Order Flow Analysis

Read these first

1. 01Identifying Retail Order Flow

   Retail orders are small, round-lot, and routed through a predictable handful of wholesalers, which makes them identifiable from the tape even though no trade is tagged "retail." Being able to tell retail from institutional flow is worth real money to whoever can do it.

2. 02Telling Informed Flow From Uninformed Flow

   Every market maker's core problem is that the next order to hit their quote might come from someone who knows something they don't. Distinguishing informed from uninformed flow, even imperfectly, is what separates a profitable market maker from one that gets picked off.

3. 03Detecting Metaorders In The Tape

   A large institutional order sliced into hundreds of small child orders is designed to look like ordinary flow. Detecting it anyway, from the tape alone, is a core skill for both predatory traders looking to front-run it and desks trying to measure their own footprint.

4. 04Predicting Short-Horizon Returns From Flow

   Order flow imbalance predicts the next few seconds to minutes of price better than almost anything else available in real time, which is why it sits at the core of high-frequency trading models even though its predictive power decays almost as fast as it appears.

5. 05Scoring Counterparty Toxicity

   Not every counterparty is priced the same by a market maker. Toxicity scoring turns a counterparty's trading history into a number that predicts how much they'll cost you the next time you fill their order.

Then the rest

1. 06Cross-Asset Order Flow Spillovers
2. 07Cumulative Volume Delta
3. 08Detecting Sweeps In The Tape
4. 09Estimating Kyle's Lambda From Trade Data
5. 10Fingerprinting An Algo From Its Child Orders
6. 11Footprint Charts And Volume At Price
7. 12How Accurate Are Trade Classification Rules?
8. 13How Fast Order Flow Alpha Decays
9. 14Order Flow Imbalance Beyond The Touch
10. 15Queue Imbalance As A Predictor
11. 16The Tick Rule And The Quote Rule
12. 17Trade Aggressor Imbalance
13. 18Trade Condition Codes: Which Prints To Keep