Knowledge Base
Master the fundamentals of professional trading
Orderflow Analysis
Understanding delta, footprint charts, and institutional activity
What is Orderflow?
Orderflow is the real-time stream of market orders that creates price movement. Unlike traditional technical analysis that only shows the result of trading, orderflow reveals how price moved—the actual battle between buyers and sellers at each price level.
The "tape" is Time & Sales data—a chronological record of every executed trade containing:
- Price — Where the trade executed
- Volume — How many contracts traded
- Aggressor Side — Whether buyer or seller was aggressive
- Timestamp — Exact execution time
How Price Moves:
- Price moves UP when aggressive buyers absorb all sell orders at the ask
- Price moves DOWN when aggressive sellers hit all buy orders at the bid
- Price consolidates when buy and sell pressure are balanced
Delta Analysis
Delta measures the difference between aggressive buying and aggressive selling: Delta = Buy Volume (at ask) - Sell Volume (at bid)
CVD is the running total of delta over time. It trends up when buying dominates and down when selling dominates.
Think of CVD as a volume-weighted momentum indicator that reveals conviction behind price moves.
Divergence occurs when price and delta disagree—a powerful reversal signal:
Bearish Divergence
Price makes higher highs, CVD makes lower highs. Buyers lifting offers with less conviction.
Bullish Divergence
Price makes lower lows, CVD makes higher lows. Sellers hitting bids with waning intensity.
Footprint Charts
Footprint charts display bid and ask volume at every price level within each candle. Instead of just seeing OHLC, you see the volume distribution throughout the entire candle.
Each price level shows: Bid Volume × Ask Volume
Example: 350 × 820
- 350 sellers hit the bid (aggressive selling)
- 820 buyers lifted the ask (aggressive buying)
- Delta = +470 (clear buying imbalance)
An imbalance occurs when one side dramatically outweighs the other (2:1+ ratio):
Absorption occurs when large passive orders "absorb" aggressive attempts to move price:
Buying Absorption
Huge bid volume at a level, but price doesn't fall. Large buyers defending by absorbing all selling.
Selling Absorption
Huge ask volume at a level, but price doesn't rise. Large sellers absorbing all buying.
Absorption represents institutional activity—large players defending a level or building a position.
Volume Profile
Volume Profile shows how much volume traded at each price level over a period. Markets are auction-driven—price seeks fair value (highest volume) and returns when it moves away.
Single prints are price levels traded only once—created by rapid, aggressive moves with no acceptance.
- Represent inefficiency that markets often "fill" later
- At swing highs/lows = exhaustion signal
- Act as weak support/resistance (price slices through easily)
Price Above Value Area: Market in uptrend, VAH acts as support on pullbacks
Price Below Value Area: Market in downtrend, VAL acts as resistance on bounces
Price Within Value Area: Balanced market, expect rotation between VAH and VAL
Identifying Institutional Activity
Large prints are individual trades with unusually high volume (100+ contracts in ES).
- 2-10× typical trade size
- Often at key price levels
- Represents deliberate institutional positioning
Large orders where only a small portion is visible. As visible portion fills, it auto-replenishes from a hidden reserve.
Detection: Same price level keeps showing repeated fills with similar size, but DOM only showed small quantity.
High-probability institutional signals combine:
- Large prints at key level
- Iceberg detected (repeated size)
- Absorption visible on footprint
- Delta divergence
- Confluence with volume profile levels
When 3+ align, you have a high-probability setup.