Rapid Cumulative Delta Proxy (Close vs Close)

Rapid Cumulative Delta Proxy (Close vs Close)

1. Summary

This indicator provides a powerful proxy for Cumulative Delta, offering insight into the buying and selling pressure within each candle without requiring access to specialized tick data. It works by analyzing a Lower Timeframe (LTF) of your choice and accumulating the volume based on simple price changes, then displaying the results in a clean, customizable "footprint-style" table on your main chart.

This tool is designed for traders who want to understand the underlying order flow dynamics and see whether buyers or sellers were more aggressive during the formation of a candle.

2. Key Features

Cumulative Delta Proxy: Calculates delta by comparing the close of each LTF bar to the previous one, assigning volume to either buyers or sellers.

Lower Timeframe Analysis: Gives you the flexibility to choose any LTF (e.g., 1-minute, 5-minute, or even seconds) to build your delta analysis, allowing for granular or broad views.

Historical "Footprint" Table: Displays data for the current, developing bar as well as a user-defined number of previous bars, allowing for immediate historical context.

Live Data Monitoring: The top row of the table always shows the real-time, developing values for the current bar.

Full Visual Customization: Provides extensive options to control the table's position, colors, and text styles to perfectly match your chart's theme.

3. Calculation Mechanism

The logic of this indicator is straightforward and transparent. For every single bar on your main (Higher Timeframe) chart, the script performs the following steps:

Data Collection: The script uses the request.security_lower_tf() function to gather all the close and volume data from the user-specified Lower Timeframe that falls within the current HTF bar.

Volume Allocation: It then iterates through each of these LTF bars to determine if it represented buying or selling pressure.

If an LTF bar's close is greater than the close of the previous LTF bar, its entire volume is added to a running total of Buy Volume.

If an LTF bar's close is less than the close of the previous LTF bar, its volume is added to a running total of Sell Volume.

If the closes are identical, the volume is considered neutral and is ignored.

Final Calculations: Once all the LTF bars have been processed, the final metrics for that single HTF bar are calculated:

Delta: This is the net difference between the accumulated volumes. The formula is:
Delta=TotalBuyVolume−TotalSellVolume

Imbalance %: This shows the percentage dominance of buyers or sellers relative to the total activity. The formula is:

Imbalance%= Delta / (TotalBuyVolume+TotalSellVolume) ×100

This entire process repeats for each bar on your chart, with the results stored and displayed in the historical table.

4. Settings Explained

Lower Timeframe: The most important setting. This is the timeframe the script will analyze to calculate delta. It must be a lower interval than your main chart's timeframe.

History Bar Count: Controls how many previous, closed bars of data are displayed in the table below the "Live" bar.

Table Visuals (Group):

Header Colors: Customize the text color for each column header (Buy, Sell, Delta, Imbalance).

Background Colors: Set the colors used for the conditional backgrounds on the Delta and Imbalance columns (Positive, Negative, and Neutral values).

Data Text Style: Control the color and size of all standard text in the table. Placed on one line for convenience.

Table Position: A dropdown menu to place the table in any of nine positions on your chart.

5. Trading Concepts & Examples

This is where the Delta Table truly shines. By comparing the delta data (the "Effort") with the candle on your chart (the "Result"), you can gain powerful insights.

A. Effort vs. Result Analysis
This concept helps you determine if the trading activity is actually succeeding in moving the price.

Confirmation:

High positive delta on a large green candle that closes strong. This confirms the buying pressure was effective and the trend is likely to continue.

High negative delta on a large red candle that closes weak. This confirms the selling pressure was effective.

Divergence (Sign of Reversal):

Absorption: You see very high positive delta, but the candle on the chart is small, with a long upper wick (a shooting star). This is a major warning sign. It means buyers exerted massive effort, but the result was poor because a large seller absorbed all their buying, preventing the price from rising. This often precedes a move down.

Exhaustion: You see very high negative delta, but the candle is small with a long lower wick (a hammer). This means sellers tried their best to push the price down but failed. Their effort was met with strong buying pressure, signaling selling exhaustion and a potential bottom.

B. Identifying Traps (Two-Bar Analysis)
Traps occur when a breakout or breakdown fails, catching traders on the wrong side of the market. The Delta Table makes these easy to spot.

Example of a Bull Trap:

The Bait (Bar 1): A strong green candle breaks above a key resistance level. You look at the table and see a strong positive delta, convincing traders to go long.

The Trap (Bar 2): The very next candle is a powerful red candle that closes back below the resistance level. Now, check the table for this candle—you will often see an equally strong or even stronger negative delta.

Interpretation: The initial breakout buyers are now "trapped." The aggressive negative delta on the second bar confirms that sellers have taken control, and the trapped longs will be forced to sell, fueling a sharper decline.

Example of a Bear Trap:

The Bait (Bar 1): A strong red candle breaks below a key support level, showing a strong negative delta in the table. Traders are convinced to go short.

The Trap (Bar 2): The next candle is a powerful green candle closing back above support, accompanied by a very strong positive delta.

Interpretation: The breakdown has failed. Aggressive buyers have stepped in, "trapping" the short-sellers who must now buy back their positions, adding fuel to the rally.

6. Important Notes

Repainting: This indicator does not repaint. Once a bar on your main chart closes, its calculated values in the historical table are fixed and will not change. The "Live" data row updates in real-time as the current bar forms, which is the intended and expected behavior.

1-Second Timeframe: The script allows for using second-based intervals (e.g., "1S"). Please be aware that access to second-based timeframes on TradingView requires a Premium subscription. If you do not have one, please use a minute-based interval (e.g., "1").

Historic Bars: The script can accommodate large range, does not have any max bar limit. Please be aware that large table will require heavy computing power.

7. Disclaimer
The information provided by this indicator is for educational and informational purposes only and does not constitute financial advice. All trading and investment decisions are your own and should be made with the help of a qualified financial professional. Trading financial markets involves substantial risk, and past performance is not indicative of future results. The author is not responsible for any losses you may incur as a result of using this script.