Cumulative Delta (CVD)

Every trade has an aggressor. A buyer who lifts the offer trades at the ask; a seller who hits the bid trades at the bid. The difference between the two in one bar is the bar's delta. Cumulative delta (CVD, cumulative volume delta) adds the deltas bar after bar, so its level shows who has been more aggressive since the last reset and its slope shows who is aggressive now.

In Quatick the CVD chart type replaces the price candles in the main pane with candles of cumulative delta. Price can be drawn on top on its own scale, so the two can be compared directly. The chart also finds swing points where price and CVD disagree (divergences) and marks them.

1. 1
   Split each bar into buy and sell volume

   If the host supplied bid / ask volume per price (chart.setFootprintData(), the same data the footprint chart uses), the bar's buy volume is the sum of ask volume and its sell volume is the sum of bid volume. Without that data, the volume is split with the same OHLCV estimate the footprint chart uses: the buy share follows the bar direction and where it closed in its range.
2. 2
   Compute the bar delta

   Delta = buy volume − sell volume. A bar with 620 bought and 380 sold has a delta of +240.
3. 3
   Add it to the running total

   CVD close = previous CVD close + delta. At a reset point the previous close is taken as 0.
4. 4
   Estimate the high and low

   With Wicks: Estimated from bar path, the bar is assumed to travel open → low → high → close (up bars) or open → high → low → close (down bars). Sell volume is spent on the down legs and buy volume on the up legs, in proportion to distance. The lowest and highest CVD reached on that walk become the wick.
5. 5
   Draw the extras

   The moving average, zero line, histogram, price overlay and divergence marks are drawn from the finished series.
6. 6
   Update live

   A new tick recomputes only the forming bar. Supplied bid / ask data recomputes from the earliest bar it changed, so history is never rebuilt without need.

CVD is a running total, so its level depends on where it starts. The Reset setting chooses the start.

• Every session (default): CVD returns to zero at each session start, set by Session length and Session starts at. For NSE equities use a start of 9.25 (09:15) and a length that covers one trading day.
• From first visible bar: CVD starts at zero at the left edge of the view and changes as you scroll. Useful to measure flow over exactly what you are looking at.
• Never: CVD runs over all loaded history. The absolute level then depends on how much history is loaded; read the slope, not the level.

A divergence is a disagreement between price and CVD at two consecutive swing points. The chart detects them as follows.

1. 1
   Find price swings

   A swing high is a bar whose high is above the highs of Pivot length bars on each side; a swing low is the mirror image. Only visible bars are searched.
2. 2
   Compare consecutive swings

   For each pair of consecutive swing highs (and each pair of swing lows), the chart compares the price extremes and the CVD extremes of the same two bars.
3. 3
   Classify

   Regular bearish: higher price high, CVD high not higher. Regular bullish: lower price low, CVD low not lower. Hidden bearish: lower price high, higher CVD high. Hidden bullish: higher price low, lower CVD low.
4. 4
   Mark

   A line joins the two CVD points (solid for regular, dashed for hidden), with an optional label and a shaded band around the line.

1. 1
   Check the data source

   If the estimate note is shown, treat values as approximate and focus on shape. With real bid / ask data, values are exact.
2. 2
   Read the level against zero

   Above zero: buyers have been net aggressive this session. Below zero: sellers.
3. 3
   Read the slope

   A steep CVD slope with price moving the same way confirms the move. A flat CVD while price trends means the move is carried by passive orders or few participants.
4. 4
   Compare with price at swings

   Look for divergence marks at new highs and lows. A new price high on a lower CVD high means buyers are paying up less: the breakout is weak.
5. 5
   Look for absorption

   Strongly negative CVD bars while price does not fall mean sellers are hitting bids that are being refilled. A buyer is absorbing the selling, which often comes before a move up. The mirror case applies at highs.
6. 6
   Use the moving average for timing

   A CVD cross of its average in the direction of the higher-timeframe trend is a common entry trigger.

1. 1
   Select the chart type

   Open the chart type menu, go to Order flow and click Cumulative delta.
2. 2
   Open its settings

   Click the gear to the left of Cumulative delta in the same menu.
3. 3
   Set the session

   In Calculation, keep Reset: Every session and set the session start and length for your market.
4. 4
   Choose the style

   Candles show the inner structure of each bar. Line or area with glow gives a cleaner view for comparing with price; turn on Price overlay for that.
5. 5
   Tune divergences

   Start with Pivot length 5 and regular divergences only. Add hidden divergences once you trade continuations.
6. 6
   Supply real data where possible

   For exact values, feed bid / ask volume per price with chart.setFootprintData(). The footprint, order flow and CVD charts share the same store.

Example: real bid / ask data

// bar time (chart seconds) → levels with volume at bid (sells) and ask (buys)
chart.setFootprintData({
  '1730275200': [
    { price: 24510.0, bid: 120, ask: 340 },
    { price: 24510.5, bid: 210, ask: 180 },
  ],
});
// Live: replace the levels of the forming bar
chart.updateFootprintBar(1730275500, levels);

• CVD levels from different instruments are not comparable; volume units differ.
• With reset "From first visible bar", values change while you scroll. Do not compare levels taken at different scroll positions.
• Divergences need confirmed swings, so they always appear with a delay of the pivot length.
• Estimated wicks assume one path through the bar. Real intrabar order can differ.

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