Orderflow measurement: resets, units and information timing

Reconcile CVD resets, estimated delta, base and quote units, delayed trades and unknown classifications using original tapes and timelines.

Course outline

1. 1

   CVD resets: distinguish a new session from aggressive selling

   Reconstruct continuous and session-anchored cumulative volume delta from one trade sequence. Explain reset jumps without inventing sell volume.

   7 min
2. 2

   Volume delta: compare candle estimates with taker-side trades

   Apply two delta classifications to the same constructed market interval. See why a rising candle can contain negative aggressor-side delta.

   7 min
3. 3

   Base versus quote volume delta: why the signs can disagree

   Calculate signed asset quantity and signed traded value from the same tape. Avoid converting aggregate delta at one closing price.

   7 min
4. 4

   Orderflow lead and lag: align event time with arrival time

   Replay a delayed trade message without leaking future information into a signal. Separate exchange event time, publication time and local receipt time.

   7 min
5. 5

   Unknown trade sides: calculate honest bounds for volume delta

   Keep unclassified quantity visible and calculate the strongest buy and sell totals compatible with it. Distinguish unknown side from missing trades.

   7 min

Open full-size diagram

1. CVD resets: distinguish a new session from aggressive selling
2. Volume delta: compare candle estimates with taker-side trades
3. Base versus quote volume delta: why the signs can disagree
4. Orderflow lead and lag: align event time with arrival time
5. Unknown trade sides: calculate honest bounds for volume delta

Educational material. Examples do not establish a profitable strategy. Trading costs, gaps and liquidation can produce losses beyond a planned stop.