Order Flow. See inside the market.

Buy aggression → lifts offers · Sell aggression → hits bids

DAY 1 · CHAPTER 1

Introduction to Order Flow Trading

Order flow studies executed trades and displayed orders at a particular venue. It separates aggressive execution from resting liquidity; neither reveals every participant or future price.

Buy aggression → lifts offers · Sell aggression → hits bids

DAY 2 · CHAPTER 2

How the Market Works — Buyers, Sellers & Price

Every execution has a buyer and seller. Aggressor direction describes which side crossed the spread; price can advance when available offers are consumed or withdrawn.

Buy aggression → lifts offers · Sell aggression → hits bids

DAY 3 · CHAPTER 3

Market Orders vs. Limit Orders

A market order prioritizes immediate execution, with price uncertainty. A limit order constrains price but can remain unfilled; a marketable limit can execute immediately.

Buy aggression → lifts offers · Sell aggression → hits bids

DAY 4 · CHAPTER 4

Bid, Ask & Bid-Ask Spread

The best bid is the highest displayed buying price; the best ask is the lowest displayed selling price. Their difference is the spread. Depth and tick size also matter.

Buy aggression → lifts offers · Sell aggression → hits bids

DAY 5 · CHAPTER 5

DOM (Depth of Market) & Order Book

A DOM displays resting bid and ask quantities by price. Market-by-price aggregates orders; it is not a list of named traders. Additions, fills and cancellations all change the ladder.

Buy aggression → lifts offers · Sell aggression → hits bids

DAY 6 · CHAPTER 6

Volume, Liquidity & Market Participants

Volume measures executed quantity in a defined interval. Liquidity concerns execution capacity, spread, depth and recovery. High volume alone does not identify institutions.

Total 300 · Ask 220 − Bid 80 = Delta +140
Numbers describe executions, not pending orders.

DAY 7 · CHAPTER 7

Introduction to Footprint Charts

A footprint arranges executed volume at each price within a bar. Accurate bid/ask classification requires suitable transaction data; candle OHLC alone cannot reconstruct it.

Week 2 — Footprint & Delta Analysis

Total 300 · Ask 220 − Bid 80 = Delta +140
Numbers describe executions, not pending orders.

DAY 8 · CHAPTER 8

Bid × Ask Footprint Chart

The bid column commonly records aggressive selling into bids; the ask column records aggressive buying at offers. Confirm your platform convention before comparing cells.

Bar delta → cumulative delta

Green/red: bar delta · Blue: running sum from zero

DAY 9 · CHAPTER 9

Delta — Positive, Negative & Bar Delta

Bar delta is ask-classified executed volume minus bid-classified executed volume over a bar. Positive delta describes aggressive buying, not a guaranteed upward close.

Bar delta → cumulative delta

Green/red: bar delta · Blue: running sum from zero

DAY 10 · CHAPTER 10

Cumulative Volume Delta (CVD)

CVD sums classified trade delta from a specified reset point. Session resets, venues, missing ticks and classification methods can produce different curves.

Total 300 · Ask 220 − Bid 80 = Delta +140
Numbers describe executions, not pending orders.

DAY 11 · CHAPTER 11

Footprint Imbalances & Stacked Imbalances

An imbalance compares defined bid/ask cells using a ratio and minimum volume. Some tools use diagonal comparisons. Stacked imbalances mean adjacent qualifying levels, under stated settings.

Total 300 · Ask 220 − Bid 80 = Delta +140
Numbers describe executions, not pending orders.

DAY 12 · CHAPTER 12

Absorption — Buyer & Seller Absorption

Absorption is an interpretation of substantial aggressive execution with limited price progress, suggesting opposing passive liquidity. It is an observation, not proof of one hidden trader.

Total 300 · Ask 220 − Bid 80 = Delta +140
Numbers describe executions, not pending orders.

DAY 13 · CHAPTER 13

Exhaustion — Buying & Selling Exhaustion

Exhaustion describes declining aggressive participation near an extreme. Contrast reduced activity with absorption, where substantial execution meets resistance. Neither automatically confirms reversal.

Bar delta → cumulative delta

Green/red: bar delta · Blue: running sum from zero

DAY 14 · CHAPTER 14

Delta Divergence & Price Divergence

A divergence occurs when price and a specified delta measure disagree, such as a new price low without a new CVD low. Define the comparison horizon and reset first.

Week 3 — Liquidity & Market Context

Executed volume by price

100.00100

100.01500 · POC

100.02200

POC is the highest-volume price in this illustration.

DAY 15 · CHAPTER 15

Volume Profile — POC, VAH & VAL

A volume profile aggregates executed quantity by price over a chosen interval. POC is the highest-volume price; value area boundaries depend on the specified construction.

Executed volume by price

100.00100

100.01500 · POC

100.02200

POC is the highest-volume price in this illustration.

DAY 16 · CHAPTER 16

Auction Context — Balance & Imbalance

Balanced markets repeatedly exchange near accepted prices; directional auctions seek new areas. Context describes observed behavior and should be checked against session and instrument.

Buy aggression → lifts offers · Sell aggression → hits bids

DAY 17 · CHAPTER 17

Liquidity Heatmaps — Resting vs. Executed

A heatmap tracks displayed liquidity over time. Bright resting levels can move or cancel. Executed trade bubbles are a separate layer with a separate meaning.

Buy aggression → lifts offers · Sell aggression → hits bids

DAY 18 · CHAPTER 18

Iceberg Orders & Hidden Liquidity

Repeated replenishment at a level can suggest hidden or reserve liquidity, but market-by-price alone cannot establish a single iceberg order or its owner.

Total 300 · Ask 220 − Bid 80 = Delta +140
Numbers describe executions, not pending orders.

DAY 19 · CHAPTER 19

Time & Sales — Reading the Tape

The tape reports executions with price, time and size. Verify timestamp resolution, aggressor classification and whether prints are bundled. Pace depends on the venue and session.

Buy aggression → lifts offers · Sell aggression → hits bids

DAY 20 · CHAPTER 20

Large Trades vs. Large Pending Orders

A large print is executed quantity; a large book level is aggregated pending liquidity. A threshold defines large for your analysis and does not identify a whale.

Buy aggression → lifts offers · Sell aggression → hits bids

DAY 21 · CHAPTER 21

Session, Contract & Data Quality

Instrument, contract expiry, venue, session and tick completeness shape every order-flow metric. Spot gold, COMEX futures and a gold perpetual are distinct markets.

Week 4 — Execution & Review

Total 300 · Ask 220 − Bid 80 = Delta +140
Numbers describe executions, not pending orders.

DAY 22 · CHAPTER 22

Breakout Acceptance & Failed Auctions

A breakout is more meaningful as an observation when price trades and remains beyond a reference. A quick return can represent rejection; quantify acceptance instead of using hindsight.

Total 300 · Ask 220 − Bid 80 = Delta +140
Numbers describe executions, not pending orders.

DAY 23 · CHAPTER 23

Absorption at a Reference Level

Combine a preselected reference with execution and price response. An absorption hypothesis fails if price accepts beyond the level; define that failure before a paper entry.

Total 300 · Ask 220 − Bid 80 = Delta +140
Numbers describe executions, not pending orders.

DAY 24 · CHAPTER 24

Trend Pullback & Continuation Context

A pullback can reduce aggressive countertrend participation, but continuation needs defined price confirmation and a realistic invalidation distance. Do not optimize settings after seeing the result.

Hypothetical price distances before fees and slippage.

DAY 25 · CHAPTER 25

Entry, Stop & Target Construction

Convert an observation into a paper rule with entry trigger, invalidation, target and expiry. Stops are execution instructions and can slip; visible liquidity is not a guaranteed target.

Hypothetical price distances before fees and slippage.

DAY 26 · CHAPTER 26

Position Sizing, Fees & Slippage

Size from a fixed risk budget, stop distance, contract multiplier and estimated costs. Round down to permitted size and distinguish margin from potential loss.

Hypothetical price distances before fees and slippage.

DAY 27 · CHAPTER 27

Replay Testing Without Look-Ahead

Freeze rules and reveal data sequentially. Keep later prices hidden while recording decisions. Include no-trade observations and unavailable data rather than selecting only attractive charts.

Hypothetical price distances before fees and slippage.

DAY 28 · CHAPTER 28

Trading Journal & Performance Review

Track setup, source, session, entry assumptions, costs, outcome and rule adherence. Win rate alone omits loss size and sample uncertainty.

Days 29–30 — Playbook & Capstone

Hypothetical price distances before fees and slippage.

DAY 29 · CHAPTER 29

Build an Order Flow Playbook

Select one repeatable observation and state context, confirmation, invalidation and no-trade conditions. Use screenshots with timestamps and explain competing interpretations.

Hypothetical price distances before fees and slippage.

DAY 30 · CHAPTER 30

Capstone — Explain a Full Session

Integrate ladder, footprint, delta, context and risk into an annotated replay. Separate facts from hypotheses and evaluate whether the feed supports each claim.

LIVE INDICATORS LAB

Order Flow. Calculated from trades.

Run the indicators on observed trades. This lab calculates signals; it does not submit buy or sell orders.

Jump to chart ↓

Delta = aggressive BUY quantity − aggressive SELL quantity.

Negative delta means more aggressive selling. If price holds despite it, passive buyers may be absorbing. Positive delta means more aggressive buying; stalled price can suggest passive sellers. Delta alone does not identify a winner.

MarketBar timeframePrice bin (USDT)Imbalance ratio

Connecting · Binance Spot · BTCUSDT · Quantity in BTC, price in USDT · Awaiting data IST

Observed rolling window up to 10 minutes · 0 aggregate prints · —–— IST. First/last bars may be partial. REST polling may miss prints; this is not a complete session footprint or session CVD.

Bar delta—

Aggressive buy − sell quantity in current observed bar

Observed-window CVD—

Sum of observed deltas; resets with this rolling 10-minute buffer

Delta %—

100 × observed delta / observed executed volume

Executed volume—

Observed executed quantity, not pending orders

Window VWAP—

Quantity-weighted price of observed executions

Volume POC—

Highest-volume price bin in observed window

Value area high—

Upper bin edge of 70% area grown from POC toward larger neighbor

Value area low—

Lower bin edge of the observed-window 70% area

Imbalance levels—

Same-bin buy/sell ratio ≥ 3:1; both sides ≥ 0.01 BTC

Longest imbalance stack—

Adjacent same-side qualifying bins in current bar; 3+ is a stack