Delta is the most compact order flow statistic: for one candle, the volume initiated by buyers minus the volume initiated by sellers. One number that says which side pushed harder.
Every trade has an aggressor: the order that crossed the spread to make it happen. Trades executing at the ask are buyer-initiated; trades at the bid are seller-initiated. Classifying each tick this way and netting the volumes gives the bar's delta. VolumeLens performs this classification once per tick on live NSE depth data, feeding delta bars, footprints and CVD from the same source.
Delta is most informative when compared to what price did with it:
The mismatches — effort without result — are where delta earns its place on the chart.
Two bars with identical volume can carry opposite deltas. Volume measures participation; delta measures direction of aggression. Reading them together is strictly more informative than either alone.
The two terms get used interchangeably and describe different levels of detail.
Volume trading conventionally means using the volume bar under the chart — one total quantity per candle. It answers “was this bar busy?” and nothing more. It cannot tell you who was busy.
Volumetric trading means using volume broken down inside the bar: split by price level, and split by side. The footprint chart is the standard volumetric display. Each candle becomes a small table showing how much traded at each price and how that volume divided between buyers and sellers.
Delta is the number that summarises the split. It is the bridge between the two: one figure per candle that carries the side information a plain volume bar throws away.
Exchange data does not label trades as buys or sells — every trade has a buyer and a seller. What can be determined is which side was aggressive: which one crossed the spread to make the trade happen.
The standard rule compares the traded price with the prevailing quotes:
Delta = aggressive buy volume − aggressive sell volume. A candle with delta of +40,000 saw 40,000 more shares lifted from the offer than hit into the bid.
Because this classification is an inference, two platforms can report slightly different delta for the same candle. What matters is that a single platform classifies consistently, so the numbers are comparable to each other across a session.
Two views of the same measurement, answering different questions.
Per-candle delta is a single bar’s net aggression. It is most useful compared against the candle’s own range: a large positive delta that produced only a small upward move is a different event from the same delta producing a large one.
Cumulative delta (CVD) is the running total across the session, reset at the open. It describes the direction of pressure over time rather than in one bar, and it is the view most traders keep on screen. See CVD explained.
A useful way to hold the distinction: per-candle delta is the current reading, cumulative delta is the trend of readings.
Delta is displayed either as a histogram below price or coloured into the footprint itself. The readings traders look for are comparisons, not absolute values.
There is no meaningful “good” delta number in the abstract. A delta of 50,000 is enormous on a mid-cap and unremarkable on an index future, so every reading is relative to that instrument’s own session distribution.
A conventional volume bar answers one question — how much traded. Volumetric analysis adds three more.
| Question | Volume bar | Volumetric / delta |
|---|---|---|
| How much traded? | Yes | Yes |
| At which prices? | No | Footprint / volume profile |
| Which side was aggressive? | No | Delta |
| Was aggression absorbed? | No | Delta vs price movement |
The practical consequence: two candles with identical volume bars can have opposite delta. A high-volume down candle with strongly positive delta means buyers were aggressive into falling price — a very different session from the same candle with negative delta.
Delta needs enough trades per candle for the split to be stable, and that varies sharply across NSE instruments.
Index futures are the most readable — thousands of trades per minute, so even one-minute delta is meaningful.
Liquid large caps are stable on five- and fifteen-minute candles. On one-minute bars the delta of an individual stock is often dominated by a handful of orders.
Thin stocks are not suitable. When a candle contains twenty trades, delta is a description of those twenty trades rather than of any balance of pressure.
One India-specific caution: in the pre-open session and the closing auction, matching does not work by continuous bid/ask crossing, so delta from those windows should not be read the same way as delta from the continuous session.
There is no universal threshold — delta is relative to the instrument's normal activity. Comparing today's delta to the stock's own recent distribution is the meaningful comparison.
Because passive limit buyers can absorb aggressive selling. Sellers crossed the spread (negative delta), but the resting bids were large enough that price still rose.
No. Delta classifies executed volume by aggressor side within the session. Open interest measures outstanding derivative contracts and changes on position creation/closure.
Trading from volume broken down inside each candle — by price level and by side — rather than from a single total volume figure per bar. The footprint chart is the standard volumetric display, and delta is the number that summarises the buy/sell split.
Volume is how much traded. Delta is how that volume divided between aggressive buyers and aggressive sellers — aggressive buy volume minus aggressive sell volume. Two candles with identical volume can have opposite delta.
There is no absolute threshold. A delta of 50,000 is very large on a mid-cap stock and unremarkable on an index future. Delta is read relative to the instrument’s own distribution for that session, and against the price movement it produced.
Aggressive sellers were crossing the spread, but passive buyers absorbed them without letting price fall. Sustained divergence between delta and price direction is one of the more closely watched order flow readings.
A display of per-candle delta as a histogram beneath price, or of cumulative delta as a running line. Both are built from the same side-classified trade data; the histogram shows each bar’s net aggression, the line shows the session trend.
No. Delta measures aggression in executed trades and applies to any instrument. Open interest change measures how many derivative contracts were newly created or closed and exists only in F&O. See open interest explained.