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Delta: who was the aggressor

Every trade has a buyer and a seller in equal amount. Delta does not count them — it counts who refused to wait and hit someone else's resting order.

The first stumbling block: 'every trade has as much buying as selling'. That is true, which makes the question 'was there more buying or selling' meaningless. The meaningful question is who initiated. The order book holds passive orders — people willing to buy lower or sell higher and prepared to wait. An aggressor will not wait: they hit a resting order and take the price available now. Both sides of the trade are equal in size, but their roles differ, and the exchange reports that role.

delta = aggressive buy volume − aggressive sell volume

An aggressive buy is a trade where the initiator hit a sell order. An aggressive sell is the reverse. The sign of delta tells you whose impatience cost more. The size tells you by how much.

Worked example

Bitcoin, four windows at the same moment

Measured from our trade tape. Over the last minute: $6.41M of aggressive buying against $2.51M of selling — delta +$3.9M, buyers 2.5 times more impatient. At the same moment over one hour: $932.9M of buying against $1014.2M of selling — delta −$81.3M. The opposite sign. Nothing is broken: the market was bought a minute ago and sold over the hour as a whole. Delta without a stated window is a number without meaning, exactly like a funding rate without its payment interval.

Common mistake

'Delta is positive, so price goes up'

The most expensive mistake in this topic. Positive delta means buyers spent more market orders — and says nothing about the outcome. If delta is strongly positive while price stands still, the conclusion is the opposite of the intuitive one: somebody calmly supplied buyers with everything they demanded and price did not move. The seller was stronger than the buyer. This is called absorption and has its own lesson in this course.

Cumulative delta and divergence

Adding delta up over time gives cumulative delta — a line that rises while the market is being bought and falls while it is being sold. It is compared against price. The interesting case is when they diverge: price makes a new high, cumulative delta does not. Read it as: this new high was reached with less convincing buying pressure than the previous one. That is not a sell signal; it is a reason not to treat the new high as proof of strength.

What delta cannot do

Predict. It describes trading that already happened, not trading to come.
Work without a window. Its sign changes with window length — only compare identical windows.
Stay reliable on small coins. There a few large trades set the sign on their own.
Tell one large aggressor from a hundred small ones — for that you look at the trade tape itself.

Why we compute delta across several exchanges

The delta of a single venue is the mood of its visitors. A burst of aggressive buying on one exchange while the others stay calm usually means a local order, not a turn in the market. When aggression arrives on several venues at once, it is about the coin rather than the venue. We keep a trade tape from seven streams, so our delta is built from all of them rather than from one book.

Delta across four windows and a tape of large trades with the aggressor side — in the 'Trades and volumes' block on any coin page.

Open bitcoin

Exercise

Catch the sign flip

Open a coin and write down delta for all four windows. Half an hour later write them down again. Find the window whose sign flipped and look at the chart for that period: what did price do. The aim is not to find a signal but to see for yourself that minute and hour delta answer different questions.

Check yourself

Delta over one hour is +$40M and price is unchanged over that hour. What does this most likely mean?