume color (non-variable coloring) or the maximum color to be used when calculating variable (interpolated) bid volume color.
    Draw Circle Borders (In:27)
    When enabled, a 1 pixel wide border, will be drawn around each delta dot, using the specified ‘Border Color’
    Border Color (In:28)
    Specify the color to be used for drawing the circle borders
    Transparency Level (In:15)

    Set the transparency level used for Delta Dot color fill.
    It’s not recommended to use both ‘Transparency’ and ‘Variable Color Intensity’ as the color output can be unsatisfactory

    • Min: 0%
    • Max: 99%
    Study Update Frequency (In:24)
    • Use Chart Update Interval: Delta Dots are updated each time that the study is called based upon the ‘Chart Update Interval’.
    • Update on Bar Close: New Delta Dots are only added once the Intraday Chart Bar Period completes.
    Subgraphs
    Delta Dot Maximum Volume (SG1)
    Stores the traded volume of the Delta Dot having the highest volume within each ‘Intraday Chart Bar Period’.
    Delta Dots Total Ask Volume (SG2)
    Stores the total traded ask volume of all Ask Dominant Delta Dots within each ‘Intraday Chart Bar Period’.
    Delta Dots Total Bid Volume (SG3)
    Stores the total traded bid volume of all Bid Dominant Delta Dots within each ‘Intraday Chart Bar Period’.
    Maximum Delta (SG4)
    Stores the Dominant Side Delta (as % of non-dominant side) of the Delta Dot having the highest delta within each ‘Intraday Chart Bar Period’.
    Note:
    Subgraphs 1-4 Draw Styles cannot be changed from ‘Ignore’; if visualization of Subgraphs is required, then a built in Sierra Chart Overlay Study could be used.

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