Glossary · Orderflow
Cumulative delta is the running total of aggressive buy volume minus aggressive sell volume — market orders that lift the offer count positive, market orders that hit the bid count negative. Rising cumulative delta means aggressive buyers are in control; falling means aggressive sellers are. It measures who is actually leaning on the market, trade by trade.
Its real power is divergence. When price makes a new high but cumulative delta does not, aggressive buyers are being absorbed and the move is on thin ice. The opposite — price dropping while delta climbs — means sellers are being absorbed.
Plain volume counts how much traded but not who was aggressive. Delta signs each trade by the aggressor: a trade printed at the offer is an aggressive buy (+), a trade printed at the bid is an aggressive sell (−). Cumulative delta is the signed running sum of that series across a bar or a session.
So while volume tells you activity, cumulative delta tells you intent and control — which side kept reaching across the spread to get filled.
The most useful read is when delta and price disagree. Price grinding to a new high while cumulative delta flattens or falls means the aggressive buyers pushing it up are being absorbed by a larger passive seller — classic exhaustion, and a common reversal tell.
The mirror case is bullish: price making a lower low while cumulative delta rises means the sellers hitting the bid are being absorbed by a passive buyer defending the level. Divergence does not guarantee a turn, but it flags where the aggressive side is spending energy without result.
It is computed from the time & sales tape, by classifying each print as a buy or sell at the bid/ask and summing. That means it is only as good as the tape it is built on.
Sharpnel reconstructs the tape and renders cumulative delta on the same chart as the footprint and the DOM — so when delta diverges from price, you can immediately see the resting size doing the absorbing on the ladder, instead of inferring it from a separate indicator.
It means the aggressive side is not moving price. If price makes a new high but cumulative delta doesn't, aggressive buyers are being absorbed by a passive seller — a sign of potential exhaustion and reversal. The reverse (price down, delta up) signals sellers being absorbed.
No. Volume counts trades regardless of side; cumulative delta signs each trade by aggressor (buy at the offer = +, sell at the bid = −) and sums them, so it measures control and intent rather than raw activity.
By trade classification on the tape: a print at the ask is treated as an aggressive buy, a print at the bid as an aggressive sell. Quality of the classification depends on the quality of the underlying time & sales data.
It is typically tracked per session (and also viewable per bar). The session-long running total is what reveals which side has been in control and where price and delta have diverged.
Sharpnel renders cumulative delta on the same chart as the footprint and the DOM, so a delta-price divergence and the resting size absorbing it are on one screen. Free Explorer tier on 15-min delayed data.
