How to use Order Flow / Delta Volume Indicator for IntradayWhat you’re seeing
This idea visualizes an intraday session with my Order Flow / Delta Volume study applied. The chart overlays three things that matter for short-term context:
• Cumulative delta (blue line) : running sum of delta, rescaled so it’s easy to compare to price swings.
• VWAP (grey line) : session anchor for bias and mean-reversion context.
Signal logic (kept simple & rule-based)
A bar is considered imbalanced when one side’s volume dominates the bar’s total volume.
• Imbalance: upVol / totalVol > 0.60 → buy-side imbalance; downVol / totalVol > 0.60 → sell-side imbalance.
• Trend/strength filters (optional but enabled here):
• VWAP filter → longs only when price > VWAP; shorts only when price < VWAP.
• RSI(14) filter → longs only if RSI > 50; shorts only if RSI < 50.
• Noise throttle: minimum 5 bars between signals + price must exceed the prior close by ±ATR(14) to avoid tiny wiggles.
These rules try to capture moments when flow (delta) and context (VWAP/RSI) line up, while the ATR and cooldown help skip low-quality, back-to-back prints.
How to read the chart
• Rising blue cumulative-delta with price above VWAP → constructive backdrop for longs; fading/ranging delta warns to de-risk or wait.
• Green “ BUY ” labels plot when a buy-side imbalance clears the filters; red “ SELL ” labels mark sell-side imbalances with bearish context.
• Background tints briefly highlight where the raw imbalance occurred (light green/red), even when a trade filter blocks a signal.
Walk-through of the attached example
• Trend leg after a base: cumulative delta turns up first and price reclaims VWAP → several filtered BUY signals print into the push; ATR gate avoids chasing the very first small upticks.
• Mid-session chop: delta flips around the zero line and price hovers near VWAP → far fewer signals; most imbalances are filtered out by RSI/VWAP or fail the ATR move requirement.
• Late expansion: a swift VWAP reclaim with strong positive delta → clustered BUY signals that track the follow-through, while opposing sell imbalances near VWAP are rejected by filters.
Inputs used on this chart
• Imbalance threshold: 0.60
• VWAP filter: On
• RSI filter: On, threshold 50
• Cooldown: 5 bars
• ATR length: 14
Notes
• This is not a trade recommendation. Signals highlight where participation leans, not certainty of direction.
• Best paired with your execution plan (risk unit, stop location, partials near prior S/R or VWAP).
• In fast spikes, delta can be extreme—ATR and the cooldown help, but slippage and whipsaws are always possible.
• For instruments with very low volume or during illiquid hours, consider raising the imbalance threshold or disabling signals altogether.
Takeaway
Order-flow imbalance by itself fires often; layering VWAP, RSI, and an ATR-based movement check concentrates signals to moments when both flow and context align. The attached session shows that behavior clearly: fewer prints in chop, more conviction when cumulative delta trends and price holds its side of VWAP.
Educational post for discussion only. No financial advice.
