Order Flow Analysis
Session Context
Extreme Performance
What is Volumetric Stats?
A lightweight, high-performance order flow statistics indicator
Volumetric Stats displays a compact overlay panel below each bar showing critical order flow data: total volume, bid/ask split, cumulative delta, imbalance, and advanced metrics like Delta Since High/Low (DSH/DSL).
Core Capabilities
- ✓Volume & Delta – Buy/sell volume split with directional bias
- ✓Intra-Bar Extremes – Min/Max Delta track pullbacks and reversals
- ✓DSH/DSL Tracking – Delta since high/low reveals post-swing exhaustion
- ✓Cumulative Delta – Session-level order flow context
- ✓Heatmap Overlay – Visual intensity gradients for rapid scanning
- ✓Tick Replay Support – Accurate intra-bar metrics with historical accuracy
Tick Replay Recommended
Key Concepts
Delta (Buy Vol − Sell Vol)
Primary order flow signal. Positive = buying pressure, negative = selling pressure.
Min/Max Delta
Most negative/positive delta reached during the bar. Reveals intra-bar strength and hidden reversals.
DSH/DSL (Delta Since High/Low)
Delta accumulated since the bar high/low. Shows if buyers or sellers stepped in after pivots.
Cumulative Delta
Running delta sum across bars. Resets at session boundaries. Identifies session exhaustion.
Imbalance %
Signed bid/ask imbalance. Positive = ask-side dominance, negative = bid-side. Precedes directional breakouts.
Performance Tips
• Start with default settings: Volume, Delta, Min/Max Delta, DSH/DSL, Cum Delta.
• Enable Tick Replay for accurate intra-bar metrics (recommended for order flow analysis).
• On large charts (2000+ bars), disable Show Text to render heatmap only.
• Use VisibleRange heatmap for realtime, EntireChart for historical multi-day analysis.
• Combine Color Text + heatmap for rapid visual scanning without reading numbers.
Last updated January 2026 – Version 1.0