Volume delta compares two groups of trades executed during an interval. One common definition is volume traded at the ask minus volume traded at the bid: a positive value means that the feed classified more volume as buyer-initiated; a negative value means the opposite.
In plain terms — Delta does not count how many buyers and sellers exist: every trade has both. It records which side, according to the available data, accepted the other side's price to execute immediately.
From a trade to the number
Under the ask-minus-bid convention:
delta = volume classified at the ask − volume classified at the bid
If a bar contains 180 units of ask volume and 125 units of bid volume, its delta is +55. The sign summarizes the classification balance; it does not measure limit orders still resting in the order book.
How to read the figure — Follow the executions from left to right: the feed assigns each quantity to a side, then the two totals produce delta. The highlighted points explain the trade, its classification, and the result.
Operational use without shortcuts
Comparing delta with price can show agreement or divergence between two series. By itself, however, it does not prove absorption, exhaustion, or reversal. The same delta can accompany different price outcomes because it does not describe remaining passive quantity, trades on other venues, or the reason behind the orders.
A useful control is to compare bars built from the same instrument, session, and feed. Cumulative delta adds successive deltas over time; a footprint also preserves their distribution by price level.
Why two platforms can disagree
When a feed publishes the aggressor side, software can aggregate that field. If it is unavailable, a platform may estimate direction from the bid and ask, the previous tick, or lower-timeframe bars. Platforms can also differ in their treatment of trades inside the spread, missing data, and historical corrections.
Always verify the platform's definition before using delta. A value calculated from true bid/ask volume is not directly equivalent to one estimated from intrabar price direction.
Sources
- CME Group, MDP 3.0 — Trade Summary — documents a feed that exposes aggressor side, trade price, and quantity.
- Sierra Chart, Numbers Bars — defines bid volume, ask volume, and their difference by price level in its Numbers Bars.
- TradingView, Volume Delta — shows an alternative implementation that estimates delta by classifying lower-timeframe bar volume from price direction.
- Lee and Ready, Inferring Trade Direction from Intraday Data, Journal of Finance (1991) — documents why trade direction must be inferred with a fallible rule when the side is not supplied.