Where cumulative delta should reset

Cumulative delta should reset at the start of the period you want to study. Cumulative delta is a running total of contracts bought at the ask minus contracts sold at the bid. The reset is the moment that total goes back to zero. The note on cumulative delta with ten trades showed that two charts with different start times read different levels and the same change. This note takes one morning and reads it with three reset points.

The example delta totals

Here are invented delta totals for the E-mini S&P 500 future, ES, over two days. CME runs the ES trading day from 18:00 ET to 17:00 ET the next afternoon. The regular session runs from 09:30 to 16:00 ET.

Delta in each row is ask volume minus bid volume for that period. The rows add up to +5,500.

Three readings at 11:00 on Tuesday

1. A count that resets at the 09:30 regular session open reads +2,900.
2. A count that resets at the 18:00 CME trading day open reads -4,200 plus 2,900, or -1,300.
3. A count that started on Monday at 09:30 and never reset reads +5,500.

All three charts show the same trades since 09:30 on Tuesday. One reads positive, one reads negative, and one reads nearly twice the first. A trader who reads the level would describe three different mornings.

Now measure the change from 09:30 to 11:00 on each chart. The first goes from 0 to +2,900. The second goes from -4,200 to -1,300. The third goes from +2,600 to +5,500. Each change is +2,900. The reset moves the line up or down and leaves the change between two times alone.

The regular session open

A reset at 09:30 ET matches the hours when most ES volume trades. The count then starts with the cash equity market. The overnight -4,200 drops out of the reading. That suits a question about the regular session alone. It also hides the overnight selling. A review of how the regular session traded after an overnight decline needs the overnight count.

The CME trading day open

A reset at 18:00 ET matches the exchange's own trading day. The count then includes the overnight hours, so the 09:30 open starts at -4,200 in this example. That suits a question about the whole trading day. Fewer contracts trade overnight than in the regular session, so a few large orders can make up much of that -4,200.

A count that never resets

A count with no reset keeps adding until the chart closes. Its level then depends on when you loaded the chart and how much history it pulled in. Open the same chart an hour later and the starting point may move. In this example the count read +2,600 at Tuesday's open only because it started on Monday at 09:30. Change the start to Monday at 18:00 and it would read -4,200 at the same moment.

An event reset

A count can also reset at a scheduled event, such as an 08:30 ET data release. The count then measures net aggressive buying and selling since the release. Write down the reset time next to any screenshot, because the reader cannot work it out from the line.

Reading CVD in Liquivue

Liquivue has a CVD study next to its liquidity heatmap, trade bubbles and VWAP. Liquivue also loads 1 to 96 hours of trade backfill, depending on the data provider. A running total cannot include a trade the chart has not loaded. Suppose a chart opened at 11:00 on Tuesday with 24 hours of backfill. Its earliest loaded trade would be from 11:00 on Monday, so no count on that chart can include Monday's first 90 minutes.

For that reason, compare changes in Liquivue rather than levels. Pick 09:30 and 11:00 on the chart and read the CVD at each. A rise of +2,900 means the same thing whatever the line read at 09:30. Then look at the heatmap over the same window. Suppose 1,200 contracts rested on the offer at one price and buyers filled 900 of them during the rise. The CVD change counts those 900 contracts. The heatmap shows the 300 still resting afterwards.

NinjaTrader also lists cumulative delta. Its count and Liquivue's count can start at different times, so check the start of each before you compare two charts. The note on what a delta number counts covers why the totals can still differ by a few contracts after that.

What the reset cannot fix

No reset point turns cumulative delta into a forecast. A reading of -1,300 at 11:00 does not mean sellers control the session. It means aggressive sellers traded 1,300 more contracts than aggressive buyers since 18:00 the previous evening.

A check you can run

Write down the CVD value on your chart at 09:30 and at 11:00 today. Subtract the first from the second. Then reload the chart, read the same two times again, and subtract. If the two differences match and the levels do not, your chart's start point moved on reload and the change is the number to keep.