Delta Bar Study

CQG Integrated Client and CQG QTrader version 2017 include the popular Footprint® Charts and Studies.

The primary focus of the chart type is to organize and display the volume traded at each price and provide an indication of its impact on price. One setting in the Footprint chart allows you to see the delta at each price. Delta is the difference between the buy volume and sell volume at each price. Also available is the Delta Bars (DBars) study that is applied to the Footprint chart, providing the following volume details for each open, high, low, and close bar in a separate pane of the chart:

  • DBarsOpen = first calculated delta volume on bar
  • DBarsHigh = maximum delta volume on bar
  • DBarsLow = minimum delta volume on bar
  • DBarsClose = sum of all delta volumes on bar

The DBars study has an Accumulate setting. If turned on, then the OHLC bars will accumulate values from either the start of the day or start of the session, depending on the setting.

The Footprint chart and Delta Bar study require the MarketDelta Footprint Charts and Studies enablement. For more details, read the Help file.

The DBars study data can be pulled into Excel using the following RTD syntax (here, using symbol EP and 1-minute bars):


=RTD("cqg.rtd",,"StudyData","DBarsOpen(FootprintOp (EP,0))","Bar",,"Close","1","0","ALL",,,"False","T")


=RTD("cqg.rtd",,"StudyData","DBarsHigh(FootprintOp (EP,0))","Bar",,"Close","1","0","ALL",,,"False","T")


=RTD("cqg.rtd",,"StudyData","DBarsLow(FootprintOp (EP,0))","Bar",,"Close","1","0","ALL",,,"False","T")


=RTD("cqg.rtd",,"StudyData","DBarsClose(FootprintOp (EP,0))","Bar",,"Close","1","0","ALL",,,"False","T")

There is not a parameter within the RTD syntax above to accumulate. Instead, there is a separate set of RTD formulas using DDBars in the syntax instead of DBars:


=RTD("cqg.rtd",,"StudyData","DDBarsOpen(FootprintOp (EP,0))","Bar",,"Close","1","0","ALL",,,"False","T")


=RTD("cqg.rtd",,"StudyData","DDBarsHigh(FootprintOp (EP,0))","Bar",,"Close","1","0","ALL",,,"False","T")


=RTD("cqg.rtd",,"StudyData","DDBarsLow(FootprintOp (EP,0))","Bar",,"Close","1","0","ALL",,,"False","T")


=RTD("cqg.rtd",,"StudyData","DDBarsClose(FootprintOp (EP,0))","Bar",,"Close","1","0","ALL",,,"False","T")

Below is a link to a sample spreadsheet with two tabs: basic (simple RTD example) and historical (for pulling in historical data).

In addition, two CQG TFlow and Delta Bar studies dashboards are available: one for the E-mini S&P and one for Crude Oil traded on Globex. The two dashboards have the option to use a black background theme or a stars background theme. These two dashboards are a modified version of a previous post. The RSI and NYSE tick data charts were replaced by the DBar study.

For more market dashboards, please contact the author.

Related Posts:

Requires CQG Integrated Client or CQG QTrader version 17.10 or higher, Microsoft Excel 2010 or higher, and the Footprint Charts and Studies (MarketDelta) enablement.

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