Delta candles in OsEngine.
Let's talk about Delta candles. This article is dedicated to their origin, ways of application in trading, the process of setting them up in Os Engine. Additionally, we will discuss where to find the source code for building this type of candles and talk about the principles of their calculation.
1. History of Delta candles.
Delta candles emerged as traders expressed the need for a more detailed analysis of market volumes. Traditional Japanese candles and bars provide information about prices but often overlook trading volumes – a key indicator of market activity. Understanding at what price levels significant buy and sell transactions occurred can provide an advantage in trading. Delta candles show the difference (delta) between buying volumes (aggressive buyers) and selling volumes (aggressive sellers) over a specific period of time.
2. Calculation of this type of candles.
Delta candles are constructed based on the difference between buying and selling volumes. Here is a simplified formula for calculating delta:
Delta = Buying volumes - Selling volumes.
where
- Buying volumes - transactions where the buyer was the taker.
- Selling volumes - transactions where the seller was the taker.
- Taker – whose order was active in the transaction.
A positive delta value indicates a predominance of aggressive buyers, while a negative delta value indicates a dominance of aggressive sellers.
And when the delta changes by a specified value set in the settings, the candle closes.
3. How to trade with them. Options.
Delta candles can be useful in a variety of trading strategies. Let's consider some of them:
1. Trend identification.
A sequence of candles with positive or negative delta can be used to determine the trend direction. If a higher buying volume is observed in an uptrend, this confirms the strength of the trend.
2. False breakouts on low volumes with delta change.
If the price breaks a key level, and a delta shift occurs without significant volumes, it may indicate a false breakout and an imminent price reversal.
4. How to enable Delta candles in OsEngine.
Open the main menu in Os Engine and go to "Bot Station Light".
Connect to the "Alor" connector or any other one:
Then create a trading robot, in this case, it will be Bollinger Revers.
Now go to the menu to connect the data stream to the robot:
1. Select the connection.
2. Choose the security for trading.
3. Select Delta as the candle building method.
4. Choose the delta change size for candle closure.
After the settings, we see a chart with "Delta candles".
5. Where to find the source code for building Delta candles in OsEngine.
You can find the code for Delta candles open-sourced on the GitHub platform.
After downloading OsEngine from GitHub, you will find the source code series here.
Successful algorithms!