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Wednesday, Sep 17th

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Last Updated (Wednesday, 12 December 2012 19:28) Written by Carl Weiss Saturday, 14 January 2012 13:37

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 & Their Abbreviations:

Long Reversal in Equities HFT [EQ-HFT-REV] - 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 [EQ-HFT-REV] - The footprints from High Frequency Trading (HFT) have quickly gone from an aggregated Long posture to an aggregated Short posture.

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

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

Market Depth Events & Their Abbreviations:

Tape Imbalance[TI] - The price ladder of Bids within the CME\GLOBEX’s order book were cleared out in a rapid fashion by an imbalance of trades.

Tape Imbalance[TI] - The price ladder of Offers within CME\GLOBEX’s order book were cleared out in a rapid fashion by an imbalance of trades.

Strong Tape Imbalance[STI] – 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.

Strong Tape Imbalance[STI] – 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 [BR] - 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 [OR] - The Offers within CME\GLOBEX’s order book are being replenished at a strong enough rate to imply that the supply of Offers can likely absorb any additional buying momentum.

Buyer vs. Seller Events & Their Abbreviations

Sell Programs Waning [SPW] - 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 - [BPW] – 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 [SMBT] - A concentration of Sellers have recently entered the market and found themselves immediately fighting the tape.  This particular population of Sellers is likely made up of emotional traders.

Buyers May Be Trapped [BMBT] - 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.

Momentum Tick Divergence - [MTD] - When price momentum diverges from ...sceeto's SuperTick.  SuperTick is the same formulation as the NYSE TICK but looks solely at a basket of the S&P 500 stocks as opposed to just the NYSE listings.  SuperTick is published from 6:00 a.m. to 4:15 p.m. EST.



...sceeto Order Flow Monitor | Reference Key

T = Number of Transactions within the 4 tick range bar where the Order Flow Event occurred above\below Standard Deviation of average number of transactions over the prior 1,000 bars.

e.g. T++ = # of transactions within the 4 tick range bar > 2nd Standard Deviation of the average number of transactions over the last 1,000 bars.

V = Volume of the 4 tick range bar where the Order Flow Event occurred above\below Standard Deviation of average Volume over the prior 1,000 bars.

e.g. V- = Volume within the 4 tick range bar < 1st Standard Deviation of the average Volume over the last 1,000 bars.

U = Upticks - Downticks of the 4 tick range bar where the Order Flow Event occurred above\below Standard Deviation of average Upticks - Downticks over the prior 1,000 bars.

e.g. U++ =  Upticks - Downticks within the 4 tick range bar > 2nd Standard Deviation of the average  Upticks - Downticks over the last 1,000 bars.

s = Duration = Duration of 4 tick range bar in seconds.

e.g. 160 s = 160 seconds = 2 minutes & 40 seconds.

Note - If an Order Flow Event does not have a V or T or U this indicates that these metrics did not breach +/- 1 Standard Deviation of their average of the prior 1,000 bars.


...sceeto Tape Meter | Reference Key
T = Number of Transactions within the 4 tick range bar where the Order Flow Event occurred above\below Standard Deviation of average number of transactions over the prior 1,000 bars.
e.g.
T++ = # of transactions within the 4 tick range bar > 2nd Standard Deviation of the average number of transactions over the last 1,000 bars.

V = Volume of the 4 tick range bar where the Order Flow Event occurred above\below Standard Deviation of average Volume over the prior 1,000 bars.
e.g.

V- = Volume within the 4 tick range bar < 1st Standard Deviation of the average Volume over the last 1,000 bars.


U = Upticks - Downticks of the 4 tick range bar where the Order Flow Event occurred above\below Standard Deviation of average Upticks - Downticks over the prior 1,000 bars.
e.g.
U++ =  Upticks - Downticks within the 4 tick range bar > 2nd Standard Deviation of the average  Upticks - Downticks over the last 1,000 bars.

s = Duration = Duration of 4 tick range bar in seconds.
e.g.

160 s = 160 seconds = 2 minutes & 40 seconds.
Note - If an Order Flow Event does not have a V or T or U this indicates that these metrics did not breach +/- 1 Standard Deviation of their average of the prior 1,000 bars.