Systemic Docs

Name	Type	Description
Window	integer	- Description; The number of bars actually observed (not calendar slots) over which the moving averages of the price and Volume Delta are calculated. A market-closed gap does not count toward the window — it is skipped, and the window reaches further back to find N genuine data points.
Price	floatarray	- Description; A list of price data points, typically representing the closing prices of an asset over a specified period.
Bid Volume	floatarray	- Description; A list of volumes representing the total number of shares or contracts traded at the bid price (the highest price a buyer is willing to pay) over a specified period.
Ask Volume	floatarray	- Description; A list of volumes representing the total number of shares or contracts traded at the ask price (the lowest price a seller is willing to accept) over a specified period.

Name	Type	Description
VDD	floatarray	- The VDD indicator provides a numerical value representing the volume delta for a given period. This value can be positive (indicating net buying) or negative (indicating net selling).

Volume Delta Divergence measures the difference between buying pressure (ask volume) and selling pressure (bid volume), then identifies divergences between this delta and price movement.

Volume\ Delta = Ask\ Volume - Bid\ Volume

How It Works

flowchart TD
    subgraph Input["Market Data"]
        ASK["Ask Volume (buys at ask)"]
        BID["Bid Volume (sells at bid)"]
        P["Price"]
    end
    
    subgraph Delta["Volume Delta"]
        DIFF["Delta = Ask - Bid"]
        MA1["Delta MA (smoothed)"]
    end
    
    subgraph Price["Price Analysis"]
        PMA["Price MA"]
    end
    
    subgraph Divergence["Divergence Detection"]
        COMP["Compare trends"]
        DIV["Identify divergence"]
    end
    
    ASK & BID --> DIFF --> MA1
    P --> PMA
    MA1 & PMA --> COMP --> DIV

Interpreting Volume Delta

Delta	Interpretation
Positive (Ask > Bid)	Buying pressure dominates
Negative (Bid > Ask)	Selling pressure dominates
Genuinely near zero	Balanced market

Missing Data: A gap in price, ask volume, or bid volume is never shown as zero. Zero is a real, computed value (balanced buying/selling pressure); a gap in the underlying data is shown as a gap in the indicator, never mistaken for "balanced."

Divergence Signals

flowchart TD
    subgraph BullDiv["Bullish Divergence"]
        BP["Price: Making new lows"]
        BD["Delta: Making higher lows"]
        BS["Signal: Sellers exhausting"]
    end
    
    subgraph BearDiv["Bearish Divergence"]
        BeP["Price: Making new highs"]
        BeD["Delta: Making lower highs"]
        BeS["Signal: Buyers exhausting"]
    end

Pattern	Price	Delta	Implication
Bullish Divergence	Lower lows	Higher lows	Potential reversal up
Bearish Divergence	Higher highs	Lower highs	Potential reversal down
Confirmation	Same direction	Same direction	Trend continuation

Trading Applications

1. Trend Confirmation

Price Trend	Delta Trend	Reading
Up	Positive/rising	Strong uptrend
Down	Negative/falling	Strong downtrend
Up	Negative/falling	Weak rally — caution
Down	Positive/rising	Weak selloff — caution

2. Reversal Detection

Watch for divergences at:

Key support/resistance levels
After extended trends
Near round numbers or psychological levels

Data Requirements

Note: Volume Delta requires bid/ask level data (Level 2 or trade-by-trade data), which may not be available for all markets.

Data Type	Availability
Forex	Often available
Futures	Usually available
Stocks	Varies by broker/exchange
Crypto	Most exchanges provide

Missing Data

VDD needs price, ask volume, and bid volume together on every bar it uses — a bar missing any one of the three is skipped entirely (dropped from both the price average and the delta average), never treated as zero. The Window setting means N bars actually observed, not N calendar slots: on a market-closed gap (holiday, weekend, no data), the window keeps counting back through real bars, so a 20-bar window is always an average of 20 genuine data points — it simply reaches further back in time to find them. Until enough observed bars accumulate (or on a bar itself missing an input), the indicator has no value yet — this shows as a gap, not a misleading zero.

Advantages

Order flow insight — Shows actual buying vs selling pressure
Early signals — Divergences can precede price reversals
Confirmation tool — Validates price movements
Market microstructure — Reveals hidden market dynamics

Disadvantages

Data intensive — Requires detailed bid/ask volume
Lagging smoothing — Moving averages add delay
Interpretation varies — Divergences can be subjective
Not universal — Limited data availability

Indicator Assessment

%%{init: {'theme': 'base', 'themeVariables': { 'cScale0': '#2563eb', 'cScale1': '#7c3aed'}}}%%
quadrantChart
    title VDD Indicator Assessment
    x-axis Low Complexity --> High Complexity
    y-axis Low Reliability --> High Reliability
    quadrant-1 Complex & Reliable
    quadrant-2 Simple & Reliable
    quadrant-3 Simple & Unreliable
    quadrant-4 Complex & Unreliable
    Stocks: [0.65, 0.55]
    Crypto: [0.60, 0.60]

Dimension	Stocks	Crypto	Notes
Popularity	4/10	6/10	Niche in stocks; more popular in crypto where bid/ask volume data is readily available
Reliability	5/10	6/10	Requires quality bid/ask data; signals can be noisy without smoothing
Complexity	6/10	6/10	Moderate—requires understanding of order flow concepts and divergence analysis
Versatility	5/10	7/10	Limited by data availability in stocks; crypto exchanges often provide detailed order book data
Recent Interest	5/10	7/10	Growing interest in crypto day-trading circles; footprint charts gaining traction

Volume Delta Divergence

Inputs

Outputs