Volume Delta is a real-time market microstructure metric that quantifies the difference between buying volume and selling volume over a specified period. It indicates the immediate direction and intensity of aggressive order flow within a crypto asset’s trading activity.
Mechanism
This metric is calculated by aggregating the volume of trades executed at the prevailing ask price, representing aggressive buying pressure, and subtracting the volume of trades executed at the bid price, representing aggressive selling pressure. A positive delta signifies buyer dominance, while a negative delta indicates seller dominance.
Methodology
The strategic utility centers on gauging short-term market sentiment, confirming price trends, identifying exhaustion or acceleration in order flow, and informing tactical trading decisions for both algorithmic and human traders. It provides an operational view of immediate supply and demand imbalances in high-frequency crypto trading environments.
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