Delta at each price over the last few minutes, a range you pick, or the session: buying to the right, selling to the left.
Overview
Delta Profile (L2) draws a horizontal profile on the right of the price chart. Each row is a price. Buying minus selling at that price is a bar: green to the right of a centre line when buyers were more aggressive, red to the left when sellers were.
A small label shows the net delta of the window, and the price with the most buying and the most selling. You can show total volume in grey behind the bars.
How it works
It reads the traded prints from the futures order-flow feed and counts each one as buying (hit the ask) or selling (hit the bid). Range has three modes: Rolling time (the last 5, 15, 30 or 60 minutes, or a custom number, updating as trades arrive), Fixed range (a start and end bar you pick) and Session (since the futures trading day opened at 18:00 New York time).
Rows are grouped so there are never more than 70 on screen. Trades are counted by the minute, so a window starts and ends on a minute.
How to use it
- Use it to see at which prices buyers or sellers were more aggressive in a recent window.
- Some traders compare a short window with a longer one to see whether the pressure moved.
- Use Fixed range to look at one move, from its first bar to its last.
These are ways some traders read it, for learning. They are not trade signals.
Settings
| Setting | Default |
|---|---|
| RangeRolling time = the last N minutes, updating as trades arrive. Fixed range = from the start bar to the end bar you pick (picker row "Delta Profile (L2): click two bars"). Session = since the futures trading day opened (18:00 New York).Options: Rolling time, Fixed range, Session | Rolling time |
| Rolling minutesOptions: 5, 15, 30, 60, Custom | 15 |
| Custom minutes | 20 |
| Fixed range: start (bar time) | 0 |
| Fixed range: end (bar time, empty = now) | 0 |
| Width (% of the chart) | 18 |
| Show volume behind the bars (grey) | Off |
| Buying (right of zero) | #03c988 |
| Selling (left of zero) | #f23645 |
Notes and limits
- Pro: needs the full order book (Data feed L2).
- Futures only (NQ, ES, YM, RTY, CL, GC and their micros). Needs the full order book data feed (L2), which is part of Pro.
- To set a fixed range, pick "Delta Profile (L2): click two bars for a fixed range" in the Indicators list, then click the first and the last bar. Volume Profile (L2) also has a Delta view.
- It shows what traded. It does not predict what price will do.
Education only. Not financial advice. Indicators mark what happened on the chart; they do not predict what price will do. Trading futures, forex, crypto and other markets carries a high level of risk and may not be suitable for everyone.