Reading the flow

Volume traded at the ask minus volume traded at the bid, over some interval.

Not to be confused with the options Greek of the same name, which is unrelated. Delta counts aggression, not net buying, since every contract bought was simultaneously sold.

A running total of delta that is not reset each bar, accumulated across a session or a longer unbroken series.

Its absolute level is arbitrary, because it depends entirely on where you started accumulating. Session-reset and continuous versions of the same instrument will disagree about whether the current reading is high.

A stretch where price and cumulative delta move in opposite directions.

Described as aggressive activity failing to move price, and interpreted as evidence of resting liquidity on the other side. It occurs constantly, including in periods that resolve in no particular direction, so counting only the memorable instances proves nothing.

A bar chart in which every bar is expanded to show bid and ask volume at each individual price level traded within it.

The footprint does not add information to the tape. It rearranges it, so the distribution of activity within a bar becomes visible instead of being collapsed into an open, high, low and close.

A footprint cell where volume on one side substantially exceeds the diagonally opposite side, by some configured ratio.

The comparison is diagonal because a buyer at one price is competing with a seller at the price above. The threshold ratio is a setting, not a property of the market, so two traders can look at the same bar and disagree about whether an imbalance exists.

Several consecutive price levels within a bar all showing imbalance in the same direction.

How many consecutive levels constitute a stack is, again, a setting. Three is a common default with no particular claim to being correct.

Sustained aggressive activity at a price level that fails to move price, described as resting liquidity absorbing the flow.

Absorption is an interpretation placed on an observation, not a directly observable event. The same footprint can be produced by one large passive participant, by an iceberg, or by continuous replenishment from many small orders.

A sharp fall in aggressive volume at the extreme of a move, described as one side running out of participants willing to continue.

Distinguishable from absorption only by which side is doing the failing: exhaustion is the aggressor thinning out, absorption is the passive side holding firm. In practice the two are difficult to separate in real time.

A bar extreme where both bid and ask volume printed at the final price level, rather than the level trading on one side only.

The reasoning is that a completed auction leaves a single-sided print at its extreme, because the last buyer or seller found no counterparty. Whether unfinished extremes are revisited more often than chance would predict is an empirical question, not a rule.