What Is Delta in Order Flow?
Delta is aggressive buy volume minus aggressive sell volume. It condenses the bid/ask split of a bar or a price level into a single signed number — positive when buyers were the aggressors, negative when sellers were.
How delta works
Every trade has an aggressor: the side that crossed the spread. Tally the volume of aggressive buys, subtract the volume of aggressive sells, and the result is delta. A bar that traded 1,000 of aggressive buying and 600 of aggressive selling has a delta of +400. The same calculation applies at a single price level (per-level delta) or across an entire bar (bar delta).
Delta puts a direction on participation. Raw volume tells you a bar was active; delta tells you which side did the lifting — information a plain volume figure cannot carry.
Delta vs volume
Delta and volume measure related but distinct things.
| Volume | Delta | |
|---|---|---|
| Counts | All traded contracts | Aggressive buys minus aggressive sells |
| Sign | Always positive | Positive or negative |
| Answers | How much traded? | Which side was aggressive? |
| Edge case | High volume, balanced sides | Near-zero delta despite heavy volume |
Why bid/ask volume matters
Delta exists only because trades carry a bid/ask split. Without knowing which side was the aggressor, you could not separate buying pressure from selling pressure — you would just have a volume total. The split is what gives delta its meaning:
Reading delta against price helps you spot:
- Agreement — price rising with positive delta describes buyers driving the move.
- Divergence — price rising while delta is flat or negative may reflect offers being lifted without follow-through, or sellers being absorbed.
- Absorption — a large delta that barely moves price, a descriptive sign the other side is absorbing it.
These are descriptive readings of completed activity, not predictions about what price will do next.
Example
FAQ
What is delta in order flow?
Delta is aggressive buy volume minus aggressive sell volume. It condenses the bid/ask split of a bar or price level into a single signed number: positive when buyers were the aggressors, negative when sellers were.
How is delta different from volume?
Volume counts everything that traded; delta counts the net direction of aggression. A high-volume bar can have near-zero delta if buying and selling were balanced, and a quiet bar can show a large delta if one side dominated.
What is cumulative delta?
Cumulative delta (CVD) is a running total of delta over time. It adds each bar's delta to the last, drawing a line that shows how aggression has accumulated across a session.
Does delta predict price?
No. Delta describes aggression that already happened. It is analytical context, not a signal or forecast — strong delta with little price movement, for instance, often means the other side is absorbing it.
Read delta on live crypto data
Open the TSP Core dashboard and watch per-bar and per-level delta update in real time.