Cumulative Delta

Terminalcumulative delta

Overview

CVD measures the net difference between aggressive market buys and aggressive market sells over time.

In QUANTIX, the panel functions as a high-speed execution tool:

• Volume mode accumulates signed traded volume.
• Trades mode accumulates signed trade count.
• The chart updates directly from the live cvd stream and backfills historical data on demand.

Use it to answer a critical execution question:

Is aggressive flow confirming price, diverging from price, or being absorbed?

What it shows

• Rising CVD: Buyers are aggressively lifting the ask.
• Falling CVD: Sellers are aggressively hitting the bid.
• Price up + CVD flat/down: Weak rally or absorption into passive sellers.
• Price down + CVD flat/up: Weak selloff or absorption into passive buyers.

Data source

CVD is calculated exclusively from executed Taker (aggressive) orders. The side of the aggressor determines the delta sign:

• Taker Buy (hitting the ask) adds positive delta.
• Taker Sell (hitting the bid) adds negative delta.

Data flows through the QUANTIX high-performance pipeline:

1. Ingestion: Raw trades are captured directly from exchange websockets.
2. Aggregation: The backend CVDManager groups micro-trades to optimize frontend rendering without sacrificing volume precision.
3. Live Stream & Backfill: The widget renders live flow instantly via websocket while concurrently fetching historical context from ClickHouse.

This architecture delivers millisecond-latency aggressive flow updates while maintaining accurate historical context.

Practical use

Trend confirmation

When price and CVD move in the same direction, aggressive flow validates the trend.

• Price up + CVD up: Healthy buying pressure.
• Price down + CVD down: Healthy selling pressure.

Divergence

When price achieves a new structural extreme but CVD fails to confirm it, participation is dropping.

• Bullish divergence: Price makes a lower low; CVD makes a higher low.
• Bearish divergence: Price makes a higher high; CVD makes a lower high.

Absorption

Absorption occurs when aggressive orders execute continuously, but price fails to progress.

• Strong positive delta into resistance, but price stalls.
• Strong negative delta into support, but price holds.

This indicates massive passive liquidity is absorbing the aggressive flow.

Best practices

• Pair CVD with the Order Book or DOM Profile to confirm exactly where aggression is meeting passive liquidity.
• Use higher timeframes to spot structural divergence and lower timeframes for precise execution.
• Treat sharp, parabolic CVD moves with extreme caution if price stops responding to the flow.