Tick-Based Delta Volume Bubbles

TICK-BASED DELTA VOLUME BUBBLES

OVERVIEW

A real-time order flow indicator that displays volume delta at the tick level, helping traders identify buying and selling pressure as it develops during live market hours. Unlike traditional volume delta indicators that rely on bar close data, this indicator captures actual tick-by-tick volume changes and directional bias, providing granular insight into market dynamics.


HOW IT WORKS

The indicator monitors live tick data during real-time trading by tracking volume increases between consecutive price updates. Each time volume increments, the script calculates the volume delta, determines price direction, assigns directional bias to the volume, and accumulates net delta for each bar.

This methodology is identical to the tick detection mechanism used in professional cumulative volume delta tools, ensuring accuracy and reliability.


FEATURES

Real-Time Tick Detection
- Captures genuine tick-by-tick volume flow using varip persistence
- Not estimated from OHLC data
- Processes actual market ticks as they occur

Adaptive Bubble Sizing
- Bubbles scale based on delta strength relative to a customizable moving average (default 20 bars)
- Highlights significant order flow imbalances
- Five size levels from tiny to huge

Dual Display Modes
- Normal Mode: Sized bubbles with optional volume labels positioned at bar midpoint
- Minimal Mode: Clean dots above/below bars for unobtrusive delta visualization

Flow Classification
- Aggressive Buy (bright green): Strong positive delta with greater than 1.2x strength
- Aggressive Sell (bright red): Strong negative delta with greater than 1.2x strength
- Passive Buy (light green): Moderate positive delta
- Passive Sell (light red): Moderate negative delta

Intensity Mode (Optional)
- Gray: Low intensity (less than 0.5x average)
- Blue: Medium intensity (0.5-1.0x average)
- Orange: High intensity (1.0-2.0x average)
- Red: Extreme intensity (greater than 2.0x average)

Smart Filtering
- Percentile-based filters (customizable) ensure only significant delta events are displayed
- Reduces chart clutter while highlighting important order flow
- Separate thresholds for bubble display and numeric labels

Data Collection Status
- Optional progress box in top-right corner
- Shows real-time bar collection progress
- Displays percentage completion and bars remaining
- Automatically hides when sufficient data is collected

Hide Until Ready Option
- Suppresses bubble display until the averaging period is complete
- Prevents misleading signals from incomplete data
- Default requires 20 bars before displaying bubbles


SETTINGS

Delta Average Length (1-200, default 20)
- Lookback period for calculating delta strength baseline
- Higher values = longer-term delta comparison
- Lower values = more sensitive to recent changes

Hide Bubbles Until Enough Data
- Prevents display until averaging period completes
- Ensures reliable delta strength calculations

Show Data Collection Status Box
- Displays progress indicator during initialization
- Can be disabled if you understand the warmup period

Minimal Mode
- Switches to simple dot display above/below bars
- Green dots above bars = positive delta
- Red dots below bars = negative delta
- Maintains color intensity or flow type classification

Show Bubbles
- Master toggle for bubble display

Bubble Volume Percentile (0-100, default 60)
- Minimum percentile rank required to display bubble
- Higher values = fewer, more significant bubbles
- Lower values = more bubbles displayed

Show Numbers in Bubbles
- Toggle delta value labels
- Only appears in normal mode
- Disabled automatically in minimal mode

Label Volume Percentile (0-100, default 90)
- Higher threshold for displaying numeric labels
- Typically set higher than bubble percentile
- Reduces label clutter on chart

Intensity Mode
- Switch from flow-type coloring to magnitude-based coloring
- Useful for identifying volume spikes regardless of direction

IMPORTANT NOTES

Real-Time Only: This indicator processes live tick data and does not provide historical analysis. It begins collecting data when added to a live chart.

Volume Required: Symbol must have volume data available. Will not function on symbols without volume (most forex pairs from retail brokers).

Initialization Period: Requires the specified number of bars (default 20) to calculate accurate delta strength. Use the "Hide Until Ready" option to prevent premature signals.

Market Hours: Only collects data during live market hours. Does not backfill historical data.


CREDITS

Tick detection methodology inspired by the Kioseff Trading Tick CVD indicator. This implementation adapts the same core tick-level volume delta calculation for bubble-style visualization and per-bar delta analysis.