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4 weeks into orderfflow

  #9 (permalink)

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matthew28 View Post
Hi Pete,
I laughed when I initially read your post thinking you were being funny but then decided you weren't.
Order flew isn't a phrase I have ever heard before. Can you elaborate a little more on the meaning as I am finding, on first reading, those two sentences seem to contradict each other a little, or cover a wide range. The first talking about the past, "what traded where" (the tape/traded volume); and the second, what I think of as being the present or future. And also 'order flew' sounds like consideration of how price moves away from an area?

As far as I understand Peters meaning, orderflow is what is currently trading the inside bid and offer and whether the current 'flow' is slicing through levels with ease or facing resistance and moving slowly. You would have a strategy for both characteristics. Order flew is what has already traded on the ladder and is more historical. So 20 ticks away small volume traded and you would imagine they would be out of their positions by now as opposed to orders that have recently traded and which are closer to the current price. You would want to take more notice of the closer orders and maybe anticipate that if price moved any further from those larger orders, stops would kick in and you could potentially see a bit of a runner.

I think thats what he means. I could be wrong. Usually am.

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