Orderflow glossary
Reference · · 3 min read
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The words you will meet on orderflow platforms, in plain English and in alphabetical order. Each one has its own link, so you can share a single definition.
For how these pieces fit together, read what orderflow trading is.
Absorption
Heavy aggressive buying or selling that fails to move price further. It suggests that limit orders on the other side are taking that volume. It is an interpretation, not a signal: absorption can give way at any moment.
Ask
The lowest price at which someone is currently willing to sell. A market buy order trades at the ask.
Bid
The highest price at which someone is currently willing to buy. A market sell order trades at the bid.
Cumulative delta
A running total of delta across bars or across a session. Traders compare it with price, for example when price makes a new high while cumulative delta does not.
Delta
Aggressive buying volume minus aggressive selling volume over a period, such as one bar. A positive delta means more volume traded at the ask than at the bid. Depending on the data feed, the side of each trade can be estimated, so two platforms can show different delta.
Depth of market (DOM)
A ladder of prices showing the limit orders waiting to buy and to sell near the current price. It shows what is on offer right now, and those orders can be cancelled at any time.
Exhaustion
Aggressive volume fading as a move continues. It can suggest that fewer participants are still pushing price in that direction.
Footprint chart
A chart that opens up each candle and shows the volume traded at each price inside it, usually split between bid and ask. You see how a candle was built, not only its open, high, low and close.
Iceberg order
A large limit order that only shows part of its size at a time. When the visible part fills, more appears at the same price, so the book understates what is really waiting there.
Imbalance
Much more aggressive volume on one side than the other at nearby prices, often shown on footprint charts when one side is a set multiple of the other, such as three times larger.
Limit order
An order to buy or sell at a chosen price or better. It waits in the market until it fills or is cancelled, and it adds liquidity.
Liquidity heatmap
A picture of the order book over time: brighter areas show prices where many limit orders were resting. It helps you see where large orders sat and when they were pulled or filled.
Market order
An order to buy or sell right away at the best price available. It takes liquidity, which is why traders call it aggressive. In a fast market it can fill at a worse price than expected, which is called slippage.
Point of control (POC)
The price with the most volume in a volume profile over the chosen period.
Spoofing
Placing orders you intend to cancel before they fill, to mislead other traders about supply or demand. It is illegal in many markets, including US futures, but it still happens, which is one reason visible orders are not promises.
Tick
The smallest price move a contract can make. On the E-mini S&P 500 (ES) it is 0.25 point, worth $12.50 per contract. Our position size calculator lists tick values for common futures.
Time and sales
Also called the tape: a list of every trade with its time, price and size. Many platforms mark whether each trade hit the bid or lifted the ask.
Value area
In a volume profile, the price range around the point of control where a set share of the volume traded, usually about 70%.
Volume profile
A histogram on the side of the chart showing how much traded at each price over a chosen period. It highlights prices the market accepted and prices it moved through quickly.
VWAP
Volume-weighted average price: the average price of all trades in a period, weighted by their size. It usually resets at the start of each session.