Delta bars

Definition and construction

Delta, in orderflow, is the volume executed at the ask minus the volume executed at the bid. A delta bar accumulates that quantity trade by trade from the moment it opens. When the running delta reaches +N or falls to −N, where N is the configured threshold in contracts, the bar closes. The next trade opens a new bar with a running delta of zero.

The rule is symmetric: a bar can close on buying aggression or on selling aggression. A completed delta bar therefore always carries a delta whose absolute value is at least the threshold, and its sign tells which side closed it.

• Trades without a known aggressor side cannot contribute to delta. A feed that does not carry the side cannot build delta bars honestly, and the chart should say so rather than count those trades as zero.
• A single large trade can close a bar on its own and overshoot the threshold; the overshoot belongs to that bar and is not carried into the next.
• Duration, volume and price range of a delta bar are all unconstrained.

What a delta bar shows that other bars hide

• A long sequence of bars closing on the same side describes sustained one-sided aggression, whatever the clock says.
• A delta bar that closed on buying but whose close is below its open shows price falling while buyers were the aggressors: the footprint inside it will show where passive sellers absorbed them.
• Bar duration becomes an indicator in itself. A delta bar that needed twenty minutes to reach the threshold describes a balanced tape; one that closed in seconds describes a burst.
• The cumulative delta curve, when drawn on delta bars, moves by roughly the threshold each bar, so its slope reads as bars per unit of time rather than as delta per bar.

In Senzoukria

Delta bars are the fifth entry of the grain menu on the Footprint page, alongside time, tick, volume and range bars; the guided tour step "Timeframes and bar types" opens that menu. The threshold is the grain value chosen when the bar type is selected.

The bars are assembled from the trade stream with each trade's aggressor side, the same classification that feeds the Bid × Ask cells and the cumulative delta indicator. On crypto sources the side comes from the exchange's own flag (Binance's buyer-is-maker flag, Bybit's taker side), so a delta bar on BTC uses the venue's convention, not a guess from the last price.

Pitfalls

• Mixing thresholds across instruments. A 500-contract threshold on ES and on MES are not comparable; MES trades a fraction of the notional per contract.
• Expecting delta bars from candle data. Candles carry no aggressor side, so imported OHLCV history cannot be re-cut into delta bars.
• Reading the bar count as volume. Many delta bars mean many threshold crossings; total volume may be modest if the tape was one-sided.
• Using a cumulative delta reset at a different anchor than the bar builder. The session CVD in the catalog resets at the 17:00 CT open; bars that straddle that reset should not be read across it.