Reading the numbers
Delta, cumulative delta and the footprint
Who was aggressive, how much, and at which price. Bid × ask, imbalances and CVD.
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Every trade has a buyer and a seller; one of them crossed the spread. A trade at the ask is an aggressive buy; at the bid, an aggressive sell. Order flow counts them.
| Term | Meaning |
|---|---|
| Bid × Ask | 320 × 870 at a price: 320 lots sold into the bid, 870 bought at the ask. |
| Delta | Ask volume minus bid volume, per level or per bar. Positive: buyers were the aggressors. |
| Imbalance | Ask at one price against the bid one level below (diagonally), or the mirror for sells, beyond the ratio in Settings → Footprint (3× by default). |
| Stacked imbalances | Three or more in a row: aggressive participation through several prices, often support or resistance later. |
| POC | The price with the most volume in the bar, outlined. |
| Cumulative delta (Cum, CVD) | Bar deltas added up from the session start. It shows whether aggression is building. |
What traders look for
- Confirmation: price rises and CVD rises with it. Aggressive buyers are driving the move.
- Divergence: price makes a new high while CVD makes a lower high. Buyers are lifting price with less and less aggression.
- Absorption: big negative delta at a low, but price won't go lower. Passive buyers are soaking up the selling.
- Exhaustion: tiny volume at a bar's extreme. Nobody was left to push further.
Exact vs estimated
With a footprint feed, delta is counted trade by trade. On plain OHLC bars it is estimated from the bar's shape. Read an estimate for direction only.
Hovering a footprint bar shows Vol, Delta and Cum for it. Click it for the trade summary.