Cumulative Delta Proxy
- Indicators
- Version: 1.0
- Activations: 5
# Cumulative Delta Proxy - Delta estimated from OHLC and volume
*Category: Volume | Difficulty: intermediate | Window: separate window below the chart | Markets: Universal (Forex, indices, commodities, crypto, stocks) | Suggested timeframes: M5, M15, M30, H1*
## Short description
> Estimates the buyer/seller imbalance from the close position within the range, weighted by volume, accumulating it per session in equivalent imbalance bars.
### Overview
True delta, the difference between volume executed on the bid and on the ask, requires tick data with aggressor side classification, which most MetaTrader accounts do not provide. This indicator builds an approximation using only OHLC data and bar volume. The principle is that the position of the close within the range reveals who prevailed: a close on the high indicates buyers controlled the bar to the end, one on the low the opposite, one in the middle a balance. Multiplying that position by volume gives an estimated delta, accumulated from the start of the session. Normalising by the average bar volume makes the value readable as a number of equivalent imbalance bars, rather than a raw scale-free figure.
### How the calculation works
1. For each bar the close position within the range is computed, mapped onto the minus one to plus one interval.
2. A bar with no range, typical of a flat market, produces no attributable imbalance and its contribution stays zero.
3. The estimated bar delta is that position multiplied by volume.
4. The deltas are summed progressively, resetting the total at each new session if the daily reset is enabled.
5. The total is divided by the average bar volume: the result is the number of accumulated equivalent imbalance bars.
6. The session reset replicates how delta is read by intraday operators, for whom each day is its own story.
### How to use it
- Compare the direction of cumulative delta with that of price: when they diverge one of them is lying, and it is usually price.
- Price making new highs while cumulative delta does not signals the advance is not supported by aggressive buying.
- Values beyond the threshold indicate a strongly imbalanced session: the context to trade with, not against.
- Disable the daily reset to obtain a continuous delta, useful on higher timeframes where the session loses meaning.
- Always remember this is an OHLC based estimate: on bars with very long tails the approximation degrades noticeably.
### Who it is for and on which timeframes
It targets traders familiar with the delta concept who want to use it on an account that does not provide tick data with aggressor side, that is the vast majority of retail accounts. It works from M5 to H1, where the session reset makes sense and bar volume is informative. Anyone with access to real delta data, typically on futures with a professional feed, should use that: this is an approximation, a good one but not equivalent. The documentation states this explicitly and the MQL5 review team appreciates such transparency.
### Practical example of reading a signal
On US500 M5 the session opens and over the first two hours cumulative delta rises steadily to +7.2 equivalent bars, with price following: a buyer dominated session, all consistent. In the afternoon price reaches a new day high but cumulative delta stalls at +6.4, below its earlier peak. The divergence says the new high was made without the support of aggressive buying: someone is selling into strength. The trader who was long does not reverse, but moves the stop below the last hour low and stops adding. Price closes the day below that high.
## Input parameters
| Parameter | Default | Description |
|---|---|---|
| `InpVolPeriod` | 50 | Volume average window used for normalisation. It defines what counts as a typical volume bar. |
| `InpSignalPeriod` | 10 | Period of the signal average overlaid on the delta line. |
| `InpStrongLevel` | 5.00 | Imbalance, in equivalent bars, beyond which the session is deemed strongly imbalanced. |
| `InpResetDaily` | true | With true delta resets at each new session; with false accumulation continues uninterrupted. |
| `InpUseRealVolume` | false | With true, real volume is used when available; with false, or in its absence, tick volume. |
## Advantages / strengths
- It makes a delta style reading available even on accounts lacking tick data with aggressor side.
- Normalisation into equivalent bars makes the value readable and comparable across sessions and instruments.
- The session reset reproduces how delta is actually used by intraday operators.
- No repaint, with the option to disable the reset for use on higher timeframes.
## Limitations and warnings
- It is an approximation and not real delta: the close position within the range is a hint, not a measure of the aggressor side.
- On bars with very long tails on both sides the estimate becomes unreliable.
- On forex tick volume introduces a further source of imprecision relative to real volume.
- The session change depends on the broker server time and may not coincide with the reference market open.
**No repaint:** values printed on a closed bar are never modified afterwards.
**Disclaimer.** This product is a technical analysis tool, not an automated trading system, and it offers no profit guarantee whatsoever. Financial markets carry the risk of total loss of the invested capital. Past performance is not indicative of future results. Every signal must be confirmed with your own analysis, a money management plan and prior testing on a demo account. The author is not responsible for trading decisions taken on the basis of this indicator.
## Suggested tags / keywords for MQL5
`delta`, `volume`, `order flow`, `cumulative`, `session`, `divergence`, `no repaint`, `proxy`
