Two views of the same information
Depth of market shows resting orders — what participants are willing to do. The time and sales feed shows executions — what actually happened. Order flow analysis reads both together.
- INTENTDepth of market
- Resting bids and asks at each price level. What is available, not what has traded.
- EXECUTIONTime and sales
- Individual fills, usually classified by which side initiated. What actually changed hands.
- CONTEXTCumulative delta
- Running total of aggressive buying minus aggressive selling. Divergence from price is the interesting case.
Patterns worth knowing
Absorption
Price holds still while substantial volume trades at one level. Large prints, and the price does not move. Somebody is filling aggressively into resting size and the level is holding.
Confirmation comes from what happens next: absorption followed by a move away from the level is a stronger signal than absorption alone.
Sweeps
Price moves quickly through a level, consuming the resting orders there. Often stops triggering — a cluster of orders executing together once the market reaches them.
Sweeps are common and mostly unremarkable. What matters is what the book looks like immediately after: if new size stacks at the level that was just swept, that suggests it is being defended.
Iceberg orders
Resting orders larger than displayed. They show as a level that keeps refreshing at the same price instead of shrinking as it trades. Identifying them from reconstructed depth data is harder than it sounds, because compression and sampling both blur the pattern.
Sweeps do not predict direction
They tell you what already happened. The information is in how the book responds afterwards, not in the sweep itself.
Data requirements
Order flow analysis requires tick-level data with a buy/sell classification. Without that, the platform has nothing to compute from, and the result is either empty or badly approximated.
| Data level | What it supports | What it cannot do |
|---|---|---|
| OHLC bars only | Basic charting, indicators | No order flow, no delta, no DOM |
| Aggregated volume | Volume profile (per period) | No aggressor classification, no iceberg detection |
| Tick data with classification | Full order flow, delta, DOM, absorption | Requires real-time depth feed; historical DOM is rarely available |
Confirming what you see
- Volume without displacementNoticeable executed size while the price stays flat.
- Size building at the levelThe visible bid or ask grows rather than shrinking as it trades.
- A move away afterwardsThe part that carries the information. Absorption into a move is the signal; absorption alone is context.