Understanding order flow

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. A footprint chart shows the same aggressor split price by price inside each candle, and cumulative volume delta keeps a running total of it. 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.

For the bigger picture, see how crypto market microstructure connects trades, liquidity and price.