Max and min delta within a bar

Max and min delta within a bar are the highest and lowest values that bar's running delta reached before the bar closed. Delta is the volume bought at the offer minus the volume sold at the bid. Bar delta reports where that count finished. Max and min delta report how far it travelled on the way. This note builds all three from ten invented ES trades and reads them in Liquivue. The note on bar delta versus cumulative delta covers the final value.

How the running delta works

The running delta starts at zero when a bar opens. Each buy at the offer adds its size. Each sell at the bid subtracts its size. The value after the last trade is the bar delta. The highest value along the way is the max delta, and the lowest is the min delta.

Ten trades in one bar

All numbers below are invented. The bar is one minute of ES, from 10:31:00 to 10:32:00 New York time. One tick is 0.25 points.

The bar traded 400 contracts. Buys total 215 and sells total 185.

Reading the three numbers

Bar delta is plus 30, the value after the last trade.

Max delta is plus 140, reached at 10:31:22 when price traded 5,052.75, the bar's high.

Min delta is minus 60, reached at 10:31:06 when price traded 5,052.00, the bar's low.

Bar delta alone says buyers at the offer traded 30 more contracts than sellers at the bid. Max and min delta show the path. From the peak at plus 140, the running delta fell 110 contracts by the close. From the trough at minus 60, it rose 200 contracts to the peak. A footprint or delta bar that shows only plus 30 hides both of those moves.

Two bars with the same bar delta

Suppose a second bar also closes at plus 30, with a max of plus 35 and a min of minus 5. The running delta in that bar never moved more than 40 contracts. The first bar travelled 200 contracts up and 110 contracts back.

The two bars have the same bar delta. The running delta in the first bar moved five times as far. The range of the running delta, max minus min, is one number that separates them. It describes what traded. It does not forecast the next bar.

The same bar in Liquivue

Liquivue lists CVD, a running delta that keeps counting across bars instead of resetting. To read this bar in Liquivue, note the CVD value at 10:31:00. Then read the CVD line's high and low before 10:32:00 and subtract the starting value from each. If CVD stood at plus 2,400 at the open, its high inside the minute would read plus 2,540 and its low plus 2,340. Those give the max of plus 140 and the min of minus 60.

The trade bubbles on the Liquivue heatmap show where the swing happened. The 80 lot buy prints at 5,052.75, the high, and the sells after 10:31:30 print one and two ticks lower. The docked HTF chart has a delta footprint, which shows delta at each price row in the bar. This site has not verified a separate max and min delta statistic in Liquivue, so read the values from the CVD line as shown here.

Max and min delta on other platforms

Delta statistics depend on how each platform splits bars and assigns the trade side. NinjaTrader Order Flow+ has volumetric bars and cumulative delta. ATAS builds cluster charts that break down the trading inside each candle. Check each platform's documentation for a max or min delta row before you compare numbers, because this site has not verified those rows. The note on delta per price level in a footprint splits delta by price instead of by time.

A check you can run

Pick five one-minute bars from your last session that closed with a bar delta between minus 50 and plus 50. For each one, write down the max delta, the min delta and their range. Count how many of the five had a range more than three times the absolute bar delta.