I turn dials and fiddle with knobs to hone in on harmonic rotations
Joined Oct 26, 2011
4,086 Blog Posts

They Have Been Accumulating This Tape for Weeks

Cumulative delta is often mentioned when discussing the trading of futures likely because the information is more available in the futures than it is on stocks.  For any given timeframe on a chart (ie 2500 contract, 3 tick, 5 minute) the cumulative delta for each bar is calculated as follows:

Trades executed at offer – trade executed at bid = cumulative delta

Thus a positive delta means more trades are being executed at the offering price, where a negative reading would mean the opposite.

The data lets us peer into the order flow and see which party is more active or aggressive when entering (or covering) their trades—perhaps using market orders or “hitting the bid” when selling or “taking the offer” when buying.

Zooming way back on the cumulative delta and applying a moving average filter to it, we can see that the /ES_F (the future contract traded on the S&P 500) has been steady accumulated since around 8:30am on July 25th:


The ramp in cumulative delta started at about 1670. Price action since 1670 has been working through an anxious return of confidence phase where we wall of worry higher before getting an actual move.  It’s another reason why I’ve been buying dips all week.   Seeing that level taken out would put two weeks’ worth of accumulation under water.  Bulls don’t want to see that.

That’s my big idea for the weekend.  I’d love to hear your take on it.  Have a good one,

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  1. fake amish

    That is one way to look at it. Distribution is very similar. Benign nothing to see move along tape.

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    • fake amish

      The interesting data point is the things that topped out day one of the new year. Are now ripping. Obviously the exact opposite of the SPY. So if the so called emerging markets, steel, coal, iron ore, gold silver miners moved down hard post the first trading day of the year. Does the spy which ripped hard starting the first day of the year now tank?

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  2. Raul3

    That’s a possibility FA. It could be that a massive seller is up here, absorbing all this buy flow. It’s strange to see such a huge ramp in delta while price goes more or less sideways…

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