Looking to bring in delta and cum delta into my method. Comparing bid/ask vs up tick/down tick cum delta trends. Traditionally, I have used bid/ask but I have seen several times where the bid/ask cum delta trend is opposite trend to price over many many bars. In comparison up tick/down tick doesn’t show that level of trend difference or actually matches price move much better. However, when I look at the bar prints the bid/ask delta (Total ask-Total bid) matches the bid/ask delta and the up tick/down tick does not and can be in opposite direction. Believe this is tied to how the tick up/tick down calculation is executed and how it assigns the bid/ask values to last price move. So which approach is more predictive as an indicator? Thoughts? Any good reference material out there? I have seen this difference in live data, running replay data and using tick replay using Ninja data source. From a gut perspective it has never made sense to me how bid/ask delta could trend opposite to price over many bars. What does that mean, massive absorption. Its hard to get my head around higher bid counts then ask counts and the price keeps going up. Why would sellers keep selling at bid as the price keeps going up? My understanding is that NT data used in replay is time/tick aligned so it should not be due to sloppy data integrity.
The divergence you are seeing is a structural reality of market microstructure. And a lot of people and systems trade this. Its market behavior.
Punch your question into Gemini, Claude, or ChatGPT, and it’ll explain everything better than I can or an article can.
You says its hard to wrap your head around, and thats why the market breaks many of us. But you can wrap mind around it, it just takes time. Now learning how to trade it is another hill to climb, mainly cause you don’t know how long that divergence will last but with time… with time.
Divergence you see is active orders counter to market direction. It’s not unusual, especially since 0dte options trading had become so popular.
The difference is that Bid/Ask Delta measures where trades executed, while Up Tick/Down Tick measures whether the last traded price was higher or lower than the previous trade.
Price can absolutely rise while Bid/Ask Delta is negative. That simply means aggressive sellers are hitting the bid, but passive buyers are absorbing that selling and continually moving their bids higher. In other words, price is being repriced upward despite heavy selling pressure.
Example: sellers keep selling into bids at 100.00, 100.25, 100.50, and 100.75. Every trade occurs at the bid (negative delta), yet price keeps moving higher.
That’s why Bid/Ask Delta can diverge from price for many bars. It’s showing who is being aggressive, not necessarily who is winning.
When Bid/Ask Delta and price disagree, that’s often the most interesting information. Up Tick/Down Tick tends to follow price more closely, while Bid/Ask Delta gives a more accurate view of actual order flow.