On this page
Delta Efficiency — Tape & flow, in its own panel below the chart.
What Delta Efficiency measures
The numerator is the net delta accumulated over the window; the denominator is the gross delta, the total aggression traded regardless of side. A reading close to 1 means net flow equalled gross flow, so the aggression accumulated without being offset. A reading close to 0 means buyers and sellers hit each other in roughly equal amounts and cancelled out. The window is a rolling one that includes the current bar and is never reset at the session open, so the value is a ratio over the last N bars rather than an anchored cumulative figure. This is Kaufman's efficiency ratio applied to flow instead of closes, which makes it directly comparable with the price-based efficiency ratio in the statistics group.
The formula, as implemented
This is not how the indicator is usually defined elsewhere — it is what the shipped code computes, documented next to the implementation:
Efficience du delta sur N barres : value = | Σ delta[i−N+1..i] | / Σ | delta[i−N+1..i] | ∈ [0, 1] POURQUOI : 1 = les N barres ont poussé toutes dans le même sens, le flux net vaut le flux brut (accumulation propre) ; proche de 0 = beaucoup d'agression des deux côtés qui s'annule (une bagarre, pas une tendance). Deux séquences au même delta net cumulé n'ont pas la même valeur d'information selon qu'il a été obtenu d'une traite ou arraché barre après barre. C'est l'Efficiency Ratio de Kaufman appliqué au FLUX au lieu des CLOSES — `efficiency-ratio` (stats.ts) mesure le chemin du prix, celui-ci le chemin du delta. La même formule sur deux domaines : la comparaison des deux courbes est précisément l'intérêt (prix efficient / flux inefficient = mouvement porté par le retrait de la liquidité, pas par l'agression). Fenêtre = les N dernières barres, courante INCLUSE. Continu, pas de reset de séance : c'est un rapport de fenêtre glissante, pas un cumul ancré. Warm-up (< N barres) → null. Dénominateur nul (N barres à delta exactement nul) → null, jamais 0 : « aucun flux » n'est pas « flux parfaitement inefficient ». Défaut N=10 (le défaut Kaufman, cohérent avec stats.ts).
How to read it
- Read the level, not the direction: the numerator is an absolute value, so a reading of 0.9 tells you the window was one-sided without telling you which side.
- A sustained high reading means the last N bars added flow in a consistent direction; a fall towards the low end means the flow became two-sided while the bars kept printing.
- Compare the curve with the price-based efficiency ratio over the same period: an efficient price path with an inefficient flow path suggests the move was carried by liquidity stepping away rather than by aggression.
- Treat a rise from a low reading as a change in the character of the flow, not as an entry: the ratio does not measure size, and a small window of tiny deltas can still score near 1.
- Gaps in the line are meaningful: the value is left empty during warm-up and when every bar in the window has a delta of exactly zero, because no flow is not the same as perfectly inefficient flow.
Parameters and defaults
Period defaults to 10 bars, the same default used by the price efficiency ratio so the two curves can be overlaid on equal terms. A shorter period reacts faster and swings between the extremes more often; a longer period needs a longer stretch of one-sided flow before it approaches 1 and produces a longer warm-up with no values at the start of the chart. Line colour is the only other setting.
| Parameter | Type | Default | Range |
|---|---|---|---|
| Period | number | 10 | 1 – 500 |
What it does not show
The indicator depends on delta, so it is only as reliable as the aggressor side reported by the data source; a feed that infers the side rather than reporting it will move this line. It says nothing about direction, magnitude or price: two windows with the same ratio can differ by orders of magnitude in volume. Because the window never resets at a session boundary, a value computed across the close and reopen mixes two liquidity regimes. During thin hours, a handful of trades can produce a reading near 1 that reflects the absence of opposition rather than deliberate accumulation.
Related indicators
- Tape Speed — Tape & flow
- Diagonal Imbalances — Tape & flow
- Stacked Imbalances — Tape & flow
- Absorption Score — Tape & flow
- Unfinished Auctions — Tape & flow
- Effort vs Result — Tape & flow
This page in other languages
Frequently asked questions
- What does a delta efficiency of 1 mean?
- A value of 1 means the net delta over the window equals the sum of the absolute deltas, so every bar in the window contributed in the same direction. No bar pushed against the others. It is a statement about consistency of flow, not about size: a window of small one-sided deltas reaches 1 just as a window of large ones does.
- Is delta efficiency the same as Kaufman's efficiency ratio?
- It is the same formula applied to a different input. Kaufman's efficiency ratio compares net price change to the sum of absolute bar-to-bar moves; delta efficiency compares net delta to the sum of absolute bar deltas. Running both lets you compare how directly price travelled with how directly the order flow travelled over the same bars.
- Why is delta efficiency blank on some bars?
- There are two cases. During warm-up, the window does not yet contain N bars, so no ratio is defined. The value is also left empty when the sum of absolute deltas is zero, which happens when every bar in the window has a delta of exactly zero; returning 0 there would claim inefficiency where there was simply no flow.