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Market StructureA
Aggregated Delta
The cumulative net difference between buying and selling volume aggregated over multiple levels or time periods. Shows the overall directional pressure in the market by combining individual delta readings. Aggregated delta is a key order flow metric that helps traders determine whether buyers or sellers are dominating the tape over a given timeframe.
Example
“Aggregated delta turned sharply negative during the selloff, indicating strong and persistent selling pressure across multiple price levels.”