Delta

This page covers order-flow delta (volume delta). Options delta, which measures how much an option's price moves for each 1-point move in the underlying, is a different thing.

Delta shows who was pushing, not just how much traded. It warns you before you pay for a green candle that aggressive sellers were actually winning, or buy into a rise that aggressive buyers have already stopped pushing.

Who counts as a buyer or a seller in delta

Every trade has a buyer and a seller, so total buying always equals total selling. Delta gets around this by asking which side was in a hurry. A trader who buys at the ask with a market order is the aggressor on the buy side. A trader who sells at the bid with a market order is the aggressor on the sell side.

Each trade is tagged by the side it filled on, and the tags are added up for the bar. The footprint below splits one bar by price level. The volume sold at the bid is on the left, the volume bought at the ask is in the middle, and the delta for each level is on the right.

Footprint of one bar showing volume sold at bid, bought at ask and delta per price level

Delta is strongest near the top of this bar. As price rose, buyers kept taking the offers. Buyers were still paying up at the highest prices, so the rise had support right to the close.

Cumulative delta adds each bar's delta to a running total, usually through one session. One bar can mislead you. Cumulative delta shows whether aggressive buying or aggressive selling has led for hours.

Reading delta against price: a worked example

The figures in this example are illustrative. Take three 5-minute bars on a futures contract. Each bar makes a slightly higher high than the one before.

• Bar 1: 1,200 contracts bought at the ask, 800 sold at the bid.
• Bar 2: 900 bought, 1,000 sold.
• Bar 3: 700 bought, 1,100 sold.

Bar delta and cumulative delta over three rising bars

Bar 1 delta1,200 - 800= 400

Bar 2 delta900 - 1,000= -100

Bar 3 delta700 - 1,100= -400

Cumulative delta400 + (-100) + (-400)= -100

Cumulative delta after bar 3-100 contracts

Price rose on all three bars. The chart below puts the three candles above their bar deltas: the highs climb while delta falls through the zero line.

Three higher highs in price while bar delta falls from +400 to -400

This is a price/delta divergence. Price makes higher highs, but buyers stop hitting the ask and sellers hit the bid harder. Aggressive selling outweighed buying from bar 2, and by bar 3, cumulative delta had turned negative (-100). If you were about to buy that third high, delta tells you the push behind it has faded.

Here are decision rules you can copy:

• If price makes a new high and that bar's delta is negative, do not chase the breakout. Wait for a bar that closes above that high with positive delta, enter on that bar, and put your stop below the low of that same entry bar.
• If price makes a new low and that bar's delta is positive, be just as careful about selling at that low.
• If price and delta point the same way, delta gives no warning. Manage the trade with your normal stop.

Candles with a bar-delta histogram: skip the new high on negative delta, enter on the close above it with positive delta

Real trade data or a tick estimate: where delta numbers come from

You usually see delta in one of three forms: a histogram under the chart with one delta bar per candle, a cumulative delta line, or numbers printed inside footprint candles.

Futures and most crypto exchanges mark which side started each trade; on stocks, the platform usually infers it from whether the trade printed at the bid or the ask. Either way, delta counts contracts traded, not orders.

Spot forex has no central exchange. Each broker sees only its own order flow. The volume on a typical forex chart is tick volume, which counts price changes, not contracts traded. Tools that show "delta" on spot pairs estimate it by counting up-ticks as buying and down-ticks as selling. That is an approximation. For a cleaner read on a major currency, some traders watch delta on the matching currency futures contract.

Checks before you trade on delta

• Data source: is it real trade data or a tick estimate? Treat a tick estimate as a rough hint only.
• Delta ratio: divide delta by the bar's total volume. A delta of +400 on 2,000 contracts is a 20% lean (400 ÷ 2,000). The same +400 on 20,000 contracts is only 2%, which is close to noise.
• Reset point: check whether cumulative delta restarts at the session open or at the first bar loaded on the chart. The same market can show a very different line.
• Bar range: a large positive delta with a tiny range means resting sellers are soaking up the buying; a large negative delta with a tiny range means resting buyers are. A large delta with a wide range in the same direction is real pressure.
• Thin hours: in quiet periods, a single large order can swing one bar's delta.
• Context: never enter on delta alone. Pair it with a price level you already trust and a stop you have already sized.

Same large positive delta on a tiny-range bar and on a wide-range bar: absorption vs real buying pressure

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