CVD Indicator (Cumulative Volume Delta)

This example demonstrates a CVD (Cumulative Volume Delta) indicator that has been verified to match Bookmap's closed-source CVD indicator exactly.

What is CVD?

Cumulative Volume Delta tracks the running difference between buying and selling volume:

CVD = Σ (Buy Volume - Sell Volume)

Where:

• Buy Volume: Trades where the buyer was the aggressor (lifted the ask)
• Sell Volume: Trades where the seller was the aggressor (hit the bid)

CVD reveals the underlying buying/selling pressure that price alone doesn't show.

The Core Formula

if (tradeInfo.isBidAggressor) {
    cvdValue += size;  // Aggressive buy → positive delta
} else {
    cvdValue -= size;  // Aggressive sell → negative delta
}

isBidAggressor	Market Action	CVD Impact
true	Buyer lifted the ask	+ size
false	Seller hit the bid	- size

Complete Implementation

package com.bookmap.addons.orderflow;

import velox.api.layer1.annotations.*;
import velox.api.layer1.data.InstrumentInfo;
import velox.api.layer1.data.TradeInfo;
import velox.api.layer1.messages.indicators.Layer1ApiUserMessageModifyIndicator.GraphType;
import velox.api.layer1.simplified.*;
import velox.gui.StrategyPanel;

import javax.swing.*;
import java.awt.*;

@Layer1SimpleAttachable
@Layer1StrategyName("CVD Indicator")
@Layer1ApiVersion(Layer1ApiVersionValue.VERSION2)
public class CvdIndicator implements CustomModule, TradeDataListener, CustomSettingsPanelProvider {

    private IndicatorModifiable cvdIndicator;
    private double cvdValue = 0;
    private Color indicatorColor = Color.GREEN;
    private int lineWidth = 2;

    @Override
    public void initialize(String alias, InstrumentInfo info, Api api, InitialState initialState) {
        cvdIndicator = api.registerIndicatorModifiable("CVD", GraphType.BOTTOM);
        cvdIndicator.setColor(indicatorColor);
        cvdIndicator.setWidth(lineWidth);
    }

    @Override
    public void onTrade(double price, int size, TradeInfo tradeInfo) {
        if (tradeInfo.isBidAggressor) {
            cvdValue += size; // Buying volume (bid aggressor)
        } else {
            cvdValue -= size; // Selling volume (ask aggressor)
        }
        cvdIndicator.addPoint(cvdValue);
    }

    @Override
    public StrategyPanel[] getCustomSettingsPanels() {
        StrategyPanel panel = new StrategyPanel("CVD Settings");

        JButton colorButton = new JButton("Change Color");
        colorButton.addActionListener(e -> {
            Color newColor = JColorChooser.showDialog(null, "Choose CVD Line Color", indicatorColor);
            if (newColor != null) {
                indicatorColor = newColor;
                cvdIndicator.setColor(indicatorColor);
            }
        });
        panel.add(colorButton);

        JSpinner widthSpinner = new JSpinner(new SpinnerNumberModel(lineWidth, 1, 5, 1));
        widthSpinner.addChangeListener(e -> {
            lineWidth = (int) widthSpinner.getValue();
            cvdIndicator.setWidth(lineWidth);
        });
        panel.add(new JLabel("Line Width:"));
        panel.add(widthSpinner);

        return new StrategyPanel[] { panel };
    }

    @Override
    public void stop() {
        // Cleanup if necessary
    }
}

Key Implementation Details

1. Indicator Registration

cvdIndicator = api.registerIndicatorModifiable("CVD", GraphType.BOTTOM);

• IndicatorModifiable: Allows dynamic color/width changes after registration
• GraphType.BOTTOM: Places indicator in separate panel below price chart

2. No Price Conversion Needed

Unlike price-based indicators, CVD only uses:

• size - Trade volume (already in correct units)
• tradeInfo.isBidAggressor - Aggressor side classification

No pips conversion required.

3. Zero-Size Trades

Zero-size trades (MBO updates) naturally contribute nothing:

cvdValue += 0;  // No impact

No explicit filtering needed, though you may add it for efficiency:

if (size == 0) return;

4. Settings Panel

CustomSettingsPanelProvider enables runtime customization:

• Color picker via JColorChooser
• Line width via JSpinner

Verification

This implementation has been verified against Bookmap's native CVD indicator:

Indicator	Value
Custom (green)	-38.0
Bookmap native	-38

Result: Exact match confirmed.

Use Cases

Trading Applications

Pattern	Interpretation
Price up, CVD up	Confirmed bullish (buying pressure)
Price up, CVD down	Divergence - potential reversal
Price down, CVD down	Confirmed bearish (selling pressure)
Price down, CVD up	Divergence - potential reversal

Extensions

This foundation can be extended for:

1. Session CVD - Reset at session boundaries
2. Delta Bars - Per-bar delta instead of cumulative
3. Delta Divergence Alerts - Automatic divergence detection
4. Multi-timeframe Delta - Compare delta across timeframes

Session-Based CVD Variant

To reset CVD at session open:

private boolean isNewSession = false;

@Override
public void onTrade(double price, int size, TradeInfo tradeInfo) {
    if (isNewSession) {
        cvdValue = 0;
        isNewSession = false;
    }
    
    if (tradeInfo.isBidAggressor) {
        cvdValue += size;
    } else {
        cvdValue -= size;
    }
    cvdIndicator.addPoint(cvdValue);
}

Combine with HistoricalModeListener or time-based checks to detect session boundaries.

Data Source Compatibility

Data Source	CVD Accuracy
Rithmic (live)	✅ Exact
Rithmic (recorded)	✅ Exact
dxFeed Historical	✅ Accurate (sizes and aggressor flags preserved)

Unlike volume profile, CVD is not affected by price aggregation since it only depends on size and aggressor side, both of which are preserved in aggregated data.

See Also

• Data Listeners - TradeDataListener interface
• TradeInfo - Trade information including isBidAggressor
• Api Interface - Registering indicators
• On Trade Example - Volume profile with trade data