Deep Delta

The Deep Delta indicator is an advanced evolution of the classic Delta Bars indicator.

It allows traders to apply filters to delta values and enables up to four separate delta ranges, providing a more detailed and structured view of market aggression.

This flexibility makes it easier to distinguish small, medium, and large delta activity within the same candle.

Settings

Clicking on the indicator settings icon opens the configuration window, where you can customize how the indicator behaves, how delta is calculated, and how it is visually displayed.

Parameters

Ranges

Input Data

Defines which Input Data is used to calculate the indicator. You can choose from the following options:

1. Volume

Represents the total traded volume at each price level.

This option is useful for identifying areas of high trading intensity and where the majority of market activity occurred.

2. Aggregate Trades

Displays aggregated trade volume by combining trades executed at the same price level.

This provides a clearer and more accurate view of trading activity by reducing noise caused by fragmented executions.

3. Trades

Represents the number of transactions executed at each price level.

This database is useful for analyzing trade frequency and identifying levels that attract repeated market participation.

4. Order

Uses order data, such as the quantity of buy and sell orders at each price level.

This option is helpful for evaluating order pressure and understanding the behavior of market participants.

For a more detailed explanation, please refer to the section “Input Data Types”.

Delta Mode

Defines how delta is calculated:

• Classic Mode

  Displays a standard Delta Bars indicator without filters.

• Multi-Range Mode

  Activates the Delta Filter Bars functionality, enabling multiple filtered delta ranges.

Range 1 - 2 - 3 - 4

Each range defines the possibility of including a min filter and a max filter, as well as the possibility of enabling or disabling the filter itself.

Please note that if you enter 0 in the max value the indicator will not apply any max filter.

Threshold

Level-settings

Lets you enable up to two horizontal lines, customizable in terms of color and style, at certain positive and negative delta levels. The user will thus be able to easily identify delta pushes that exceed certain thresholds he or she defines.

Marker

Enables marker verticals when both the minimum and maximum deltas reach a certain threshold set by the user, so as to highlight those situations when, in the same bar, there is a push in one side that is absorbed by leaving a shadow out of the indicator and then recording a delta push in the opposite side, or when the middle/low range records a delta push in one side and the high range in the other side.

Subgraph

Allows you to customize the colors of the various Range as well as the shadow related to the Maximum Positive and Negative Delta.

By changing the Line Thickness parameter, you can increase the body and shadow of each Delta Range.