Volume Delta & Divergence (VDD) by CoryP1990 – Quant Toolkit

Volume Delta & Divergence (VDD) visualizes directional order flow by tracking session-aware Cumulative Volume Delta (CVD) and highlighting structural mismatches between price pivots and CVD. It’s designed to catch persistent buying/selling pressure and to flag divergences where price moves without supporting order flow.

How it works

Per-bar delta: classify ticks as uptick or downtick using price change inside each bar; compute delta = uptickVol − downtickVol.

Cumulative Delta (CVD): sum delta across the session (optional continuous mode available).

Smooth: apply an EMA to the CVD (CVD-EMA) to reduce noise and reveal structural shifts.

Divergence detection: detect price pivots (left/right = X bars); sample the CVD-EMA at the exact pivot bars and compare the last two price pivots vs the corresponding CVD-EMA values.

Bear divergence: price makes a higher high while CVD-EMA makes a lower high → fading buy pressure at the top.

Bull divergence: price makes a lower low while CVD-EMA makes a higher low → improving buying pressure into the lows.

Markers: non-repainting pivot confirmation requirement (markers appear only after pivots are confirmed) and markers are placed on the actual pivot bar for clarity.

Visuals / legend

Teal line: CVD-EMA (smoothed cumulative delta). Rising → net buying pressure; falling → net selling pressure.

Red triangle (above): Bear divergence - price HH vs CVD LH.

Green triangle (below): Bull divergence - price LL vs CVD HL.

No background tint - VDD is a structural order flow tool (markers + CVD line only). Use the VWMA / trend overlays to provide directional context.

Use cases

Detect hidden exhaustion at highs (fade setups) and hidden accumulation at lows (bounce setups).

Confirm or invalidate momentum moves: price rising but CVD falling warns the move lacks order flow support.

Spot campaign-style pressure across a session (session reset) versus multi-day campaigns (disable reset).

Combine with VWMA(50) or higher-TF alignment to filter signals and increase quality.

Defaults

CVD EMA length = 34

Pivot left/right = 5

Reset CVD at session start = ON (recommended for intraday)

Show raw CVD = OFF

Marker size = small (use normal for screenshots)

Example — META (5m, 5-day view)

The 5-day time range 5-minute interval on META shows the pattern VDD is built for: a midday bear divergence (price ticks to a marginal high while the CVD-EMA flattens and then rolls lower) that precedes a multi-hour drift lower, and later bull divergences near intraday lows where the CVD-EMA prints higher lows as price prints lower lows, followed by constructive bounces. With resetSession=ON you can see these flows replay across sessions and judge whether a divergence is isolated or repeated (higher-quality).

Practical tips

Default demo: 5-minute chart on liquid names (META, AAPL, SPY) - lenEMA=34, pivot=5, resetSession=ON.

Scalp: 1m with shorter EMA (e.g., 13) and pivot=3.

Swing / campaign: 4H/Daily with resetSession=OFF and longer EMA (e.g., 89).

Filter with VWMA(50) and require above-average volume at the pivot region for higher-probability signals.

Use alerts (script exposes bear/bull alertconditions) to monitor divergences in real time.

Limitations / disclaimers

Markers are confirmation-based (non-repainting), i.e. they appear after the pivot completes, not as a predictive tick.

No single divergence equals a trade; combine with trend, volume, and risk management.

Part of the Quant Toolkit — transparent, open-source indicators for modern quantitative analysis. Built by CoryP1990.