Sierra Chart Numbers Bars calculated values explained: bar delta, volume statistics and how to read them

What the Numbers Bars Calculated Values study does

In Sierra Chart, Numbers Bars Calculated Values is a companion study that turns the bid and ask volume inside each bar into single per-bar statistics. Examples include bar delta, total volume and trade count, which you can display as numbers under your footprint or use in other studies. Numbers Bars shows you where volume traded inside a bar, price level by price level. The calculated-values study summarizes what the whole bar did, so you can compare one bar with the next without adding up cells in your head.

This article explains what the study is for, which statistics it can add, how to place them next to a Numbers Bars footprint, and how to check that the values are right. If you are new to the footprint itself, read how to read a footprint chart first. This article assumes you already have one on screen.

Why a separate study instead of more footprint columns

The Numbers Bars study draws cell-level data: bid volume, ask volume, delta or total volume at each price. That is useful for spotting absorption or imbalances at a specific level. It is less useful for questions like these:

• Did this 5-minute ES bar finish net buying or net selling, and by how much compared with the previous bar?
• Was the bar's delta large relative to its total volume, or just large because the bar was busy?
• How far did delta swing inside the bar before it closed?
• Did this bar have many small trades or fewer, larger ones?

Numbers Bars Calculated Values answers these at the bar level. Because it outputs regular study subgraphs, the values can also be referenced by other studies, alerts or the spreadsheet tools. The footprint cells cannot be referenced the same way. The Sierra Chart Numbers Bars documentation covers both studies, and the Studies Reference lists the calculated-values study with its inputs.

Which bar-level statistics it can add

The exact subgraph names and the full list depend on your Sierra Chart version. Open the study's Subgraphs tab to see what your build offers. The statistics traders use most often fall into these groups.

Bar delta

Bar delta is ask volume minus bid volume for the bar. Ask volume is volume traded at the offer, initiated by buyers. Bid volume is volume traded at the bid, initiated by sellers. A positive value means more aggressive buying than selling in that bar. It does not mean price must rise next.

Delta as a percentage of volume

This normalizes delta by the bar's total volume. A +400 delta on a 40,000-contract NQ bar during the cash open is not the same event as +400 on a 3,000-contract overnight bar. The percentage view makes bars from different sessions comparable.

Maximum and minimum delta within the bar

These record the highest and lowest running delta reached while the bar was forming. A bar that closes with a small delta but had a large maximum delta means buyers were aggressive at some point and were then offset. You lose that detail if you only read the closing delta.

Volume statistics

These include total volume, separate bid and ask volume totals, and, where available, the number of trades. Dividing volume by number of trades gives an approximate average trade size. That can help you tell whether a busy CL bar came from many small orders or from fewer, larger ones.

Cumulative values

Some builds include a running or cumulative delta output. If cumulative delta is your main goal, the dedicated study is the better tool. See the Sierra Chart cumulative delta chart setup for the session-reset details that matter there.

How to add it beside your Numbers Bars footprint

The usual workflow looks like this. Confirm any menu labels in your own installation, because they can change between versions.

1. Open the chart that already has the Numbers Bars study applied.
2. Open the Chart Studies window (Analysis >> Studies), find Numbers Bars Calculated Values in the available studies list, and add it.
3. Open the study's Settings and Inputs. On the Subgraphs tab, leave only the statistics you will actually read visible. For a first setup, bar delta, delta percentage and total volume are enough.
4. Choose where the values appear. You can place the study in its own chart region below the price graph. You can also look for a text or value-label draw style for each subgraph, so the numbers print under each bar instead of plotting as lines.
5. Set colors so positive and negative delta are easy to tell apart, and pick a font size that stays readable at your normal bar spacing.
6. Click OK, then save the chartbook so the layout persists.

A practical layout for ES on a 5-minute chart is a footprint showing bid x ask per 0.25 tick level, with a compact row underneath showing bar delta, delta percentage and volume. On EURUSD futures or a CL chart with 0.01 ticks, the footprint cells get tall and dense. A summary row there saves you from scanning dozens of cells to judge the bar.

If you would rather start from a configured layout than build the regions and colors yourself, the Sierra Chart footprint chartbook gives you a Numbers Bars footprint with bid ask volume, delta and imbalances already set up. You can add or adjust calculated values on top of it.

Data requirements and how to verify the numbers

Calculated values come from the same bid and ask volume data as the footprint. If that data is wrong or incomplete, both will be wrong in the same way.

• Tick by tick data. Set Global Settings >> Data/Trade Service Settings >> Intraday Data Storage Time Unit to 1 tick. The Sierra Chart tick by tick data configuration page explains why, and our article on footprint tick data requirements covers how to check historical bars.
• Cross-check one bar. Pick a single bar, add up the ask column and the bid column in the footprint, and subtract. The result should match the calculated bar delta. Total volume should match the bar's volume in the Chart Values window. If they disagree, look at the data first, not the study.
• Watch older history. Bars stored before you switched to 1-tick storage, or bars downloaded at a coarser resolution, can show zero or unrealistic bid and ask splits. Delta percentage on those bars is meaningless.
• Session boundaries. Per-bar values do not reset across sessions. Cumulative outputs do, depending on settings. Check how your chart defines the session before comparing overnight and day-session bars.

How to read the values without overreading them

These statistics describe what happened in a bar. They are not signals on their own. Some sensible ways to use them:

• Compare, do not judge in isolation. A bar delta means more next to the previous bars at the same time of day than as a raw number.
• Pair delta with price movement. Strong positive delta on a bar that closes near its low is worth noting, because aggressive buying did not move price. That is context for your own process, not a trade instruction.
• Use delta percentage across sessions. It reduces the distortion between the RTH open and quiet overnight trading on ES or NQ.
• Look at the range of delta. The maximum and minimum delta show intrabar battles that the closing delta hides.

Keep the visible row short. Three well-chosen numbers you read every bar are more useful than eight you ignore.

Conclusion

Numbers Bars Calculated Values is the bar-level summary layer for a Sierra Chart footprint. Numbers Bars shows the distribution inside the bar. The calculated-values study condenses it into delta, delta percentage, intrabar delta extremes and volume statistics that you can compare bar to bar or feed into other studies. Set it up with tick by tick data, show only the statistics you use, and verify at least one bar by hand before you trust the row under your chart.

FAQ

Does Numbers Bars Calculated Values work without the Numbers Bars study on the chart?

It calculates from the chart's bid and ask volume data. Check the study's inputs in your version to see whether it references a Numbers Bars study, and keep both on the same chart to avoid confusion.

Why do my calculated values show zero on older bars?

Those bars were most likely stored without bid and ask detail, for example before 1-tick storage was enabled. Recent bars recorded with tick data should show normal values.

Can I use bar delta in an alert?

Because the calculated values are standard subgraphs, other studies and alert conditions can usually reference them. Confirm the subgraph number on the Subgraphs tab when you build the formula.

Will the values be different on a range or volume chart?

The calculation is per bar, so the values depend on how bars are built. A 2,000-contract volume bar on ES and a 5-minute bar summarize different slices of trading, so compare like with like.

If you want a footprint workspace ready for adding bar statistics, browse the Sierra Chart chartbooks at SierraOnShop.