Delta is the net difference between the BID and ASK at any price (footprint delta), the respective bar (bar delta) or the whole day (cumulative delta).

Delta is calculated by subtracting the BID volume from the ASK volume. ATAS can use internal calculations to illustrate whether or not sellers or buyers are acting aggressively. A positive or negative delta will show you whether you are trading aggressively in the BID or ASK.

Calculation: Ask Volume (minus) Bid Volume = Delta.

The components required to calculate the delta are: bid price (BID), bid price (ASK), last trading price, last trading volume and time.

For example: If the offer price for Crude Oil is 63.50, the bid price is 63.51 and 25 contracts are traded at 63.51, then the delta would be counted as 25. If a second trade occurs, but this time the trade comes with the money price of 63.50 for 10 contracts, the delta for that trade would be -10 and the entire bar would now display a delta of 15.

Footprint Delta

A positive delta has a green background and reflects a “positive” order flow as buyers are more aggressive at this price. A negative delta has a red background and reflects a “negative” order flow, the result of the more aggressive sellers at this price.

There is a high correlation between the price and the order flow, so you have the ability to see possible price changes via the footprint chart. AtAS provides you with a valuable tool to analyze the markets in this way. Furthermore, ATAS can filter the delta so that only values of a certain order of magnitude are displayed. The gradation of the colour surfaces can be adjusted individually to the market to be traded.

Bar Delta

This is the sum of the delta for each bar. So whether time, range or Renko charts – the software calculates the delta for each bar and displays it at the bottom of the chart as a histogram or numerical value. The following are 2 different ways to view the Delta Bars.

One advantage of the Bar Deltas is that you can create an overview and concentrate on the order flow for the entire bar. A good way to use it is to compare the bar and/or cumulative delta with the price. Is there a divergence? In the case of divergences, the price direction is always right. If the delta falls, but the price rises, it can be assumed that sellers will have to sit in their position and stock up – which in turn become market buys that drive up the price. Another option is to look for patterns in a number of bars.

 This image shows the Delta bars as histogram.

This image shows the delta bar as a numeric value in the line labeled “Delta”.

Cumulative Delta

Cumulative delta is like an overview because it represents the entire session or the day or contract. So no matter how the time horizon or interval of charts is set, the software shows you a running total of deltas. Here are 2 different ways to represent cumulative delta. The 0 line shows you whether the majority is net long or short.

A positive delta has a green bar and reflects a “positive” order flow as buyers are more aggressive at that price.
A negative delta has a red bar and reflects a “negative” order flow, the result of the more aggressive sellers at this price.

If the cumulative delta is positive, buyers have been more aggressive throughout the session. If the cumulative delta is negative have been more aggressive during the session Sellers.
It is a very useful tool to confirm the price direction.

Cumulative Delta offers unique insights.

This image shows the cumulative delta as a histogram.