01How the indicator moves from a setup to a confirmation

The indicator first looks for a local high or low where price behavior and delta suggest weakening pressure or possible absorption. This creates a WATCH LONG or WATCH SHORT setup.

The setup candle establishes the price levels used for confirmation:

• WATCH LONG: a later candle must close above the setup candle’s high.
• WATCH SHORT: a later candle must close below the setup candle’s low.

Crossing the level during the bar is not sufficient. At the close, price must satisfy the level condition and delta must satisfy either the normal delta rule or the eligible absorption rule. A separate extension check can block confirmation when the recent move is already too extended relative to its preceding range baseline.

Setups have a limited lifetime. With the default setting, confirmation can occur within the next three bars. A close beyond the opposite end of the setup candle invalidates that pending setup. A new qualifying setup may subsequently replace it.

This sequence matters: WATCH describes a candidate; CONFIRMED identifies a completed combination of conditions.

02What delta measures

Delta is the difference between volume classified as buying and volume classified as selling. The classification depends on the selected calculation method.

Bar delta % = net classified delta ÷ total bar volume × 100

For example, a bar with 1,000 total volume and net delta of +120 has a delta reading of +12%. A reading of −12% represents net negative delta of the same proportion.

The percentage is not a probability of success. A +12% reading does not mean price is expected to rise by 12%, and the default threshold of 8 does not mean eight contracts or eight points. It means 8% of the bar’s total volume as net delta.

The table shows individual bar delta. The setup logic also uses comparisons with session cumulative delta when looking for weakening pressure around local extremes.

03BidAsk and UpDownTick

Both methods are available in the indicator’s settings. They classify the same trade stream differently and can produce different values and signals.

Before a direction is established, an unclassified trade can contribute volume without signed delta.

BidAsk is the default. It relates the calculation directly to execution at the quoted bid and ask. UpDownTick provides an alternative when suitable bid/ask data is unavailable, but its values should not be treated as interchangeable with BidAsk values.

The indicator performs its own calculation and does not call NinjaTrader’s Order Flow+ indicator. It still requires suitable market data. Removing the Order Flow+ dependency does not remove the need for historical ticks or valid bid/ask information when using BidAsk.

When comparing settings or reviewing results, keep the calculation method consistent. A threshold evaluated with BidAsk must be evaluated separately with UpDownTick.

04Reading the dashboard

WAIT and WATCH

WAIT means the indicator does not currently have a confirmed directional condition to display. It does not mean that price cannot move.

WATCH LONG or WATCH SHORT means a setup exists, but confirmation is still pending. Read LEVEL together with DELTA and ABSORPTION to see what is missing.

CONFIRMED and BIAS

LONG CONFIRMED or SHORT CONFIRMED marks the bar that completes the setup’s confirmation requirements. That bar receives a directional arrow and, if candle coloring is enabled, the selected confirmation color.

LONG BIAS or SHORT BIAS describes continuing delta support for the established direction. It is not a fresh confirmation on every bar, so subsequent bias bars do not each receive a new confirmation color or arrow.

INVALIDATED and EXTENDED

An invalidation indicates that the indicator’s maintained directional bias has met its opposing price-and-delta condition. It is not an account-level stop or an executed exit.

EXTENDED UP or EXTENDED DOWN indicates that the extension check has blocked a prospective confirmation. It is not an automatic signal to trade in the opposite direction.

05The normal delta confirmation rule

With Delta threshold (%) = 8, the normal rule is:

• LONG: delta must be at least +8%.
• SHORT: delta must be at most −8%.

These conditions are directional. A +11% reading does not satisfy a normal SHORT confirmation, even though its absolute value is larger than eight.

The price condition must also pass. Strong negative delta alone does not confirm a WATCH SHORT if the candle fails to close below its displayed level.

06Understanding absorption

Absorption describes a situation where aggressive trading produces limited price progress because opposing liquidity appears to be absorbing it. This indicator identifies an absorption candidate from price and delta behavior. It does not directly measure resting orders, identify a particular participant, or prove that an iceberg order exists.

For a LONG absorption candidate, the code looks for a test of the recent low, sufficiently negative delta, a lower wick, and a close toward the upper part of the candle. The SHORT case is the reverse: a test of the recent high, sufficiently positive delta, an upper wick, and a close toward the lower part of the candle.

In the current implementation, the relevant wick must occupy at least 25% of the candle’s range. A LONG candidate closes in the upper 35% of the range; a SHORT candidate closes in the lower 35%.

The candidate still needs a later confirmation. A rejection candle by itself does not produce an absorption-confirmed entry signal.

Why the absorption threshold changes

Absorption confirmation combines three delta requirements:

1. Delta must improve in the proposed direction relative to the setup candle by the configured number of percentage points.
2. It must be strictly better in that direction than the immediately preceding bar’s delta.
3. Opposing delta cannot exceed half the normal delta threshold.

With the default threshold of 8%, the third requirement allows LONG absorption confirmation with delta no lower than −4%, or SHORT absorption confirmation with delta no higher than +4%. Those are limits, not the entire rule. The other requirements may create a stricter effective threshold.

For LONG, the effective threshold combines the setup delta plus the required improvement, −4%, and the previous bar’s delta. For SHORT, it combines the setup delta minus the improvement, +4%, and the previous bar’s delta.

The table simplifies these conditions into Required, followed by the effective comparison. A strict comparison with the previous bar is displayed as `<` or `>`; an inclusive threshold appears as `<=` or `>=`.

Displayed percentages are rounded for readability; calculations use the underlying values. Very close to a threshold, two displayed values can look equal while their full-precision values differ.

Example: a SHORT absorption threshold

Suppose an eligible SHORT absorption setup has delta of +12%, the required improvement is 5 percentage points, and the previous closed bar has delta of −4.44%.

The setup improvement requires delta at or below +7%. The half-threshold limit tightens that to +4%. The previous-bar comparison is stricter still: delta must be below −4.44%.

The ABSORPTION row therefore shows an effective requirement such as:

Required < −4.44% | LIVE −3.0% — WAIT LIVE

At −3%, absorption confirmation is not ready. At −6%, that delta condition passes, although the normal −8% SHORT delta condition does not. A final confirmation still requires the candle to close below the setup’s price level and pass the remaining setup checks.

If no eligible absorption setup exists, NO ABSORPTION SETUP is expected. A favorable delta reading does not create an absorption candidate by itself.

07What STRONG means

The normal delta route and the absorption route are alternatives for confirmation. Either can qualify when the other required checks pass.

When both routes pass together with the price condition, the table can show stronger alignment:

• STRONG SETUP – LIVE, NOT CONFIRMED: provisional intrabar alignment. The bar can still change, and the closing checks remain necessary.
• STRONG CONFIRMED – BOTH RULES: a completed confirmation where both delta routes passed.

STRONG is a description of rule alignment. The two routes share delta information, so they are not independent statistical confirmations. The label is not a measured win rate or a guarantee that the move will continue.

08Live delta versus closed-bar confirmation

LIVE Δ updates as trades arrive. It can change sign, cross a threshold, and fall back before the candle closes. The visual update is throttled to approximately 100 milliseconds, subject to incoming trades and chart rendering.

For example, +5.8% (+451), Volume 7,839 means the developing bar has net positive classified volume of 451 against 7,839 observed total volume. The percentage is rounded.

FORMING BAR identifies a developing bar. PARTIAL BAR means the live preview began after the bar was already underway and may not contain all its trades. The table does not treat that partial preview as a full live confirmation reading.

Confirmation arrows and confirmation candle colors use closed-bar evaluation. A passing live reading can disappear before the close without representing a removed confirmed signal.

Closed-bar signals are calculated from the available historical ticks. Reloading different data, changing settings or changing calculation method can change the reconstructed history; historical results should not be described as immutable under those changes.

09Delta boxes, colors and historical arrows

Each box in the lower panel corresponds to a chart bar and displays its delta percentage when there is enough screen space. The live box updates for the developing bar. Zooming the chart can make its text easier to read.

Box colors represent the indicator’s context state, rather than simply positive versus negative delta. Always read the number and the dashboard together.

Missing or invalid readings may appear as a question mark. That means the indicator lacks a usable calculation, not that delta is zero.

Candle colors are reserved for confirmation and invalidation events. WATCH and neutral states do not recolor every price candle. LONG arrows appear below confirmation bars; SHORT arrows appear above them. Their colors and distance from the candle can be adjusted.

The optional historical-marker setting controls additional state-change markers. Confirmation arrows remain part of the signal display.

10Using LAST SIGNAL

LAST SIGNAL retains the latest confirmed direction, the confirmation candle’s closing price, and its date and time. It stays visible when the current status changes to WATCH or WAIT, and is replaced by the next confirmation.

The price is a reference from the signal bar, not an actual account fill. LAST SIGNAL does not track an open position, profit and loss, or whether the earlier signal remains valid. Read the current SIGNAL row for current context.

On reload, the value is reconstructed from the loaded chart history. It is not a separate permanent trade journal. If that history does not contain a qualifying confirmation, the row cannot recover an earlier signal outside it.

11Main settings

These defaults are starting configuration values, not proven optimal settings. Changing the timeframe or calculation method changes the meaning of the resulting sample and requires a fresh review.

Table position can be selected from TopLeft, TopRight, BottomLeft, BottomRight or Center. Background opacity, table colors, text size, width, box appearance, and signal colors are customizable.

12A practical reading sequence

1. Check data readiness. Allow the initial warmup to finish and resolve any data-error message.
2. Read SIGNAL. Determine whether the table shows a pending setup, a new confirmation or a continuing bias.
3. Read LEVEL. Identify the exact required closing level for a pending setup.
4. Read DELTA and ABSORPTION separately. Note the effective threshold and whether an absorption setup actually exists.
5. Monitor LIVE Δ as a preview. A passing reading before the close is provisional.
6. Review the completed bar. Confirmation is identified by the confirmed state, candle color when enabled, and directional arrow.
7. Use LAST SIGNAL for reference. Keep it separate from the current setup and from any actual account position.

For example, a hypothetical WATCH LONG might require a close above 30,620 and normal delta of at least +8%. A developing bar at 30,623 with +10% delta meets those two conditions temporarily. If it closes back at 30,619, it has failed the price condition. If it closes above 30,620 with qualifying delta and passes the remaining checks, the indicator can confirm the LONG.

13Data requirements and troubleshooting

The indicator loads an additional one-tick series to reconstruct closed-bar delta. Loading time depends on the amount of history, data availability and the platform’s retrieval and processing time.

When data errors appear, verify the loaded history and the provider’s tick and quote availability. Switching methods changes the calculation; it should not be used merely to hide a data problem. Shortening the loaded history can reduce processing work, but also reduces the history available for review and LAST SIGNAL reconstruction.

14Reviewing signals responsibly

Review the indicator using consistent data, settings and calculation method. Compare live or replay observations with the resulting closed-bar signals, and include losing signals as well as successful ones. If evaluating a trading approach around the indicator, account for commissions, spread and slippage, and check separate periods rather than selecting settings only because they fit a few attractive examples.

Delta Context / Scalp provides a structured view of setup, price level and delta confirmation. It does not promise a fixed number of points, measure a guaranteed probability of success, or manage trading risk. Futures trading involves substantial risk; the examples above explain indicator behavior and are not instructions to enter a position.