Delta is the net order flow of a candle. Ask volume minus bid volume. Positive means buyers were more aggressive. Negative means sellers were more aggressive. Cumulative delta is the running total of those bar deltas over time. Together they tell you whether the aggression behind a price move is consistent with the direction of that move.
The net for one candle
Bar delta = ask volume minus bid volume for the entire candle. A candle that closes up with a bar delta of +840 is healthy: price moved higher and buyers were the more aggressive side throughout. The price action and the order flow agree.
A candle that closes up with a bar delta of -310 is suspicious: price moved higher, but sellers were actually the more aggressive side. Something pushed the price up, but the raw order flow was sell-dominated. This is the first flag of a potential divergence.
Cumulative DeltaThe running total across candles
Cumulative delta adds each bar delta to the running total. If you reset it at the start of the session, it shows you the net order flow direction across the entire session so far. A rising cum delta means buyers have been the more aggressive side across all candles combined. A falling cum delta means sellers have been dominant overall.
The divergence signal emerges when you compare cum delta direction to price direction over multiple candles:
| Candle | Close | Bar Delta | Cum Delta | Note |
|---|---|---|---|---|
| 1 | 5247.25 | +280 | +280 | Strong buyers |
| 2 | 5247.75 | +195 | +475 | Buyers hold |
| 3 | 5248.25 | +88 | +563 | Weakening |
| 4 | 5248.50 | -142 | +421 | Price up, delta down |
| 5 | 5248.75 | -310 | +111 | Divergence clear |
| 6 | 5249.00 | -445 | -334 | Cum delta negative |
When price and delta disagree
A divergence is not a signal on its own. It is a flag that the current move may lack the order flow support to continue. You need structural context for it to mean something.
Price makes successive higher closes. Cumulative delta is falling, or bar deltas are turning negative while price still moves up. This means sellers are becoming more aggressive as price rises, or buyers are stepping back. If this divergence appears at a known structural resistance level (VP VAH, MP POC, composite level), it is significant. A short setup with structural reason and delta confirmation against the rally. Wait for price to stop making new highs before entering.
Price makes successive lower closes. Cumulative delta is rising, or bar deltas are turning positive while price still moves down. Buyers are stepping up aggressively as price falls. If this appears at a known VP or MP support level, it is a significant long setup. The structural level is attracting aggressive buyers even while price is printing lower. This is order flow confirming a reversal thesis.
Price breaks out of a balance structure to the upside. Cumulative delta is rising hard alongside price. Bar deltas are all positive and large. This is confirmation, not divergence. The order flow is consistent with the direction. No reason to fight the move. In a trend context, delta confirmation means the initiative side is in control and responsive fades will fail.
What delta cannot tell you
Delta only measures who was aggressive on the transaction, not where limit orders are stacked. A large sell order sitting as a passive limit at the ask gets recorded as ask volume (buyer initiated) even though a seller placed the limit there. This is the classification problem: every transaction has a buyer and a seller, and the labeling depends only on who was the market order versus the limit order.
Delta is reliable for measuring relative aggression. It is not a proxy for net supply or demand. Two traders can show you the same delta reading for completely different reasons. Use it directionally, not as a hard signal.