Delta is the term we use to describe the net difference between the buying and selling entering the market.
It is calculated by subtracting the volume transacted at the bid price from the volume transacted at the ask price. By definition,
MarketDelta considers trades that occur at the ask price to be trades initiated by aggressive buyers.
Trades that occur at the bid price are considered to be initiated by aggressive sellers. Thus, a positive delta would reflect more aggressive buying as the result of motivated buyers lifting the ask. A negative delta would reflect more aggressive selling as the result of motivated sellers hitting the bid.
Delta = Ask Traded Volume – Bid Traded Volume
Delta Calculation
Delta is defined as the difference between the Buying volume and the Selling volume.
There are two ways it can be calculated:
Bid/Ask – Delta can be calculated based on trades occurring at Bid or Ask, as follows:
1. If trade at Ask then trade direction is up & Volume = Buy.
2. If trade at Bid then trade direction is down & Volume = Sell.
BID ⁄ SELL
ASK/ BUY
Up Tick/Down Tick – Delta can be calculated based on price continuing to tick up or down, as follows:
1. If Ask > Last Ask then trade direction is up & Volume = Buy.
2. If Bid < Last Bid then trade direction is down & Volume = Sell
Else Volume = last trade direction.
