Tick Delta Approximation

Forex has no order-flow tape in MetaTrader, so any "delta" here is necessarily an approximation - the question is how coarse that approximation has to be. The common shortcut signs an entire bar's tick volume by whether that one bar closed above or below its own open: a single up-or-down vote for however much volume the whole bar carried, regardless of what happened inside it. This indicator does better where it can. For any timeframe above M1 it walks the M1 bars that fall inside each higher-timeframe bar and classifies every one of them against its own previous M1 close, using the same standard uptick/downtick rule order-flow tools use (an unchanged close inherits the last known direction rather than being dropped). Each M1 bar's own tick volume is signed by that call and summed, so a bar that spent its first half pushing down and its second half pushing up gets a delta that reflects both halves, not just where it happened to close. That is a genuine improvement in resolution over signing the whole bar at once, even though it still falls short of a real trade-by-trade tape. Where M1 history does not reach far enough back, or the chart itself is already M1 with nothing finer to consult, it falls back to the whole-bar open-versus-close sign - the same shortcut described above - and there is no way to tell from the plot alone which bars used which method, which is why this limitation is stated here plainly rather than left for the user to discover. Notes and limitations - Not real order flow. MetaTrader has no trade-by-trade tape for forex; this is a resolution-improved approximation built from M1 bar-close direction, not a count of actual buy and sell orders. - Requires M1 history to cover the bar being computed. If the terminal has not downloaded M1 history that far back, or the chart itself is M1, the indicator falls back to signing the whole bar by its own open-versus-close - coarser than the M1-based method, and silently mixed in with it on the same plot. - Bars beyond InpMaxHistoryBars are left empty on purpose, to keep the initial load fast; increasing the input trades load time for depth. - Values are an approximate volume figure, not a normalised oscillator - compare bars on the same symbol and timeframe, not across different instruments. - Nothing here can repaint once a bar closes: the M1 bars a closed higher-timeframe bar drew from are themselves closed and do not change afterward.

Indicator · MT4 · v1.0 · Free

Tags: Volume · Alerts · MT4 Indicator · MQL4 Source Code

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