Research method
Order flow analysis
Order flow analysis is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Research filter
- Input
- Order book, spread, volume, auction and trading costs
- Horizon
- Seconds to the order life cycle
- Best use
- Choose an executable order and account for implementation cost.
- Input: Order book, spread, volume, auction and trading costs.
- Output: filter.
- Use boundary: Choose an executable order and account for implementation cost.
The graph2
How the method is built, and where it has been read
Depends on
Often reviewed together
Opening auction strategy4 readings
Often reviewed together
Volume profile4 readings
Read in the archive22 readings
1988Constructing a value area from TPO, volume, and order flow1988Constructing Value Area trends from half-hour auction profiles1988Constructing auction structure with volume as a clock1993Five-rung money flow from signed print volume1999Direct access routing and the visible book1999A floor-to-screen case for the trading decision2001Round-number clusters behind support and pattern signals2001Displayed-size filters in multi-venue index-share execution2003Listed auction accommodation and open-book execution2004Specialist prints, opening exits and live tape filters2006Constructing the single-price open from overnight flow2006Order-book depth and passive flow for execution2006A high-volume wide bar as an auction-intent check2007Fair value, open prints, and sweep fades2007Market Profile as auction context for inventory imbalance2008Close imbalance prints as an exit filter2008Decimalization, liquidity, and why price-only charts miss the tape2010Inside the spread: why OHLC bars hide the buy-sell shift2013Constructing forex orders from provider imbalance and book depth2013Liquidity pockets and order routing after the speed race2015Bid-ask queues and the instant-adjustment critique2018Order book heatmaps, VWAP, and flow for execution
This registry entry describes a research method. It is not investment advice and does not make a performance claim.