Delta on large trades only, and what the filter changes

Delta on large trades only is a delta count that ignores every trade below a size you set. Delta is buy volume minus sell volume, where a buy is a trade that lifted the offer and a sell is a trade that hit the bid. A large trade filter keeps the same arithmetic and drops the small trades first. This note runs one invented ES bar through three thresholds and shows how much the delta changes. The note on bar delta versus cumulative delta covers the plain count.

The bar in this example

All numbers below are invented. The market is the E-mini S&P 500 future, ES. The bar covers one minute and holds 12 trades. The tape in this example joins the fills of each aggressive order into one print.

Buys add up to 70 contracts and sells to 68. The bar traded 138 contracts, and its delta is plus 2.

Delta at three thresholds

A filter of 20 contracts keeps trades 3, 5, 8 and 10. Buys are 25 plus 30, which is 55. Sells are 40 plus 22, which is 62. Delta on large trades is minus 7.

The four large trades hold 117 of the 138 contracts, or 85 percent. They are a third of the trades and most of the volume.

The sign changes three times across four rows. A filter at 25 drops the 22 lot sell, and delta jumps from minus 7 to plus 15. A filter at 30 drops the 25 lot buy, and delta falls to minus 10. One print near the threshold can decide the sign of the bar. Write the threshold on any chart you save.

The small trades carry their own delta. Below 20 contracts, buys are 15 and sells are 6, so small trade delta is plus 9. Large and small add back to the bar total, because minus 7 plus 9 is plus 2.

How aggregation changes the filter

The filter reads the tape, so the tape's aggregation setting changes which trades it keeps. On an unaggregated tape, each fill of an order prints on its own. Say the 40 lot sell in trade 5 traded against six resting orders of 9, 8, 7, 7, 5 and 4 contracts. On that tape, no part of it reaches 20 contracts.

With a 20 lot filter on the unaggregated tape, the kept trades are the 25 and 30 lot buys and the 22 lot sell. Delta on large trades becomes plus 33, against minus 7 on the joined tape. The same exchange trades give two different answers. The note on why your tape and another platform's tape do not match works through tape aggregation with one 30 lot order.

What large trade delta does not tell you

A large aggressive print shows that one order took liquidity at that moment. It does not show why. The order may open a position, close one, or hedge a position in another market. A 40 lot sell from a trader closing a long reads the same as a 40 lot sell from a trader opening a short.

Large trades also include prints with no aggressor in the outright book. Spread leg trades and block trades can print at sizes above most thresholds. The note on large prints on the tape covers how to tell them apart.

Large trade delta on order flow platforms

NinjaTrader Order Flow+ lists cumulative delta and Trade Detector. ATAS has a Big Trades view, and its current dxFeed documentation says historical Big Trades are unsupported for dxFeed instruments. Exocharts has Big Trades for limit and market trades. This site has not verified a size filter on the delta study itself on any of these platforms, so open the settings and check.

Liquivue draws trades as bubbles on its futures heatmap, beside a CVD line that counts every trade. This site has not verified a size filter on the Liquivue CVD. To build the table above in Liquivue, read the large bubbles in the bar and add their sides by hand. The glossary defines delta, CVD and the aggressor side.

A check you can run

Pick one busy minute in your own data. Work out delta for all trades, then at two thresholds, such as 10 and 20 contracts for ES. Note whether the sign changes. Repeat on five minutes from the same session, and count how many change sign between the two thresholds.