Volume Delta

Volume-Delta highlights the difference between quantities hitting ASK (where the aggressor is the buyer) and quantities hitting BID (where the aggressor is the seller) in a specific timeframe corresponding to the chart resolution. In other words, in a 1-Minute resolution chart, delta will be calculated as the difference between ASK sizes minus BID sizes accumulated over any single minute.

Volume-Delta formula is as follows:

VD = ASK sizes – BID sizes

A positive delta will show more buyers than sellers. Conversely, a negative delta will show more sellers than buyers. The overall quantity traded and the order of magnitude of the delta are also very important. The greater the delta in absolute value, the greater the strength of the market in one direction or the other.

1-tick data is needed to calculate Volume-Delta. If your data-feed does not provide historical 1-tick data, the indicator will be calculated based on real-time data only. You will therefore not see the historical part of the indicator.

Volume Delta – CUMULATIVE #

Cumulative Volume-Delta is calculated starting from a specific date/time and never reset. In other words, quantities hitting Bid and those hitting Ask accumulate “infinitely” starting from a specific date/time defined in the calculation properties.

Volume Delta – SESSION #

Session Volume-Delta (and bid / ask quantities) is calculated for every session and reset at the beginning of each new session. It is also possible to calculate the indicator only during a specific time interval within the session.

Volume Delta – BAR #

Bar-Volume-Delta is calculated for every single bar of the chart and reset at the beginning of each bar.

Calculation Properties #

Volume Delta basically has 2 important calculation properties:

Calculation Method

2 options available:

  • Bid/Ask: (recommended) the size of every single trade is attributed to Bid or Ask depending on the trade execution price.
  • Tick Direction: trade size is attributed to Bid or Ask based on the direction of current trade execution price compared to the previous trade price. More precisely, if current price is higher than previous price the size is attributed to ASK, if lower to BID, if equal it is attributed to Bid or Ask based on previous trade attribution.

We always recommend using the Bid/Ask calculation method. Unfortunately, some data-feeds do not provide information on where the trade was executed (bid or ask). In real time this problem is solved by Overcharts using Bid/Ask data streaming, but for historical data the problem is NOT solvable. In these cases the indicator will be calculated using real time data only and will start the moment you connect to the data-feed. Historical part will therefore be absent. If your data-feed has this limitation, we recommend using Tick Direction calculation method.

Calculate Using…:

  • Volume: (recommended) the actual trade volume is used in the calculation.
  • Tick Count: calculation is done using the number of trades. In this type of calculation each trade has the same weight regardless of size.

Trade Size Filter #

By setting Trade-Size-Filter properties you can filter Trades based on size. Trades that do not meet the condition will not be considered in the calculation.