Delta Type

There is a setup -> delta type option in VolFix® modules that allows you to switch between Tick Direct / By Aggressor.

This is the option to choose how the volume delta is calculated, i.e. how the trade side is determined as a buy or a sell.

Delta is a conditionally calculated indicator, since each trade is always a sale + a buy.

There are several algorithms for calculating the delta.

As a rule, only 1 algorithm is implemented in each trading terminal.

The Tick Direct algorithm is implemented in MarketDelta and NinjaTrader terminals, and the Pseudo By Aggressor algorithm is usually implemented in other terminals.

There are two basic algorithms available in VolFix®: Tick Direct (default algorithm) and By Aggressor.

Algorithms description:

1. Tick Direct (default) - side of the trade is assigned based on the price direction change. That is, if the current trade price is higher than the previous trade price, it is assumed to be a buy, and vice versa.

2. By Aggressor - the trade side is calculated based on the exchange data. The exchange itself assigns a side for each trade (an agressor side). Usually the aggressive side of the trade is a market order (but now always).

Aggressor Side information is provided by the following exchanges: CME, COMEX, NYMEX, CBOT, EUREX, MOEX, ICE.

The following exchanges do NOT provide Aggressor Side information: NYSE, NASDAQ, SGX, ENID. For these exchanges, VolFix® implements the Pseudo By Aggressor algorithm For NYSE, NASDAQ, SGX, ENID exchanges, we recommend using only the Tick Direct algorithm.

3. Pseudo By Aggressor - the trade side is determined by comparing the trade price with the best bid / ask prices. If the trade price is closer to the best bid price, the trade is considered to be bid, and otherwise ask.