Why footprint delta differs between platforms
Put two footprint charts of the same contract side by side and the volume usually agrees while the delta does not. The difference is mostly in the trades that arrive without a side, and in what each platform does with them.
Volume is counted, delta is classified
Volume is a count: every trade adds its size. Two platforms reading the same feed should arrive at the same volume for the same bar, give or take session times and how much history each one loaded.
Delta is a classification. Each trade has to be put on one side: bought at the ask (an aggressive buy) or sold at the bid (an aggressive sell). Delta is the buy side minus the sell side. That only works when the side is known.
Some trades arrive with no side
The feed marks most trades with the side that was aggressive. Some trades come without that mark. When a trade has no side, a platform has three choices:
| What a platform does | What it does to the numbers |
|---|---|
| Leaves it out of volume and delta | Volume is lower than the exchange total |
| Guesses a side from the price (tick rule, bid/ask comparison) | Volume is complete; delta includes a guess |
| Counts it in volume only | Volume is complete; delta counts only trades whose side is known |
Each choice gives a different delta for the same bar, and the gap grows with the number of unmarked trades.
A real example from Quantower's own saved trades, CL December 2026 (CLEZ26), price 100.00, 29 October 2026, 13:30–14:00 UTC: 640 contracts traded at the bid, 141 at the ask, and 50 with no side. A platform that guesses sides for those 50 can show a delta anywhere from −549 to −449 at that price; a platform that leaves them out of delta shows −499.
How often it happens depends on the market and the connection. In 1,200 five-minute CL bars we checked from one connection, about one trade in seven had no side. Other contracts and other feeds can be very different, so treat that as an example, not a rule.
What OrderVane for Quantower does
- Footprint, bar statistics and CVD: a trade with no side is added to volume and never to buy, sell or delta. This is the same rule Quantower's own volume analysis uses, so OrderVane's footprint volume matches Quantower's, and its delta counts only trades whose side the feed reported.
- Volume shelves: count only trades with a known side, because the label shows sellers × buyers.
- The same rule on every path. Live trades, trade history and OrderVane's saved footprint data all follow it, so a bar shows the same numbers after a restart. Before this rule (fixed in the 30 October 2026 update), some paths guessed a side and others left the trade out; see the changelog.
- Big trade bubbles still need a side to pick a colour. Where the feed gives none, they use standard tick-rule inference, as the big trade markers page says. That affects the colour of a bubble, not the footprint numbers.
Comparing two charts fairly
- Compare volume first. If volume differs, the charts are not looking at the same trades: check the session template, the bar's time zone and how much history each one loaded.
- Then compare delta. With volume matching, a delta gap is about trades with no side. Bars with more unmarked trades show bigger gaps.
- Use the same connection. Different connections can mark sides differently, and some send fewer marked trades than others.
A delta that counts only the marked trades can be smaller than one that guesses, but it contains no guesses.
Related
In OrderVane for Quantower, a trade that arrived without a side counts in footprint volume only — no guessed delta.
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