Live Delta

Realtime trades, bar totals and the Y axis.

Source: src/Data/LiveDelta.cs · Calculated on: desktop or server

The delta of every bar, ask volume minus bid volume, as a histogram. Add it in an area of its own: its values are volumes.

What it shows

• OnTick in realtime.
• The totals of a bar, VolTotList[0].
• History from the bars, realtime from the trades.
• Options of the Y axis.

Two sources for the same value

The history comes from the totals of each closed bar:

public override void OnClose(bool isRt)
{
    var totals = VAn.BarVars[VAn.BarIndex].VolTotList[0];
    SetPoint(VAn.BarIndex, totals.AskVol - totals.BidVol);
}

The bar in progress is built trade by trade:

public override void OnTick(Feed.TickByTick tick, bool isRt, AggrInfo aggrInfo)
{
    if (tick.AggrSide == Feed.AggressorSideEnum.Ask)
        liveDelta += tick.Vol;
    else if (tick.AggrSide == Feed.AggressorSideEnum.Bid)
        liveDelta -= tick.Vol;
    SetPoint(VAn.BarIndex, liveDelta);
}

with the trades asked for realtime only:

OnTickCall = CallHandler.RT;

This is what keeps the indicator portable: asking for the trades of the history (HistRT) would make it a desktop one.

The Y axis

public override void OnInit()
{
    AxisY.YSame = true;             // symmetric around zero
    AxisY.DecimalPlaceShown = 0;
    AxisY.FormatAutoNumber = true;  // 1.5K
}

Things to notice

• OnOpen resets liveDelta: the counter belongs to the bar in progress.
• With MinimumSize above 1 the closed bar keeps the value built from the trades, because the totals of a bar have no size filter. On the history that filter cannot be applied: closed bars of the history always show the full delta.

Try

• Add the cumulative delta of the session as a second series.
• Color the bars by whether the delta agrees with the direction of the price.