VolumeDeltaWaves

This indicator is an extended implementation of Weis waves. It builds Weis waves on absolute volumes (which is the classical approach) or delta of volumes (unique feature) using different methods of wave formation and visualization. It works with real volumes, if available, or with tick volumes otherwise, but also provides an option to use so called "true volume surrogates", as an artificial substitution for missing real volumes (for example, for Forex symbols), which was introduced in corresponding indicator.

Using delta of volumes is considered more accurate, than total volumes per bar. The underlying algorithm of calculation of the deltas is the same that's used in VolumeDeltaM1  and VolumeDeltaScanner.

Parameters

• TickHistoryPreload - number of bars to process; especially important for volume delta calculation, which requires real tick history (may lead to bulky download from your server, if too many bars requested); default value 0 means that only the last day is processed; please note, the ticks are always processed in batches by day, so more bars can be calculated due to alignment to the start of the day; 
• VolumeType - defines which volume to use in calculations: Bar Volume, Delta by Ask vs Bid, Delta by Ask + Bid; Bar Volume means separate volume of each bar: real volume, if available, or tick volume; if UseTrueVolumeSurrogate is enabled, surrogate volume is used instead of tick volume; Deltas are calculated for each bar based on tick history or online ticks;
• Visualization - defines histogram type used to display volumes: Bars apart, Bars in wave color, Wave cumulative signed, Wave cumulative absolute; see below;
• WaveMethod - defines one of the methods of wave formation: High below Low/Low above High, Gann swing, Close vs Close (Weis wave), Retracement (auto-adaptive level or fixed % of price); they are based on 4 different zigzag types; you may find details in the description of the indicator AutomaticZigZag; this indicator is free, and it's recommended to apply it to a chart along with VolmeDeltaWaves for better understanding how the waves are formed;
• UseTrueVolumeSurrogate - a flag to use true volume surrogate instead of tick volumes; has effect only if real volumes are missing and VolumeType is Bar Volume; the surrogates can not be used for volume delta (when VolumeType is any kind of Delta), because their simulation is based on other principles than tick processing required for the deltas;
• ShowExtremumMarks - number of marks with cumulative volumes of waves shown on the main chart above and below found extremes; default 0 means no marks;
• PrimaryContentInMarks - seelctor of metric to show in marks: total volume of waves, average volume or efficiency (also known as "speed index"); all metrcis are shown in a tooltip when mouse cursor hovers over mark.

Visualization

With mode Bars apart each bar in histogram is colored according to the sign of its value (when VolumeType is Bar Volume, the sign is determined by direction of the candle); otherwise each bar is colored according to direction of the wave to which it belongs. Bars in wave color still shows every bar volume separately. The last wave may change during formation, because it's based on unstable, not yet completed edge of the zigzag, hence such bars are drawn in gray.