Delta Volume Engine [MTF CVD + Microstructure + Divergence]

Raw Delta Volume Engine is a pure volume-delta / order-flow tool designed to answer one question:

“Who is actually in control right now – buyers or sellers – and is this push real or getting absorbed?”

It combines:

Raw volume delta (from requestVolumeDelta)

Multi-timeframe delta bias (HTF CVD context)

Macro price trend alignment (optional higher-TF EMA)

Micro-structure quality tags (initiative vs absorption)

Cumulative Delta (CVD) divergences at swing highs/lows

Zero-line crosses with optional filters for regime/volume/chop

It’s built for traders who want to trade with the flow, not against it, and use volume as the primary decision layer.

Core Components
1. LTF Raw Delta Oscillator

Uses raw signed volume delta from a configurable lower timeframe.

Smoothed and normalized into zDelta (a z-score of delta):

Above 0 → buy-side volume dominant

Below 0 → sell-side volume dominant

Magnitude (e.g. 1.0, 2.5, 3.0) shows how extreme the flow is vs recent history

Plotted as:

Teal / red histogram (zDelta)

Aqua line (zDelta line for easier visual trend)

2. MTF Delta Bias (Macro Flow)

Calculates higher timeframe zDelta (e.g. 5m while you trade 1m) using request.security.

Plotted as a yellow line.

Inputs let you choose:

HTF timeframe (default 5m)

Bias threshold (how big HTF zDelta must be to count as bullish/bearish)

This line tells you the dominant volume regime.

Bullish bias → zDeltaHTF > threshold

Bearish bias → zDeltaHTF < –threshold

3. Macro Price Trend Alignment (Optional)

Optional higher-timeframe EMA (e.g. 30m) used as a simple macro trend filter.

When HTF delta and macro price trend agree, background shading is stronger (green in up-flow / uptrend, red in down-flow / downtrend).

This prevents taking strong volume signals against the broader market direction if you choose to enforce it.

4. Micro-Structure Analysis (Order-Flow Quality)

Each bar is classified by range vs ATR and zDelta size:

Initiative Buy (IB) – big positive zDelta & big candle range (clean bullish push).

Initiative Sell (IS) – big negative zDelta & big range (clean bearish push).

Absorption Buy (AB) – big positive zDelta but small range → buyers hitting hard but not gaining much ground (someone selling into them).

Absorption Sell (AS) – big negative zDelta & small range → sellers hammering into hidden buying.

These show whether the flow is driving price or getting absorbed, which is key around liquidity levels.

5. Cumulative Delta (CVD) Divergence

The script builds CVD by cumulatively summing raw delta (ta.cum(vd)) and tracks swing highs/lows in price vs CVD:

Bearish CVD Divergence (BearDiv)

Price makes a higher high,

CVD makes a lower high → distribution / buy-side exhaustion.

Bullish CVD Divergence (BullDiv)

Price makes a lower low,

CVD makes a higher low → accumulation / sell-side exhaustion.

These are marked at pivots and can be combined with your own structure / liquidity levels for reversal or profit-taking decisions.

6. Zero-Line Crosses & Filtered Entries

There are two flavors of signals:

Raw Zero-Line Crosses

Every time zDelta crosses the 0 line:

Green circle “0↑” at the bottom → cross up

Magenta circle “0↓” at the top → cross down

No filters – just a clean view of all flips in control.

Filtered Volume-Aligned Entries

Long “L” triangle (bottom) when:

zDelta crosses up through 0

HTF zDelta bias is bullish

Optional macro price trend is up

Volume not dead

Delta range not “chop”

Optional |zDelta| ≥ threshold

Short “S” triangle (top) is the mirrored logic for shorts.

The idea: only trade zero-line crosses that are backed by real multi-timeframe flow and decent tape activity.