ORDER FLOW NOTES
Short reads on reading the flow.
Three new notes each day on order books, executed volume and the data behind the charts.
Cumulative delta explained with ten trades
Cumulative delta adds each trade's buy or sell size to a running total. Ten ES trades show how the line moves, read on the Liquivue CVD study.
Read the note →Market, limit and stop orders on a futures DOM
How market, limit and stop orders fill on a futures DOM, with a worked MES example in the Liquivue DOM that prices each fill in ticks and dollars.
Read the note →What a volume profile measures
A volume profile counts how many contracts traded at each price. A worked ES session shows what the bars measure and the four things they leave out.
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How to read a liquidity heatmap for the first time
A first walk through a liquidity heatmap in Liquivue. What the axes and colours mean, what to look at first, and the two settings to fix before you start.
Read the note →MBP and MBO, two ways to describe the same book
Market by price adds up orders at each level. Market by order lists each one. What changes on your chart, and why Liquivue iceberg detection needs MBO.
Read the note →What the DOM shows and what it hides
The DOM ladder shows displayed limit orders at each price right now. What it leaves out, and how Liquivue pairs the DOM with a heatmap to fill the gaps.
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How a footprint imbalance is calculated
A diagonal footprint imbalance compares buying at one price with selling one tick lower. A worked example and the settings that change it.
Read the note →Why a liquidity heatmap shows orders that never trade
A heatmap draws resting limit orders, and many are cancelled before price arrives. How to tell filled levels from pulled ones in Liquivue.
Read the note →What a delta number counts, and what it leaves out
Delta subtracts bid volume from ask volume. How Liquivue, NinjaTrader and other platforms classify each trade, and four cases where delta misleads.
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