Deep Delta - Order Flow Footprint & Pressure

Deep Delta – Order Flow Footprint & Pressure

Deep Delta is an order-flow pressure framework that models intrabar buy/sell dominance using price-distribution-weighted volume, then statistically normalizes that pressure to identify actionable imbalance events.

This is not a simple CVD overlay or a delta histogram.
It is a structured multi-layer imbalance engine.

Core Concept

Most delta tools simply compute:

Buy Volume – Sell Volume

Deep Delta goes further by:
1. Reconstructing intrabar pressure
Instead of assuming fixed bid/ask data, volume is proportionally distributed based on where price closes inside the candle’s range:
• Volume near the high = aggressive buying dominance
• Volume near the low = aggressive selling dominance
This creates a continuous delta model, not a binary approximation.
2. Smoothing micro-noise
Delta is EMA-filtered to reduce microstructure randomness.
3. Building Adaptive CVD
The cumulative delta is scaled to the recent price range so traders can visually compare:
• Price structure
• Order flow structure
on the same pane.

This makes divergence and absorption easier to detect without using a second panel.

Statistical Normalization Layer
Raw delta is unreliable without context.

Deep Delta converts both:
• Delta
• Volume

into Z-score standardized values

This allows the script to detect:
• Statistically significant aggression
• Abnormal participation spikes
• True imbalance events instead of random volume bursts

The system only triggers signals when:

ΔZ exceeds threshold
AND
Volume Z-score confirms abnormal participation
AND
Price confirms structural intent

This 3-layer confirmation prevents random delta spikes from generating false signals.

Absorption Logic

The script also tracks structural disagreement between price and cumulative delta:
• CVD making new lows without price breaking lows → Potential bullish absorption
• CVD making new highs without price breaking highs → Potential bearish absorption

This is designed to identify:
• Smart money absorption
• Hidden accumulation/distribution
• Exhaustion traps

Absorption is displayed on the dashboard for contextual awareness.

BUY / SELL Signals
Signals require:
1. Delta imbalance ( threshold)
2. Volume confirmation (VolZ threshold)
3. Immediate price confirmation
4. Cooldown filter to avoid clustering

This makes the system event-driven rather than continuously reactive.

Adaptive CVD (Scaled With Price)

Unlike standard CVD which sits in a separate panel, this version:
• Dynamically rescales CVD to recent price extremes
• Plots it over price
• Colors it by momentum change

This allows direct structural comparison between:
• Price swings
• Order flow swings

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Dashboard

Displays:
• Current delta Z
• Current VolZ
• Absorption state

Designed for intraday traders who need fast imbalance diagnostics.

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Intended Use

Deep Delta is designed for:
• Futures & crypto (where volume data is meaningful)
• Intraday breakout confirmation
• Reversal detection via absorption
• Liquidity sweep validation
• High-probability momentum entries

Not recommended for:
• Illiquid small caps
• Markets without reliable volume

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Why Invite-Only?

This script combines:
• Continuous intrabar volume modeling
• Statistical imbalance detection
• Structural absorption logic
• Adaptive CVD visualization
• Event-based signal filtering

While it uses foundational delta concepts, the integration, normalization, and structural layering create a unified imbalance engine rather than a simple indicator mashup.

The closed-source format protects proprietary calibration logic and threshold structuring.

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Risk Disclaimer

This tool highlights order-flow pressure.
It does not predict direction and should be used alongside risk management and market structure analysis.