Affordable Indicators, Inc.

Volume and Delta

Volume and Delta are two measurements of the market that can help in making trades. More information about these indicators can be found below. 

Volume: Volume is defined as the amount of a security or asset that changes hands over a period of time. For example, a stock’s trading volume refers to the number of shares of that security that were traded between the day’s open and close. Volume is a key indicator when measuring the significance of a market move. High volume refers to a more significant move in the market and vice versa. Below is a screenshot from NinjaTrader with use of their volume indicator.

Volume Example

Delta: Delta has several different meanings in the trading world. In this case we want to look specifically at Order Flow delta. One form of Order Flow delta is calculated by taking the difference between the number of orders traded at the bid and ask. Another form of Order Flow delta is the sum of up-tick/down-tick data. More information on up-tick/down-tick Order Flow can be found here. As an example, let’s say that a bar has 500 contracts traded on the up-tick and 1000 contracts traded on the down-tick. The total delta for this bar would be -500 (1000-500). Similar to volume, delta provides information on how strong a move is. An up-bar with a high delta shows that there is a significant move in that direction. On the other hand, an up-bar with low delta (or even negative delta) shows a less significant move in that direction. Below is a screenshot from our Order Flow System that shows the overall delta for each bar.

Delta Example