KNOWLEDGE / ORDER FLOW

Order Flow

CVD, Footprint, aggression of buyers and sellers and absorption.

06articles

Order Flow4 min read

Order flow basics: executed trades and the price response

Every executed trade has both a buyer and a seller. Aggressor-side analysis asks which side crossed available liquidity, rather than counting buyers and sellers as if one trade could contain only one. Resting bids and asks describe displayed intentions; trade…

First, define the context and horizon of the analysis.
Confirm your applications with independent data layers.
Take into account the quality of feed, spread and real cost of execution.

Order Flow4 min read

Cumulative Volume Delta: calculation, divergence and coverage

CVD accumulates signed executed volume from a defined starting point. Changing that anchor changes the displayed level, so the level itself is not comparable across arbitrary chart resets. Base-asset units and quote-currency notional answer different…

CVD is a cumulative calculation from classified trade volume.
Divergence is context to investigate, not an automatic reversal signal.
Keep the venue, unit, reset point and feed quality explicit.

Order Flow4 min read

Absorption: when aggressive flow makes little price progress

Absorption is an interpretation of substantial aggressive trading meeting limited price progress. It may involve replenishing resting orders, multiple participants or liquidity that is not fully visible in one snapshot. A static large order is insufficient…

First, define the context and horizon of the analysis.
Confirm your applications with independent data layers.
Take into account the quality of feed, spread and real cost of execution.

Order Flow4 min read

Footprint charts: delta at each price and the limits of aggregation

A footprint groups executed trades by price and time or another bar construction rule. The displayed bid-side and ask-side volumes depend on the feed's trade classification and the chart's aggregation settings. A large imbalance at one price is not…

First, define the context and horizon of the analysis.
Confirm your applications with independent data layers.
Take into account the quality of feed, spread and real cost of execution.

Order Flow4 min read

Large order-book walls: useful evidence or a misleading snapshot?

A large notional order far from the current market may have little relevance to a short-horizon decision. Compare the wall with normal depth at a similar distance, and state whether size is measured in the base asset or quote currency. The same nominal size…

First, define the context and horizon of the analysis.
Confirm your applications with independent data layers.
Take into account the quality of feed, spread and real cost of execution.

Order Flow4 min read

Trade pace and the tape: activity, size and price response

Trades per second, notional volume per second and the frequency of large matches measure different aspects of activity. One order may be split into many executions, so a rising trade count need not mean more independent participants. Compare the rate with a…

First, define the context and horizon of the analysis.
Confirm your applications with independent data layers.
Take into account the quality of feed, spread and real cost of execution.