Bar delta versus cumulative delta

Bar delta and cumulative delta use the same trades, and the difference between them is when the count resets. Delta is the volume that traded at the ask minus the volume that traded at the bid. Bar delta counts that difference inside one bar and resets with each new bar. Cumulative delta, or CVD, adds every bar's delta to a running total from a chosen start time. The note on cumulative delta with ten trades built a running total trade by trade. This note builds both readings from six bars and shows where they disagree.

The six example bars

Here are invented five-minute bars for the E-mini S&P 500 future, ES, from the 09:30 ET open. Ask volume is the contracts bought by orders that took the offer. Bid volume is the contracts sold by orders that hit the bid.

Each bar delta is its ask volume minus its bid volume. Each cumulative delta is the previous total plus the new bar delta. The six bars add up to +1,300.

What bar delta answers

Bar delta describes one bar. In the 09:45 bar, aggressive sellers traded 500 more contracts than aggressive buyers. That number does not depend on what happened at 09:30. Open the chart at 09:44 or at 09:31, and the 09:45 bar still reads -500.

Bar delta also depends on the bar period. Group the same trades into ten-minute bars and you get three bars.

1. 09:30 to 09:40 reads +1,900.
2. 09:40 to 09:50 reads -200.
3. 09:50 to 10:00 reads -400.

The 09:55 five-minute bar read +200. On the ten-minute chart, those trades sit inside a bar that reads -400. The trades did not change, and the bar boundary did.

What cumulative delta answers

Cumulative delta describes the whole window since the start time. When the 09:50 bar closes, it reads +1,100. That means aggressive buyers traded 1,100 more contracts than aggressive sellers since 09:30. The level includes the +1,200 from the first bar, so it cannot tell you how the 09:50 bar traded on its own.

The period does not change the cumulative total at a bar's close. The five-minute chart and the ten-minute chart both read +1,300 at 10:00. The start time does change it. The note on where cumulative delta should reset shows the same morning reading positive or negative, depending on the reset.

Where the two readings disagree

The 09:50 bar has a delta of -600, and the cumulative delta at its close reads +1,100. A reader who looks only at the CVD line sees a positive number. A reader who looks only at the bar sees net selling. Both readings are correct. One covers a single bar and the other covers the whole window.

The CVD line shows the disagreement as a slope. Across the 09:45 and 09:50 bars, the line falls from +2,200 to +1,100 and stays above zero. Bar delta shows the same trades as two negative bars in a row. Neither number predicts the next move in price, and the note on delta divergence and why it is often noise covers why.

Reading both in Liquivue

Liquivue has a CVD study next to its futures heatmap, trade bubbles and VWAP. For this example the Liquivue CVD line would rise from 0 to +2,200 by 09:45, fall to +1,100 by 09:55 and end the six bars at +1,300. Liquivue loads 1 to 96 hours of trade backfill, depending on the data provider, so the CVD can only count trades from the first loaded trade onward.

For bar delta, use the docked HTF chart. It is a linked candle chart that sits beside the Liquivue heatmap and shares its instrument and crosshair. Set it to five-minute candles with the delta footprint on. The delta footprint shows ask volume minus bid volume at each price inside each candle. Suppose the 09:45 candle covers six prices with deltas of +100, -150, -200, -50, -250 and +50. Those rows add up to -500, the bar delta in the table.

Move the crosshair to 09:45 on the HTF chart and the heatmap shows the same moment. The heatmap then shows the resting size at the prices where those 2,900 bid-side contracts traded.

Bar delta on other platforms

NinjaTrader lists Cumulative Delta in its Order Flow+ tools. Exocharts lists CVD with footprint clusters and delta profiles. Platforms can classify a few trades differently, so the same bar may read a few contracts apart on two platforms. The glossary defines ask volume and bid volume.

A check you can run

Pick a five-minute bar on your chart and write down its bar delta. Then read the cumulative delta at the close of the bar before it and at the close of this bar. Subtract the first from the second. If the result matches the bar delta, both readings use the same trades and the same classification.