NY Delta Surge

NY Delta Surge — User Manual (No-Hype Guide)

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1) What this tool does

NY Delta Surge is an opening-session indicator for Nasdaq (also works on other liquid indices). It builds a New York Opening Range (ORB) from 09:30–10:00 NY and then evaluates potential continuations (breakouts) or fades (failed breaks) using volume, VWAP, higher-timeframe bias, and a delta-momentum proxy. It does not place trades; it provides structure, signals, and a concise HUD to aid discretionary or rules-based execution.

2) Core logic (summary)

1. Opening Range

   • From 09:30–10:00 NY, the indicator records the session high/low and then locks the range at 10:00.

   • The locked band is the decision frame for the rest of the session.

2. Break classification

   • Follow (Continuation): price breaks an ORB boundary with a confirming 5-minute close beyond it and adequate participation (volume/CVD).

   • Fade (Reversal): price pierces an ORB edge but quickly rejects (wick + close back inside), suggesting trapped breakout flow.

3. Directional gates (must be true in addition to the break pattern):

   • VWAP alignment (above for long / below for short).

   • HTF bias (either H4>EMA200, or H4>EMA20 & D1>EMA50 for long; mirrored for short).

   • VIX regime (optional max threshold).

   • ADR guard (avoid signals when price is already stretched vs. recent daily ranges).

   • Volume/CVD filter (participation/pressure present).

4. Institutional guards (to reduce false signals):

   • Structure integrity (simple swing-based trend check).

   • Displacement strength via RER: breakout bar size relative to ORB size must exceed a minimum.

   • Delta surge: short-term CVD momentum above its own average (proxy for aggressive orderflow).

   • Sweep-trap avoidance: if a fresh liquidity sweep just occurred at an ORB edge, delay entries.

5. Session gate (optional)

   • Signals are restricted to 09:30–15:30 NY to avoid thin or off-hours behavior.

3) Inputs (what they control)

General

• Exchange Timezone (default: America/New_York): for session and ORB timing.

• Shade ORB Build Window / Plot Signal Markers: visual preferences.

Filters

• VWAP Alignment: require location relative to VWAP in trade direction.

• HTF Bias: choose either H4 EMA 200 or H4 EMA 20 + D1 EMA 50 regime.

• VIX < Threshold: suppress signals in high-volatility regimes above your number (e.g., 20).

• ADR Guard: avoids entries after large pre-signal extensions vs. average daily ranges.

• Volume Filter: breakout participation (current vs. average).

• CVD/Imbalance Filter: basic cumulative delta direction.

Signal Logic

• Enable Fade / Enable Follow: toggle the two modes.

• Min Break Ticks: required penetration beyond ORB edge.

• Rejection Wick % (for Fades): minimum wick proportion to qualify a rejection.

• Follow: Retest Required: optional “break-retest-go” confirmation.

Institutional Guards

• Structure Integrity (swing length & gap): basic trend check to avoid flat distribution.

• RER minimum: the Range Expansion Ratio threshold for displacement strength.

• Delta Surge (lookback & MA): short-term CVD momentum above its moving average.

• Avoid Recent Sweep: with lookback window in bars.

Session Gate

• Only fire signals 09:30–15:30 NY: contain signals to regular hours.

HUD / Table

• Text color / Background color / Opacity: visibility on light/dark charts.

  
  

4) Protections — what they do and why

1. VWAP Alignment

   • Why: Institutions reference VWAP for mean-reversion and value anchoring. Trading with VWAP alignment reduces counter-flow exposure.

   • When to relax: If you specialize in mean-reversion/fades with fast exits.

2. HTF Bias

   • Why: Aligning with higher-timeframe trend improves probability that a 5m signal won’t fight the primary flow.

   • Modes:

     • H4 EMA 200: coarse trend filter; fewer trades, cleaner bias.

     • H4 EMA 20 + D1 EMA 50: requires agreement across two faster anchors; more nuanced.

3. VIX Regime

   • Why: High VIX produces wider tails and more failed breaks. A cap (e.g., 18–22) keeps signals to calmer regimes.

   • Note: For metals/indices other than NQ, use qualitatively similar risk proxy if you adapt code.

4. ADR Guard

   • Why: Prevents entries when price already consumed most of its typical daily range.

   • Typical values: 0.7–0.9 of ADR before entry; tighter for continuation, looser for fades.

5. Volume Filter

   • Why: Breaks without rising volume often fail (poor participation).

6. CVD Direction (basic)

   • Why: Requires net buyer/seller pressure in the break direction to avoid one-tick pokes.

7. Structure Integrity (Guard)

   • What: Swing-based check that structure is progressing (not a flat distribution).

   • Impact: Reduces trades during choppy rotations around the ORB.

8. Displacement / RER (Guard)

   • What: RER = breakout candle range / ORB size. Requires a minimum expansion (e.g., ≥ 0.25).

   • Impact: Filters weak pushes that immediately retrace.

9. Delta Surge (Guard)

   • What: Short-term CVD momentum must exceed its own average; proxy for aggressive flow.

   • Impact: Confirms that the move isn’t just passive drift.

10. Sweep-Trap Avoidance (Guard)

    • What: If a very recent candle swept the ORB edge but closed back inside, skip immediate entries.

    • Impact: Avoids classic “engineered sweep then reverse” traps.

11. Session Gate

    • What: Optional limit to 09:30–15:30 NY.

    • Impact: Reduces noise from pre-/post-market and late-day illiquidity.

5) Signals (how to read them)

• LONG / SHORT markers appear only when:

  1. The ORB is locked (after 10:00 NY), and

  2. Either Follow or Fade logic is satisfied, and

  3. All active filters and guards pass, and

  4. (If enabled) Session gate is true.

• Alerts

• Two static alerts: “ORB Long” / “ORB Short”.

• Unified alert (recommended): set alert on “Any alert() function call” for a single channel carrying direction + context (VWAP/HTF/VIX/RER).

  
  

6) Best-practice playbooks

A. Continuation (Follow) workflow

1. Wait for the ORB to lock (10:00 NY).

2. Require 5-minute close beyond ORB edge.

3. Check RER ≥ 0.25, Delta Surge = ON, Volume rising, VWAP aligned, HTF supportive.

4. Optional: retest of the ORB boundary; enter on reclaim in direction of break.

5. Manage risk to the opposite side of the ORB or a fixed ATR/points stop if tighter is desired.

B. Reversal (Fade) workflow

1. Look for wicked rejection back inside the ORB with weak volume and no delta surge in the break direction.

2. Sweep-trap avoidance ON reduces immediate re-entry after a sweep; wait for confirmation candle.

3. Use a tight stop just beyond the swept edge; partials toward VWAP are common.

C. Parameter guidance (starting points)

• Min Break Ticks: 2–4.

• Wick % (Fade): 0.30–0.40 for indices; raise in very high volatility.

• RER: 0.20–0.35; higher = stricter, fewer trades.

• Delta Surge: cvd_mom_len 5 / MA 10 is a practical default.

• ADR gate: 0.8 for follow, 0.9–1.0 if focusing on fades.

• VIX cap: 18–22 for NQ; adapt to regime.

7) HUD (what each row means)

• ORB High / ORB Low / ORB Size: Locked values after 10:00 NY.

• VWAP / HTF / VIX / ADR: Current filter states.

• Vol / CVD: Participation snapshot (rising/soft; up/down/flat).

• Guards:

  • Struct: Up/Down/Flat or Off

  • RER: Current value and threshold

  • Δ: Momentum reading and pass/fail tick

  • Sweep: Clear/Hold

• Signals: The latest evaluation (not a trade log).

8) Usage notes & limitations

• Delta proxy: Without full depth data, CVD is approximated from candle direction × volume; treat it as a pressure proxy, not literal order-book delta.

• Backtest vs. live: Signals are computed on bar close for robustness. Intrabar execution will differ.

• Instruments: Tuned for NQ/US100 on 1–5m. Parameters should be refit for other markets (ES, YM, XAUUSD) due to different volatility and session microstructure.

• Regime shifts: Revisit VIX cap, ADR gate, and RER in periods of structural volatility change (earnings seasons, macro releases, policy days).

9) Risk management (suggested)

• Initial stop: beyond the ORB edge or fixed points (e.g., 20–25 points for NQ as a starting reference).

• Targets: 1R to the mid-range and 2R toward logical magnets (VWAP, prior day levels, session extremes).

• Position sizing: fixed-fractional or volatility-scaled (e.g., dollars per point ÷ stop distance).

• No averaging losers. If a guard flips against you (e.g., Delta Surge disappears and structure breaks), reduce exposure quickly.

10) Quick checklist (pre-trade)

1. ORB locked; we’re past 10:00 NY.

2. Follow: 5-minute close beyond edge + RER pass + Delta Surge + Volume rising.

   Fade: rejection wick back inside + weak volume + no pro-break delta.

3. VWAP alignment and HTF bias OK.

4. VIX below cap; ADR not overstretched.

5. No fresh sweep trap; Structure consistent with direction.

6. Session gate (if used) is true.

7. Stop/target pre-defined; alert set if you require push notifications.

⚖️ User Parameters

Setting	Description
LabelPrefix	Custom prefix to identify bot trades.
Volume	Fixed trade volume (lot size).
StopLossPips	Hard stop loss distance in pips.
TakeProfitPips	Hard take profit distance in pips.
EnableFade / EnableFollow	Toggles trade type.
PartialClose	Enables 50% partial close at 50% TP distance.
HTFMode	H4 EMA200 or H4 EMA20 + D1 EMA50 for directional bias.
RERThreshold	Minimum displacement ratio required.
DeltaSurgeLookback / Smoothing	CVD momentum filter.
SessionStart / SessionEnd	NY hours for operation (default 09:30–15:30).

Core Logic Summary

• During the first 30 minutes after the NY open, the bot captures the session high/low.

• After 10:00, if price:

  • Closes beyond the range with strength (RER > threshold) and volume aggression present, it triggers a Follow trade.

  • Sweeps one edge but rejects with weak delta and a large wick, it triggers a Fade trade.

• Entries are validated by all guards before submission.

Protection Mechanisms Explained

Protection	Description	Benefit
VWAP Alignment	Only buys above, sells below VWAP.	Avoids fighting value.
HTF Bias	Filters trades by trend on higher timeframe.	Keeps trades with flow.
RER Displacement	Checks if breakout candle is significant vs ORB.	Avoids weak moves.
Delta Surge	Confirms aggressive order flow direction.	Confirms participation.
Sweep Trap Avoidance	Waits if a liquidity grab just occurred.	Prevents stop hunts.
Session Gate	Disables trading outside NY hours.	Avoids low-liquidity moves.

💡 Best Practices

• Use 5-minute charts or lower for signal generation.

• Align cBot’s server clock to UTC-5 (New York time) for accurate ORB behavior.

• For testing, start with fixed lot = 0.1, SL = 200 pts, TP = 400 pts.

• Verify signal confluence with VWAP & HTF bias manually before enabling live mode.