Aggressor side flags across exchanges

Aggressor side flags are fields in an exchange's trade data that say which order crossed the spread. The aggressor is the order that arrived and traded against an order already resting in the book. Delta adds aggressor buys and subtracts aggressor sells, so the flag sets the sign of every trade. The note on what a delta number counts explained the subtraction. This note runs one invented six trade sequence through four venue formats. Then it shows what a misread field does to delta.

How four venues report the side

• CME futures. The MDP 3.0 trade summary message has an AggressorSide field. A value of 1 means the buyer was the aggressor, 2 means the seller was, and 0 means the trade had no aggressor.
• Binance. Each trade in the public trade stream has a field that is true when the buyer was the maker. A value of true means the seller was the aggressor.
• Coinbase. The match message has a side field that gives the side of the maker order. A side of sell means a resting sell order filled, so the buyer was the aggressor.
• US stocks. The consolidated trade reports carry price, size and venue, and no aggressor side. Platforms infer the side from the quote.

The first three venues give the answer directly. In two of them the field names the maker, so the platform has to invert it.

Six trades in four formats

All numbers below are invented. Sizes are in contracts, coins or shares, whichever the venue trades. The second column holds the true aggressor of each trade.

The true delta is 3 plus 5 minus 2 minus 8 plus 4 minus 6, which is minus 4 on 28 traded.

A platform that reads each field the way its venue defines it gets minus 4 from all three columns. Each column uses different values for the same six trades.

What a misread field does to delta

Suppose a tool reads the Coinbase side field as the taker side. Every trade flips. The buys of 3, 5 and 4 become sells, and the sells of 2, 8 and 6 become buys. Delta comes out as plus 4 instead of minus 4. Over a session the error grows with every trade, and the cumulative delta line falls wherever the true line rises.

The same mistake happens with the Binance field if a tool treats true as a buy aggressor. One test catches both. Find a single large print that you know traded at the offer, and check whether the tool counted it as buying.

How stock platforms infer the side

Stock trades carry no flag, so a platform compares each trade price with the best bid and offer at that moment. A trade at the offer counts as a buy, and a trade at the bid counts as a sell. A trade between the two needs a second rule.

In this example, suppose trade 4, the 8 share sell, printed at the midpoint on a venue that matches orders there. The quote test cannot decide it. The tick rule then compares it with the previous trade. Trade 3 printed one cent lower, so the tick rule calls trade 4 a buy.

The inferred delta becomes 3 plus 5 minus 2 plus 8 plus 4 minus 6, which is plus 12. One misclassified 8 share trade moved delta by 16. Stock delta is an estimate built from quotes, and two platforms with different quote timing can disagree on the same trade.

Futures trades with no aggressor

CME sends an AggressorSide of 0 for trades with no aggressor, such as the first trade after a pre-open period. Those orders matched in an auction, so no order crossed the spread.

Suppose the first ES trade after the daily break is 450 contracts with an AggressorSide of 0. One platform leaves it out of delta. Another applies the tick rule and counts it as a buy. For the rest of the session the two cumulative delta lines sit 450 contracts apart, even though every later trade matches. The note on why delta differs between two platforms lists other settings that open gaps like this.

Aggressor side in Liquivue

Liquivue covers futures only, through Rithmic or the NinjaTrader bridge. On CME contracts its CVD study, delta profiles and trade bubbles all depend on the side each trade carries. This site has not verified whether Liquivue reads the AggressorSide field itself or receives the side from the connection. Run the check below on your first Liquivue session, as you would on any platform. The Binance, Coinbase and stock cases do not apply, because Liquivue does not cover those markets.

Other platforms by market

For crypto delta, Exocharts and TensorCharts both list crypto markets. Bookmap and ATAS cover futures, crypto and stocks. On those two, one chart type can run on a flagged feed in one market and an inferred feed in another. Find out which case your symbol falls into before you compare delta across markets.

A check you can run

Export one minute of trades for your instrument. Add up the buy and sell sizes by hand, using the venue's own field, and compare the result with your platform's delta for that minute. If the sign or the size differs, find out which field the platform reads and how it treats trades with no aggressor.