Order flow: the tape behind the candles

Candles tell you what happened. The tape tells you who did it.

Every price change is a trade

Price never moves on its own. Every tick is a trade: someone crossed the spread and hit an order that was resting in the order book. The running list of those trades, with their size and side, is the tape.

Buyers lifting, sellers hitting

Each trade has an aggressor. A buyer who lifts the ask wanted in badly enough to pay up. A seller who hits the bid wanted out badly enough to sell down. The resting order they hit was patient; the aggressor was not, and urgency is information.

Add the trades up over a window and you get the taker share: how much of the volume came from aggressive buyers versus aggressive sellers. A taker share near half is a balanced argument. A taker share far from half means one side is doing nearly all the pushing.

One minute, read aloud

Replay a single busy minute and the tape reads like commentary. Small sells hit the bid and price barely moves. Then a burst of large buys lifts through two price levels in seconds, and the sells dry up. A one-minute candle would show you a green bar. The tape shows you who pushed, how hard, and who stepped aside.

Why candles alone hide this

A candle compresses thousands of trades into four prices, so two identical candles can hide opposite games: steady balanced churn, or one aggressive side steamrolling the other. If you only ever look at candles, those two markets are indistinguishable, and the difference is exactly the part a trader would want to know. Numbers like the taker share and VPIN exist to recover what the compression threw away.

For how this reads on the terminal itself, see DOM ladder & time and sales.

See it live

Replay a real event in the terminal and watch the tape.

Related: VPIN · Book imbalance