Cumulative delta explained with ten trades

Cumulative delta is a running total of aggressive buy volume minus aggressive sell volume, counted one trade at a time. Each trade at the ask adds its size. Each trade at the bid subtracts its size. Most platforms draw the result as a line under the price chart and label it CVD, for cumulative volume delta.

The earlier note on what a delta number counts covers how a platform decides which side a trade belongs to. This note takes that classification as given and follows the running total through ten trades.

The ten trades

Here is an invented sequence in the E-mini S&P 500 future, ES, where one tick is 0.25 points. The aggressor is the order that crossed the spread. A buy aggressor lifted the offer, and a sell aggressor hit the bid.

The ten trades total 200 contracts. Aggressive buyers took 130 and aggressive sellers hit 70, so cumulative delta ends at +60.

How the line moves

Plot the last column and you get the CVD line. It rises to +20, falls to -15, climbs to +50, drops to +15 and finishes at +60. Over seven seconds, price moved between 5,029.75 and 5,030.25, a range of two ticks.

Split the sequence in half. Trades 1 to 5 add up to +10. Trades 6 to 10 add up to +50. Most of the net buying came in the second half, and the steeper slope of the line shows it. The slope tells you the rate of net aggressive buying. The height of the line, on its own, tells you little.

Why the level does not matter

Suppose this chart started counting at the 09:30 open, and cumulative delta stood at +1,840 just before trade 1. The line would then run from +1,852 to +1,900. A second chart that started counting at 18:00 the previous evening might read -3,200 before trade 1 and -3,140 after trade 10.

The two charts show different numbers, and both show the same change of +60. Compare changes over the same window, and never compare levels between charts with different start times. A later note covers where a cumulative count should reset.

Reading the same trades in Liquivue

In Liquivue, the CVD study draws the line from the table. The ten trades also print as trade bubbles on the liquidity heatmap at their prices. The heatmap behind the bubbles shows the resting size those trades filled against.

Take trades 6, 9 and 10. Buyers lifted 85 contracts at 5,030.25 in four seconds. The CVD line climbs, but it does not say how much size was resting on the offer at 5,030.25. Suppose the heatmap showed 300 contracts there before trade 6 and 215 after trade 10, with no new orders joining. Then the 85 contracts took 28% of the offer, and 215 contracts still rest there. Now suppose the heatmap showed 90 contracts at 5,030.25. Then the 85 contracts took nearly all of it.

The CVD line looks identical in both cases. Liquivue puts the resting size and the CVD line on one screen, so you can compare the contracts that traded with the contracts the offer held.

What cumulative delta cannot tell you

A rising line counts aggressive orders. It does not say who made money or where price goes next. A seller resting 2,000 contracts on the offer adds +2,000 to the line every time buyers fill against it. Cumulative delta also hides trade size. The +60 here could come from two large orders or from sixty one-lots.

NinjaTrader also lists cumulative delta, and GoCharting lists volume delta. Liquivue lists CVD along with volume and delta profiles. The glossary defines aggressor, bid volume and ask volume.

A check you can run

Open a CVD line and the time and sales for the same contract. Pick ten consecutive trades. Write down each size and side, keep a running total by hand, and compare your final change with the change on the CVD line over the same trades. If they differ, your platform is grouping fills or classifying trades in a way your hand count did not.