Cumulative Delta

Quick Reference

Property	Value
Dimension	signal
Category	flow
Version	v1.0
Output Column	cumulative_delta

Cumulative sum of signed volume over a time window

Formula

rolling_sum(signed_volume, window_seconds)

CDM Inputs

Column	CDM Table	Description
signed_volume	cdm_trade_enriched	Trade data enriched with bar context — price, volume, side, trade type

Parameters

Parameter	Type	Default	Description
window_seconds	integer [1, 86400]	900	Aggregation window in seconds
signed_column	string	signed_volume	Column name for signed volume

Output

Column: cumulative_delta

Cumulative signed volume delta over the window

Market Intuition & Trading Rationale

Cumulative delta is the rolling sum of signed volume over a lookback window. Each trade contributes its signed volume (positive for buyer-initiated, negative for seller-initiated) to the running total. A strongly positive cumulative delta means more volume has been traded on the bid side (aggressive buying) than the ask side — net buying pressure. A strongly negative value means net selling pressure.

Cumulative delta is one of the most direct measures of capital flow direction available from trade data. Unlike price, which reflects the marginal transaction price, cumulative delta aggregates the total monetary flow in each direction over the window. A stock can have positive cumulative delta (net buying) while the price is flat or declining if the selling is more passive (limit orders being hit) rather than aggressive (market orders).

The choice of window_seconds governs the signal horizon. Short windows (30–300 seconds) capture immediate flow imbalances and are effective for mean reversion — a sudden burst of buying is often followed by a pause or reversal. Medium windows (300–3600 seconds) track intraday capital flows and align with order-flow-based trend strategies. Long windows (3600–86400 seconds) measure daily or multi-session flow accumulation and are used by institutional flow analysis desks.

Cumulative delta is the foundation of several higher-order features. signed_trade_imbalance normalizes delta by total volume to produce a ratio. VPIN (Volume-synchronized Probability of Informed Trading) uses cumulative delta bucketed by volume bars. Flow persistence scores measure the stability of delta over time. The raw cumulative delta is also used directly as a signal in mean-reversion and momentum strategies at different time horizons.

Usage Cases

• Flow-based entry: Enter long when cumulative_delta turns positive after a period of negative delta, signaling a shift from net selling to net buying. Confirm with price action for confluence.
• Divergence detection: Cumulative_delta rising while price is falling = bullish divergence (accumulation). Cumulative_delta falling while price is rising = bearish divergence (distribution). These divergences are leading reversal signals.
• Intraday trend measurement: Compare cumulative_delta across consecutive windows. Increasing positive delta = strengthening uptrend. Decreasing positive delta = trend weakening, potential reversal.

YAML Definition

name: cumulative_delta
description: Cumulative sum of signed volume over a time window
category: flow
version: v0.9.0 (Beta)
dimension: signal
required_inputs:
  - cdm_trade_enriched.signed_volume
output_column: cumulative_delta
output_description: Cumulative signed volume delta over the window
tags:
  - flow
  - delta
  - signal
  - cumulative
parameters:
  window_seconds:
    type: integer
    description: Aggregation window in seconds
    required: false
    default: 900
    constraints:
      min: 1
      max: 86400
  signed_column:
    type: string
    description: Column name for signed volume
    required: false
    default: signed_volume
formula: rolling_sum(signed_volume, window_seconds)