Price/Delta Correlation Indicator: Formula, Settings and How to Read It
Price/Delta Correlation measures the rolling Pearson correlation between the closing price and the bar delta — net aggressive buying minus aggressive selling — across the last N bars. It plots one line bounded between −1 and +1, with a default window of 20.
Senzoukria · Indicators · Updated September 2026
Price/Delta Correlation ships with the Senzoukria desktop app, in the Momentum group of the indicator catalogue. It is drawn in its own panel below the chart.
What Price/Delta Correlation measures
The delta used is the bar total already aggregated by the engine from the trade feed; the indicator does not recompute it, so this line and the footprint cannot end up telling different stories. A positive correlation says price has been moving in the same direction as net aggression, buyers lifting offers while price rises. A negative one says the opposite — price rising while the net flow sells, or falling while it buys — which is the statistical face of absorption. If either series has no variance across the window, a perfectly flat close for instance, the indicator returns nothing rather than zero, and it stays empty until N bars are available.
The formula, as implemented
This is not a description of how the indicator is usually defined elsewhere — it is what the shipped code computes, documented next to the implementation:
Corrélation de Pearson glissante entre le close et le DELTA de barre (`totalDelta`, déjà agrégé par le backend — canon orderflow-calc : on ne recalcule pas un delta divergent). Lecture : > 0 = le prix suit l'agression nette ; < 0 = le prix monte pendant que le flux vend (absorption). Même dégradation que la corrélation prix/volume : σ nul d'un côté → null. Défaut N=20.
How to read it
- Readings near +1 describe a move where aggression and price agree, which is what a session driven by aggressive orders looks like.
- A fall toward zero says price and net aggression have decoupled: either the move continues without matching aggression, or aggression arrives without moving price.
- Negative readings are worth checking against the footprint — they are consistent with resting liquidity absorbing the aggressive side, but the correlation alone cannot confirm it.
- The value is scale-free: it says the two series move together, never by how much. A strong correlation built on tiny deltas is not strong flow.
- The relationship can flip within a session, and both series respond to the same order flow, so the line describes a pattern rather than a cause.
Parameters and defaults
period (20) sets the window. A short window reacts in a few bars and reaches the extremes easily, because a handful of pairs can line up by chance; a long one is steadier but averages across changes of regime. Windows of fewer than about ten bars should be treated as indicative only.
| Parameter | Type | Default | Range |
|---|---|---|---|
| Period | number | 20 | 2 – 500 |
What it does not show
This indicator needs a trade feed that carries the aggressor side, and delta comes from tick data your market data provider supplies, billed by that provider separately from the Senzoukria subscription. Where a feed does not classify the aggressor, both delta and this line become unreliable. Pearson correlation captures only a linear relationship, so a clean non-linear pattern can read near zero. Low-liquidity bars produce small, noisy deltas that can dominate a short window.
Using it in Senzoukria
Add it from the Indicators panel of any footprint chart or candle chart. It runs on futures data from Rithmic or Databento and on crypto pairs from Binance and Bybit, on the same engine — the calculation does not change with the venue, only the data feeding it does. Market data subscriptions are billed by the provider, separately from the app.
Related indicators
See the full indicator library, or start with the order flow guide if you are new to reading aggression, delta and absorption.
Frequently asked questions
- What does a negative price/delta correlation mean?
- It means price and net aggression have been moving in opposite directions across the window — price rising while sellers dominate the aggressive side, or falling while buyers do. That pattern is consistent with resting liquidity absorbing the aggressors, which is why it is worth opening the footprint at those bars. On its own the correlation shows the pattern, not the mechanism behind it.
- Where does the delta used by this indicator come from?
- From the bar's aggregated total delta, computed by the engine from the trade feed's aggressor side and reused as-is here. Nothing is recalculated inside the indicator, so the line always matches what the footprint displays for the same bars. The quality of the reading therefore depends entirely on how your data source classifies buyer- and seller-initiated trades.
- Does this indicator work on crypto instruments?
- Yes — crypto trade feeds carry the aggressor side, so delta and this correlation are computed the same way as on futures. Note that crypto in Senzoukria is analysis only: there is no order routing on those instruments. Volume and delta conventions also differ between venues, so readings from different exchanges are not directly comparable.