Cumulative delta and divergence
The running score between buyers and sellers, and what it means when price disagrees.
Cumulative volume delta — CVD — is the session’s running total of aggressive buying minus aggressive selling. Plot it under price and you get a second tape: one line for where price went, one for who was pushing. Most of the time they agree. The information is in the disagreements.
The two divergences that matter
Price makes a new low but CVD does not: sellers are drying up. The move down is running on momentum, not fresh aggression, and the next push is suspect.
CVD makes a new low but price does not: sellers are pouring in and going nowhere. Someone is absorbing them with resting bids. This is the more powerful signal, because it reveals a passive player big enough to eat the aggression — and when the aggressors give up, their exits fuel the other direction.
Reading it honestly
CVD is a context tool, not a trigger. It drifts with the classification of every trade, it resets meaning across sessions, and in thin tape a single large order bends it. Read the shape — higher lows, flat lines against moving price, sharp breaks — rather than the value.
It also pairs naturally with dealer levels: absorption sitting exactly at a put wall is two independent kinds of evidence pointing at the same price, which is as good as intraday evidence gets.
Sources and further reading
The research this guide leans on. Citations rather than links, so they stay verifiable after journal URLs move.
- Lee, C.M.C. and Ready, M.J. (1991). Inferring Trade Direction from Intraday Data. Journal of Finance 46(2).
- Chordia, T., Roll, R. and Subrahmanyam, A. (2002). Order imbalance, liquidity, and market returns. Journal of Financial Economics 65(1).
- Easley, D., Lopez de Prado, M. and O’Hara, M. (2012). Flow Toxicity and Liquidity in a High-Frequency World. Review of Financial Studies 25(5).