OK that's the Market Maker Model - forget what Steve Mauro and others say, Market Makers only use Limit Orders so it is impossible for them to directly move the market, and they wouldn't want to either in most cases - unless their book was already skewed.
That leads us to Cumulative Delta and to Withdrawals of Liquidity.
The Delta on a bar has nothing to do with Options ( Delta in Options is one of the 'Greeks' which are used to value option positions).
It is the net number of Market Order (lots bought - lots sold) at a price level or over the whole of a time period (e.g a bar on a 1 minute chart etc.
Thus it shows aggressive orders only (passive orders are Limit Orders) and it shows the opposite side of transactions to the Market Maker.
So if there is a +ve Delta on a bar, then the Market Maker is net short that number of contracts over that time period.
If price rises, but the Delta is rising less than it should, then this means that the Market Makers have skewed their price bracket i.e they have sold fewer lots to Buyers, than they have bought from Sellers.
Cumulative Delta just keeps adding up the new net Delta on a price bar to the existing total from prior price bars. In this way you can see how the Market Maker's book is skewed over a longer period of time.
WOLS happen on every major News release - usually they withdraw Liquidity both above and below the market until the figures are out. That is why you get such fast spikes
Cumulative Delta is used for seeing aggressive Buying/Selling pressure and for detecting Withdrawals of Liquidity (WOL), where the Market Maker sees some higher volume Institutional buying/Selling and is getting the heck out of the way in order to minimise their own loss on the move. That is why you get such violent spikes on such news releases - since both the nearest Buy liquidity and the nearest Sell Liquidity is so far away from the per-News price.
That leads us to Cumulative Delta and to Withdrawals of Liquidity.
The Delta on a bar has nothing to do with Options ( Delta in Options is one of the 'Greeks' which are used to value option positions).
It is the net number of Market Order (lots bought - lots sold) at a price level or over the whole of a time period (e.g a bar on a 1 minute chart etc.
Thus it shows aggressive orders only (passive orders are Limit Orders) and it shows the opposite side of transactions to the Market Maker.
So if there is a +ve Delta on a bar, then the Market Maker is net short that number of contracts over that time period.
If price rises, but the Delta is rising less than it should, then this means that the Market Makers have skewed their price bracket i.e they have sold fewer lots to Buyers, than they have bought from Sellers.
Cumulative Delta just keeps adding up the new net Delta on a price bar to the existing total from prior price bars. In this way you can see how the Market Maker's book is skewed over a longer period of time.
WOLS happen on every major News release - usually they withdraw Liquidity both above and below the market until the figures are out. That is why you get such fast spikes
Cumulative Delta is used for seeing aggressive Buying/Selling pressure and for detecting Withdrawals of Liquidity (WOL), where the Market Maker sees some higher volume Institutional buying/Selling and is getting the heck out of the way in order to minimise their own loss on the move. That is why you get such violent spikes on such news releases - since both the nearest Buy liquidity and the nearest Sell Liquidity is so far away from the per-News price.
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