Delta and Intraday Bars Dashboard

This Microsoft Excel® dashboard displays Delta Bars with a price ladder detailing the executed volume by price for the current Delta Bar. Also, an intraday bar chart is included with a price ladder showing the executed volume by price for the current bar. For each chart there is also a volume histogram bar chart showing the volume for each bar.

The two markets are the E-mini S&P 500 contract and the Crude Oil contract, both traded on the CME Globex platform. You can enter the Delta Bar parameter and the time frame for the intraday bar chart. The Delta Bar chart uses a user-set parameter for the difference between volume executed at the ask versus volume executed at the bid to start a new bar. For example, if you set the parameter to 1,000 contracts, then when either the traded volume at the ask exceeds the traded volume at the bid by 1,000 contracts, or vice versa, a new Delta Bar starts building.

This dashboard is an extension of work detailed in these two posts:

You can also enter the time frame for the intraday bar chart. The day’s maximum volume and the price are presented along with the difference from that price and the current price. An additional feature is a countdown to the number of minutes and seconds before a new intraday bar starts to build.

Requires CQG Integrated Client or CQG QTrader version 17.10 or higher and the Footprint Charts and Studies (MarketDelta) enablement.


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