Delta profiles and what they add to a volume profile

A delta profile shows which side was aggressive at each price over a session. 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 volume profile shows the total traded at each price. The delta profile splits that total by side and prints the difference. This note builds one six row ES profile, reads it in Liquivue, and lists what the delta profile adds and what it leaves out. The note on delta per price level in a footprint covers the same count inside one bar.

What a delta profile measures

Each row of a profile is one price, or a group of prices if you set a larger row size. For every trade in the period, the platform finds the row and adds the size to buy volume or sell volume. The volume profile draws buys plus sells. The delta profile draws buys minus sells. A row with more buying at the offer shows positive delta, and a row with more selling at the bid shows negative delta.

The sum of all rows equals the session's delta, because each trade lands in one row only.

The session in this example

All numbers below are invented. The market is the E-mini S&P 500 future, ES, where one tick is 0.25 points. The profile covers one morning and uses a row size of one tick.

The session traded 8,600 contracts. Buys total 4,100 and sells total 4,500, so session delta is minus 400.

What the volume profile alone shows

The point of control, or POC, is the row with the most volume. Here it is 5,047.50 with 2,600 contracts. The row below it, 5,047.25, traded 2,200. On a volume profile those two rows look almost the same. Both are long bars in the middle of the session.

What the delta profile adds

The delta profile separates the two rows. At the POC, delta is minus 100, about 4 percent of the row's volume. Buying at the offer and selling at the bid were close to even. At 5,047.25, delta is minus 600, about 27 percent of the row's volume. Sellers traded 1,400 contracts at the bid there, against 800 bought at the offer.

The 5,047.25 row also explains most of the session total. Its minus 600 is larger in size than the whole session's minus 400. The rows at 5,047.75 and 5,047.00, each at plus 200, offset part of it. A trader who reads only session delta sees minus 400 and does not see where it came from.

To compare rows of different size, divide delta by total volume. This gives a delta percentage per row. In the table, the largest is 5,047.25 at minus 27 percent. The smallest is the POC at minus 4 percent.

The same profile in Liquivue

In Liquivue, the volume profile sits beside the heatmap with the VPOC marked at 5,047.50. The delta profile shows 5,047.25 as the row with the largest negative delta. The CVD line ends the morning 400 contracts lower than it started, which matches the sum of the rows.

The heatmap shows what the profile cannot. On the heatmap you can find the trade bubbles that printed at 5,047.25 and check whether a bid band rested at that price while they printed. The note on the point of control explained with one session covers how the VPOC forms.

Liquivue also has a docked HTF chart beside the heatmap, linked to the same instrument. It shows delta footprint and composite volume profiles on time, Renko or tick candles. Liquivue runs in a desktop browser with WebGPU, connects to futures through Rithmic or the NinjaTrader bridge, and costs €20 a month after a 7-day trial. Your provider bills data separately.

What a delta profile does not show

A delta profile counts aggressive trades. It does not show the resting orders on the other side or whether they were opening or closing positions. A row of minus 600 means sellers traded 600 more contracts at the bid than buyers traded at the offer. It does not say price will fall from that row.

The count also depends on how the platform reads the tape. If one large order prints as many small fills, the delta stays the same, but any size filter changes it. Two platforms with different session start times will also build different profiles.

Delta profiles on other platforms

Exocharts lists volume and delta profiles on desktop and web, with TPO, VWAP and CVD. ATAS builds its workspace around cluster charts and volume profiles. NinjaTrader Order Flow+ lists a volume profile and cumulative delta. Before you compare two platforms, set the same session times and row size on both.

A check you can run

Open yesterday's session profile with a one tick row size. Find the two rows with the most volume. Write down the delta of each and divide it by the row's volume. Note whether the two percentages have the same sign.