Delta (bar delta)

Delta is the volume traded at the ask minus the volume traded at the bid. Computed per price level and summed over a bar, it measures whether aggressive buyers or aggressive sellers did more of the trading in that bar.

Senzoukria · Glossary · Updated September 2026

Definition and sign convention

At a single price, delta equals the contracts that traded at the ask (buyers lifting the offer) minus the contracts that traded at the bid (sellers hitting the bid). The bar delta is the sum of those level deltas across every price the bar touched. Positive delta means aggressive buying exceeded aggressive selling; negative means the opposite.

This is the convention used by ATAS and Sierra Chart, and it is the one Senzoukria follows. Some platforms display delta as a percentage of volume or normalise it by range; those are derived views, not a different definition.

  • Level delta = ask volume − bid volume at that price.
  • Bar delta = Σ level delta over the bar.
  • Delta needs the aggressor side. OHLCV bars alone cannot produce it.

Reading it against price

  • Price up with positive delta: buyers pushed and offers gave way. The move is consistent with its flow.
  • Price up with negative delta: sellers were aggressive yet price rose. Resting bids absorbed them, or short covering happened passively. Worth a second look.
  • Large delta with little range often points to absorption at the extreme of the bar.
  • Delta on its own does not tell you where inside the bar the aggression happened. That is what delta at the high and low and the footprint cells add.

In Senzoukria

The bar delta is printed as a text overlay on every footprint bar. The indicator named Delta Histogram draws the same figure as a coloured histogram in a pane below the chart; its formula is the total delta already aggregated by the Rust backend. The cell menu also offers Delta and Centered Delta cell types, where each price shows its own level delta instead of the bid × ask pair.

Bars imported from a Databento ohlcv-1m file carry no delta and no levels. The import screen says so in as many words and warns that a strategy reading delta on those bars would see zero, so that zero must be read as an absence of data, not as a balanced bar.

What it does not measure

  • Not the order book. Delta counts executed trades, not resting size.
  • Not net position. A buyer lifting the offer may be closing a short.
  • Not a forecast. Delta is a description of the auction that already happened.
  • Not comparable across contracts without care: a delta of a given size means something different on ES and on MNQ.

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Frequently asked questions

Why can price rise while delta is negative?
Because delta measures aggression, not the result. If sellers hit the bid repeatedly but large resting bids keep refilling, price can hold or drift up while delta stays negative. The mismatch is usually described as absorption.
Is a high delta bullish?
It shows that buyers were more aggressive than sellers during that bar. Whether that is bullish depends on what price did with it. Strong positive delta at a resistance level that does not break is a warning, not a confirmation.

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