delta volume patterns

January 21st, 2022, 09:58 AM

Hi just getting into volume and delta to find tune entry area . If i could get back some feed back
on these patterns . I know nothings 100% accurate or even if delta is working researching

in these charts . copper is going up on volume but shows delta negative most of the time . Its not absoption because trending up . Any explanation for this . Its not like there was a major trend reversal if people were selling on the way up .

January 21st, 2022, 12:13 PM

I could be wrong, but if delta is negative and price is rising then it just means that people selling at the market price are selling into buy limit orders and that these are greatly outnumbering those selling at market price. Could be wrong though!

September 1st, 2022, 04:53 AM

Keab

I could be wrong, but if delta is negative and price is rising then it just means that people selling at the market price are selling into buy limit orders and that these are greatly outnumbering those selling at market price. Could be wrong though!

I am also studying this phenomenon. I do not really understand your answer. There is always selling into BUY LMT orders.

A negative delta means that within a certain time frame at a certain price more trades took place on the BID than on the ASK.

So if the trade price is 10$ this trade could be caused by a LMT BUY price at 10$ meeting up with a seller hitting that 10$ LMT price at the BID. Or it could be a limit sell order being hit at the ASK by a buyer.

So if the price moves up you would normally expect that the ASK price would be hit more often than the BID price. Sometimes this is not the case and sometimes this is quite extreme.

So this means that the limit BUY orders are placed at ever increasing prices yet when that happens a seller comes in and hits that BID price and the trade takes place at the BID price. Then new a BUY order is placed at an even higher price and again a seller hits the BID price. So the price moves up yet the on average the TRADE itself takes place at the BID price and therefore the delta volume will be negative.

If I compare the index futures it is often weird that some show this weird behavior while others do not. Quite often RTY does this. Below a 5min chart of RTY (8/15/2022). Basically from 11:00AM you see the Cumulative delta volume moving down yet the price is moving up.

One would think if there are such eager buyers that they would hit the ASK price. Yet it seems those buying put in Buy LMT orders which are then sold into at the BID.

Would be nice to know if somebody figured out what is going on. 1 theory I have is that it is 1 party (1 bank) trading with itself using multiple accounts. For instance if their objective is to bring the price higher without taking any risk they could put in Buy LMT orders at ever increasing prices and then sell at the BID to themselves using another account. So then they moved the price higher but their position is still neutral.

rty

delta volume patterns

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delta volume patterns