Order Flow Monitor

Order Flow Monitor plots specific ‘events’ that occur within the Order Flow of both the electronic futures markets and equity markets which have the capacity to move the market.

Order Flow 'Events'...

High Frequency Trading (HFT) Events:

Long Reversal in Equities HFT – The footprints from High Frequency Trading (HFT) have quickly gone from an aggregated Short posture to an aggregated Long posture.

Short Reversal in Equities HFT – The footprints from High Frequency Trading (HFT) have quickly gone from an aggregated Long posture to an aggregated Short posture.

HFT Buy Surge – The level of High Frequency Trading (HFT) Buying has increased rapidly enough to potentially displace the current Supply & Demand equilibrium.

HFT Sell Surge – The level of High Frequency Trading (HFT) Selling has increased rapidly enough to potentially displace the current Supply & Demand equilibrium.

Market Depth Events:

Bids Swept – The price ladder of Bids within the CME\GLOBEX’s order book were cleared out in a rapid fashion by an imbalance of trades.

Offers Swept – The price ladder of Offers within CME\GLOBEX’s order book were cleared out in a rapid fashion by an imbalance of trades.

Sell Stops Swept | Likely Exhaustion – The pattern of transaction execution is consistent with the footprints of prior trends that have terminated in exhaustion due to the elimination of protective sell stops.

Buy Stops Swept | Likely Exhaustion – The pattern of transaction execution is consistent with the footprints of prior trends that have terminated in exhaustion due to the elimination of protective buy stops.

Bids Replenished – The Bids within CME\GLOBEX’s order book are being replenished at a strong enough rate to imply that the supply of Bids can likely absorb any additional selling momentum.

Offers Replenished – The Offers within CME\GLOBEX’s order book are being replenished at a strong enough rate to imply that the supply of Bids can likely absorb any additional selling momentum.

Buyer vs. Seller Events

Sell Programs Waning – Occurs when the Sell Program’s Order Flow Momentum and Price Micro-Momentum ("Price Micro-Momentum" …sceeto’s proprietary algos that track very small changes in price momentum) are initially congruent but evolve to a state where Order Flow Momentum is no longer keeping pace with Price Micro Momentum.

In this situation one of two things must occur:

1.  Either Order Flow Momentum has to resume and sustain the move in Price.

- or -

2.  Price has to stall and possibly reverse.

Buy Programs Waning – Occurs when the Buy Program’s Order Flow Momentum and Price Micro-Momentum (Price Micro-Momentum – …sceeto’s proprietary algos that track very small changes in price momentum) are initially congruent but evolve to a state where Order Flow Momentum is no longer keeping pace with Price Micro Momentum.

In this situation one of two things must occur:

1.  Either Order Flow Momentum has to resume and sustain the move in Price.

- or -

2.  Price has to stall and possibly reverse.

Sellers May Be Trapped – A concentration of Sellers have recently entered the market and found themselves immediately fighting the tape.  This particular population of Buyers is likely made up of emotional traders.

Buyers May Be Trapped – A concentration of Buyers have recently entered the market and found themselves immediately fighting the tape.  This particular population of Buyers is likely made up of emotional traders.