Order flow and data quality
Calculate delta from trades, compare spot and perpetual activity and distinguish a useful observation from a feed or classification artefact.
What you will practise
Audit a flow signal from its raw observations through its classification, aggregation and interpretation.
Before you start
- Understand market orders, limit orders and traded volume.
- Read the opening/closing contract lesson before interpreting flow as positioning.
Course outline
- 1
Calculate cumulative volume delta from a trade tape
Reconstruct CVD step by step. Check aggressor-side classification, units and reset times before using a divergence as evidence.
7 min - 2
Distinguish absorption from exhaustion in order flow
Compare heavy selling with little price progress against fading selling activity. Use executed flow, replenishment and subsequent price response to test both explanations.
8 min - 3
Compare spot CVD with perpetual flow correctly
Align units, windows and venue coverage before interpreting a spot–perpetual divergence. Use both net flow and total activity without assigning hidden trader identities.
8 min - 4
Read diagonal footprint imbalances with a sample threshold
Calculate a diagonal buy/sell imbalance, handle a zero denominator and distinguish exchange-classified trades from lower-timeframe volume estimates.
8 min - 5
Audit order-flow data before trusting a signal
Detect missing trades, duplicate events, stale timestamps and incompatible classifications. Build a practical completeness check for CVD and order-book studies.
8 min
Educational material. Examples do not establish a profitable strategy. Trading costs, gaps and liquidation can produce losses beyond a planned stop.