Order flow concepts,
explained with order-by-order data.

Iceberg orderAn iceberg order is a large order that shows only a small clip while the rest stays hidden and refills after each fill. Volume profileA volume profile is a histogram that sorts traded volume by price, showing where the market accepted or rejected value. Large orders / liquidity wallsA large order is a fill that stands out against the recent average trade size; a liquidity wall is a resting limit order that dwarfs the levels around it. Order bookThe order book lists all resting bids and asks by price, showing where liquidity is offered rather than what has already traded. Order flowOrder flow is the professional name for how price forms: who is aggressive, who is absorbing, and what liquidity does after the print. Order flow indicatorsAn order flow indicator is a family of tools that read order-by-order trades to show which side is aggressing and where. Tape reading / time and salesTape reading is the practice of judging urgency, size and aggression from the stream of executed trades rather than from resting quotes. Value areaThe value area is the price band where most of the session's volume traded, bounded by VAH and VAL and anchored by the POC. Cumulative deltaCumulative delta is a running total of aggressive buy minus sell volume from the session open — a participation measure, not a price forecast. Liquidity sweep / stop runA liquidity sweep is a fast push through an obvious level that fills resting orders and triggers stops — a read on order flow, not a signal. Depth of market (DOM)Depth of market (DOM) is the price ladder of resting bid and ask size, showing visible liquidity at one moment in time. Order flow imbalanceImbalance is a mismatch between aggressive buying and aggressive selling over the same window, measured from order-by-order trades. Stacked imbalanceA stacked imbalance is a run of adjacent price levels in the footprint where aggression is clearly one-sided, showing one side taking liquidity across several ticks in a row. Market profileMarket profile is a descriptive framework that maps how much trade occurred at each price during a session, marking the value area and the point of control. Unfinished auctionAn unfinished auction is a session high or low where the two-way auction never completed, leaving the extreme without excess. AbsorptionAbsorption is heavy aggressive volume that fails to move price, usually read as resting orders soaking up the flow at a level. SpoofingSpoofing is posting orders you never intend to fill to fake supply or demand, then pulling them before execution. Footprint chartA footprint chart shows volume and buy/sell activity at each price inside a bar, built from order-by-order trade data. Delta divergenceDelta divergence is the mismatch between delta and price — a change in how well aggressive flow is backing the move, not a reversal signal. DeltaDelta is aggressive buying minus aggressive selling over a chosen window, showing who was crossing the spread. Level 2 dataLevel 2 data is a snapshot of the resting bid and ask size stacked at each price level at one moment in time. Market by order (MBO / L3)Market by order (MBO) is an order-level, exchange-published event feed that follows every visible order from placement and modification to cancellation and execution. Point of control (POC)The point of control (POC) is the single price with the most volume traded inside a chosen window — a description of where trade concentrated, not a forecast. VWAPVWAP is the volume-weighted average price of the session — a running measure of where volume actually changed hands, not a support level or a signal.