Delta Arbitrage [by Oberlunar]

11월 1일

Delta Arbitrage turns fragmented exchange activity into a single, readable pulse. Each broker breathes at its own rhythm; this tool measures the share of “buy vs. sell” participation per broker, weights those brokers by liquidity/activity, and blends them into one continuous bias. The result is a chart you can read in seconds: aqua when buy-side dominates, red when sell-side does—stronger shades for stronger imbalances.

Delta Arbitrage indicator supports several ways to colour candles based on the aggregated, cross-venue delta, so you can match visual feedback to the strength/consensus of flow.

Examples

LONG opportunity — broad bullish agreement (>70% weighted Buy%)
In this case, a LONG setup formed because a high proportion of brokers simultaneously pushed bullish volumetric deltas (>70%).



The corridor then stayed positive across multiple bars, with sustained long strength in agreement across venues:
Follow-through:



SHORT opportunity — broad bearish agreement (<20% weighted Buy%)
Here, a SHORT setup formed because a high proportion of brokers simultaneously pushed bearish volumetric deltas (<20%).


The corridor remained negative over several bars, showing high-intensity short pressure in cross-venue agreement:
Follow-through:


Spectral mode
You can enable the spectral mode, where range candles are colored only when multiple brokers are in volumetric agreement. You’ll see bullish pressure when weighted Buy% exceeds ~70%; when direction changes, range candles fade out and the lower tiles flip red to reflect rising short pressure.
Example:




How it’s built (in plain words)

• For every selected broker, the script computes a robust Buy% over a rolling window and maps it to a signed bias (−1…+1).
  
• Venues are then combined with flexible weighting—Equal, Last Volume, SMA Volume, or Relative-to-SMA—to emphasise who is active now.
  
• A small neutral band near zero calms noise; an intensity curve (gamma) makes strong pushes visually obvious without overshooting weak ones.
  

What you see

• Tinted bars/background : the aggregate bias colours the chart so the prevailing side is instantly clear.
  
• Dashboard: a compact meter for each venue (SELL⇄BUY), its normalised weight, and exact Buy%/bias, plus a summary line for the weighted & unweighted aggregates. It shows whether one venue is dragging the whole market or if participation is broad.
  
  
• Lower panel (timeline): a tile-per-bar strip using the same bias logic. Long, saturated runs = sustained participation; choppy, desaturated tiles around zero = balance/compression. The strip’s height is fixed vs. a recent range, so it remains legible on any zoom.
  

How to act on it (minimal, auditable rules)

• Entries: a one-shot arrow when the weighted Buy% crosses a high/low threshold (e.g., >70 for longs, <30 for shorts).
  
• Exits: trail the indicator itself—close when the weighted Buy% retraces by a set number of points from its peak (long) or trough (short).
  
• Context: prefer entries that align with a fresh, persistent run in the lower strip and supportive rows in the dashboard; fade/exit when the strip desaturates or flips.
  
• Do not operate when the average volumetric pressure (avg) is around 50% +- 15%
  

Why it matters
This is not tick-level microstructure; it’s a fast, stable cross-venue proxy designed for operational use on any timeframe. By unifying “who’s in charge, for how long, and how strongly,” the indicator reduces discretionary noise and turns participation into a tradable, testable context.

— Oberlunar 👁 ★

그저께

릴리즈 노트

Small bug fixes and improvements, computations are now faster.
Dashboard positioning has been improved -
now available on the main graph or as a sidebar option.