Understanding order flow

Read aggressor-side trades without inferring trader identity or intent.

The tape lists executed trades with their price, size, timestamp and aggressor side. The order book shows resting quotes. A last-traded price changes through trades; quotes can change through order placement and cancellation without a trade.

Buyers lifting and sellers hitting

A buy-initiated trade executes against a resting ask; a sell-initiated trade executes against a resting bid. Each trade still has both a buyer and a seller. Aggressor side does not identify the participant, their information, or whether they opened or closed a position.

Read the window and unit

The net taker flow reference explains signed buy-minus-sell notional relative to total traded notional. The four-hour version covers a different window. These are distinct from a buy-share measurement and from VPIN, which uses absolute imbalance within volume buckets.

Inspect the sequence

In replay, compare prints with the DOM. Look for executed size, quote changes and replenishment as observations. Avoid assigning motives to an anonymous sequence of orders.

A single sequence can suggest a question. To assess whether a condition was associated with different outcomes, define it in the Research Workbench, review its scope and compare all matches with a baseline.