Delta and CVD: who was pressing

Every trade has a buyer and a seller, and exactly as much is bought in it as is sold. So the question “were there more buyers or sellers” makes no sense: by volume they are always equal. The meaningful question is different — which of the two came with a market order. One side was resting in the book with a limit order and waiting (the maker); the other came and took it at the current price (the taker, the aggressor).

A market buy takes the best ask — the seller resting above the price. A market sell hits the best bid — the buyer resting below. For every trade the exchange reports whose order was the market one, and that is what the main quantity of this section is built from.

A bar's delta is the volume of market buys minus the volume of market sells during the bar. Plus — buying was more aggressive, minus — selling was, zero — aggressors on both sides balanced out. Bar volume says how much was traded; delta says who was pressing.

Why the phrase “more buyers” is harmful, not just imprecise. It nudges you to think there are “extra” buyers somewhere who have not bought yet and are about to lift the price. There are none: every market buy has already been filled against someone's limit sell. A positive delta means only that the initiative was on the buying side: they paid the spread and took the asks while the sellers waited in the book.

The second trap is confusing delta with the number of participants. Delta counts volume, not heads: one market buy of 500 BTC and five hundred buys of 1 BTC give the same number. A hundred small sells against one large buy can produce a positive delta even though there were a hundred times more “sellers” by head count.

The third is believing that a positive delta must lift the bar's price. Usually it does: market buys eat the asks and the price creeps up. But price is moved by everything happening in the book, not only by market orders. If a seller keeps refilling a limit sell at one level, market buys run into it and the price stands still. If bids are pulled at the end of the bar, the price can fall even after a positive delta. An example from our archive is below — a minute with a delta of +47.27 BTC during which the price went down.

Units. Delta is counted in coins or in dollars — and EVA has both. The “flow · 5 min” line in the market bar and “Futures delta 5m” in the Overview are in coins (the coin name sits next to the number) and cover only the four derivatives venues. In the «Book · Flow» columns the same quantity is in dollars.

Converting coins to dollars is easy: delta in coins × price. A delta of −250 BTC at a price around $84,000 is roughly −250 × 84,000 = −$21,000,000, i.e. about $21M more was sold at market than bought. “Roughly” because trades inside a bar went through at different prices; for an estimate you use the bar's average price.

It also helps to look at the delta's share of volume: delta / (buys + sells). A delta of +200 BTC on a volume of 400 BTC (buys 300, sells 100) is an almost one-sided flow, a share of +50%. The same delta on a volume of 10,000 BTC is a slight tilt, +2%. An absolute number without the volume beside it says little.

CVD (cumulative volume delta) is bar deltas added one after another from a chosen point. Each bar adds its delta to the line: a positive bar lifts it, a negative one lowers it.

Let us count by hand. Deltas of four bars: +120, −80, −150, +40 BTC. CVD from the start of the first bar:

• after the first: 0 + 120 = +120;
• after the second: 120 − 80 = +40;
• after the third: 40 − 150 = −110;
• after the fourth: −110 + 40 = −70 BTC.

The total −70 is simply the sum of the four deltas. The CVD line is the same sum drawn as it goes: you see on which bar buyers pressed and on which sellers did.

The key property of CVD: the number itself depends on the starting point. Start counting a day earlier and everything from that day is added to the line; the shape stays the same, but the number shifts. So “CVD −$2B” says nothing about what is happening now: it is a sum since some moment, and right now the line may be rising.

In EVA the starting point is always written on the CVD pane under the chart. There are three modes: over the visible period (from the left edge of the window), since the start of the day (UTC) and from an anchor — the anchor is set with a short click on the pane, for example at the start of the move you are studying. Clicking the pane's title switches the mode; by default timeframes 1m…4h use “since the start of the day” and 1d and 1w use “over the period”, and your choice is remembered. In “over the period” mode the starting point moves with the window, so the numbers change as you scroll; “since the start of the day” and “from an anchor” do not depend on scrolling.

How to read the slope. A steep rise — market buying was dense over the stretch; a steep fall — selling was dense; a flat line — aggressors balanced out (there may still have been a lot of trading). Compare the slope with the price over the same stretch:

• price rises and CVD rises — the rise came together with market buying;
• price falls and CVD falls — the fall came together with market selling;
• CVD changes slope sharply while the price barely moves — the flow is being met by limit orders on the other side;
• price goes one way and CVD the other: the move was not made by market orders on these venues. This case is covered in detail in section 8.

Another question is “is this a lot or a little”. −340 BTC for bitcoin and for a small coin are different things. Compare a coin with itself: in «Book · Flow» the «Anomaly» reading places the current five-minute delta within the distribution of all five-minute deltas of this coin over the last four hours, in percentiles. The 50th is ordinary background; the tails are unusual.

Different people with different goals trade futures and spot. Spot is the coin itself: you buy it, it is yours. A future is a contract on the price difference, often with leverage; it is also where holders of spot coins hedge. So market buying on the two markets is two different events, and adding them into one line loses information.

EVA keeps them apart in several places:

• The CVD pane under the chart — in dollars, futures and spot as separate lines on one scale. Spot is counted over five venues (Coinbase, Binance, OKX, Bybit, Upbit), futures over four (Bybit, Binance, OKX, Hyperliquid).
• The «CVD» block in «Book · Flow» — two columns, derivatives and spot, each with a total and a breakdown by venue, all in dollars. The window is switched with the 5m, 15m, 1h, 4h, 24h buttons; at the top of the block there is an answer in plain words for the same window.
• «Cumulative, 24h» — derivatives delta in dollars over the last 24 hours across six venues, a sliding window.

Five minutes and 24 hours answer different questions: “who is moving it right now” and “who pressed over the last day”. The answers differ more often than it seems, and both are correct.

Four combinations of the two lines:

• both rise — both the coin and the contracts are bought at market;
• futures rise, spot falls — the rise is happening on futures, “on leverage”, while the coin is being sold on spot;
• futures fall, spot rises — the coin is bought while contracts are sold: e.g. someone holds spot and hedges with a future, or the pressure comes from leverage while spot absorbs it;
• both fall — selling at market everywhere.

Neither line is “stronger” by itself: futures have more turnover, but that does not make their direction prophetic. A check on our archive for 04–24.09 (against random minutes of the same coin and hour, on two halves of the data): after futures and spot went separate ways, small coins saw a move back within the hour about 4 percentage points more often; BTC, ETH and BNB showed no edge at all. That is a weak and narrow effect, not a rule.

Delta is an honest but narrow quantity. Here is what it does not contain:

• Who traded. The exchange does not disclose the participant. A positive delta can be one fund, a thousand people or a market maker's algorithm rebalancing its position.
• Opening or closing. A market buy on futures can be a new long or a short being closed. Delta does not tell them apart: both are market buys.
• Which orders make up the number. A hundred small trades and one large trade for the same amount give the same delta. EVA shows a breakdown by order size as a separate pane — that is in section 8.
• What limit orders did. They are placed and pulled without trades, and delta sees only what was filled. The price can move up with zero delta if sellers simply removed their asks.
• Venues outside the count. Each quantity is counted over its own set of venues; flow elsewhere is not in it.
• The future. Delta describes the bar that has passed. Its sign agreeing with price in the same hour (three hours in four in our archive) does not mean the next hour will go the same way.

Hence a practical reading rule: delta and CVD answer the question “who was pressing over this stretch”, and only that. A good order is: first name the stretch and the starting point; then look at the sign and slope separately for futures and for spot; then compare with the price over the same stretch; and only then ask yourself what else you need to see — the book, the tape, the profile — to understand who stood on the other side of those trades.

If delta and price agree, the move was made by market orders — the most ordinary case. If they disagree, limit orders or other venues were at work, and that is a reason to look closer, not a ready conclusion.