Order Flow & CVD/
Delta & Orderflow
TL;DR
Orderflow analysis dissects every executed trade into aggressor buys (market orders hitting the ask) and aggressor sells (market orders hitting the bid). The difference — Delta — tells you who was more aggressive in any given bar. Large positive delta at key structural levels signals institutional absorption. Large negative delta signals distribution. Orderflow reveals the 'who' behind price moves that candlesticks alone cannot.
Delta · Orderflow
illustrative · BTCUSDT · 15mBuying Cluster
High buy delta · CVD rising
Selling Cluster
High sell delta · CVD falling
Cumulative Delta
Buy − Sell running total
How It Works
- 1
Every market transaction is either a 'taker buy' (market order hitting the ask) or a 'taker sell' (market order hitting the bid). Passive limit orders never generate delta.
- 2
Delta = Taker Buys − Taker Sells for a given bar. Positive delta: buyers were more aggressive. Negative delta: sellers dominated the session.
- 3
Absorption: Price falls but delta is positive — sellers are absorbing every buy order without letting price rise. Strong institutional selling wall is in place at that level.
- 4
Exhaustion: A bar makes a new high but prints negative delta — buyers exhausted their aggression. The move failed to attract more buying pressure. High-probability reversal signal.
- 5
Imbalance clusters: Areas on the footprint chart where one side (bid or ask) has 3× or more volume than the other. These are traces of institutional iceberg orders being filled.
- 6
Point of Control (POC): The price level with the highest traded volume on the orderflow profile. Acts as a gravitational magnet for price during consolidation phases.
LiquidMind integrates real-time delta feeds to validate POI entries. At an EQL sweep, the system expects to see positive delta (aggressive buying) on the displacement candle — confirming genuine institutional intent behind the move. A bullish POI entry with negative delta on the entry candle is flagged as a 'weak absorption setup' and assigned lower confidence in the trade scoring model. The engine also monitors delta divergence: when cumulative delta and price diverge at key structural levels, it treats this as an early structural shift warning before the MSS prints.