Bids & Asks Delta

Definition

Bid-Ask Delta measures the net difference between buy-side liquidity (bids) and sell-side liquidity (asks) within the order book at specific depth levels. It highlights the imbalance between passive buy and sell orders, offering insight into supply and demand dynamics across different price ranges.

Bid-Ask Delta = Total Bids − Total Asks

Depth Parameters:

The Bid-Ask Delta can be calculated across multiple order book depth levels, each representing a specific range from the mid-price:

• Quote: Best bid and ask prices.

• 1% Depth: Orders within 1% of the mid-price.

• 2% Depth: Orders within 2% of the mid-price.

• 5% Depth: Orders within 5% of the mid-price.

• 10% Depth: Orders within 10% of the mid-price.

• 20% Depth: Orders within 20% of the mid-price.

• Full Book: All visible orders in the order book.

Each depth level offers a unique perspective on liquidity imbalances, with smaller ranges reflecting short-term orderbook and larger ranges showing broader liquidity trends.

Key Insights:

• Positive Delta: Indicates more buy-side liquidity (bids exceed asks), suggesting stronger demand.

• Negative Delta: Indicates more sell-side liquidity (asks exceed bids), suggesting stronger supply.

• Depth Variance: Imbalances at deeper levels may indicate hidden liquidity or strategic positioning.

The Bid-Ask Delta serves as a powerful tool for assessing liquidity imbalances across multiple depth levels, helping traders and analysts identify market sentiment, liquidity zones, and potential price pressure points.