Delta condenses a footprint into one number per bar: aggressive buying minus aggressive selling. Cumulative delta (CVD) adds those numbers up through the session, giving a running total of who has been more aggressive.
Delta
Delta = volume traded at the ask − volume traded at the bid. A bar with 1,200 contracts bought at the ask and 800 sold at the bid has a delta of +400. Positive delta means buyers were more aggressive; negative, sellers.
Cumulative delta
Cumulative delta is the running sum of each bar's delta since a starting point, usually the session open. It is often plotted as a line below price. In a healthy uptrend, price and cumulative delta rise together.
| Price | Cumulative delta | Common reading |
|---|---|---|
| Higher high | Higher high | Aggressive buyers driving the move; healthy |
| Higher high | Lower high | Bearish divergence: the push lacks aggression |
| Lower low | Higher low | Bullish divergence: selling aggression fading |
| Flat or falling | Rising strongly | Buying being absorbed by passive sellers; watch for a drop |
Worked example
ES sweeps the previous day's high at 5,215. The sweep bar shows delta of +900, but price closes back at 5,211.
Heavy aggressive buying with no follow-through is absorption at a liquidity level: a classic confirmation of a sweep.
Key takeaways
- Delta is aggressive buying minus aggressive selling for one bar.
- Cumulative delta is the running total of delta through the session.
- Divergence between price and cumulative delta shows a move losing aggression.
- Big delta without price progress at a key level signals absorption.