It is the Market Orders that drive the markets up and down.
Lesson # 1: Every auction starts with a Bid and an Ask
Lesson # 2: Market orders move the price
[1/X] Attempt to explain Orderflow basics. It will be a long thread but will try to make the content worth the read.
Below is a Depth of Market (DOM). The
Blue ones = Bid Limit orders
Red ones = Ask Limit orders
So what happens to these orders in the trade cycle
#Basics
It is the Market Orders that drive the markets up and down.
Lesson # 1: Every auction starts with a Bid and an Ask
Lesson # 2: Market orders move the price
GREEN = Buy Market Orders
RED = SELL Market Orders
Market Orders indicate Aggresiveness
Lesson # 3: A Market Order buys/sells a Limit Order
PS: Exceptions to every rule exist
Similarly when sellers are aggressive, they will take out all the Limit Orders on the Bid side
This can clearly be seen on the Footprint Chart
Total Volume = Buy Trades + Sell Trades
Delta = Buy Volume - Sell Volume
in a footprint chart
Delta = Positive => Aggressiveness on the Buy side
Delta = Negative => Aggressiveness on the Sell side
Generally you would expect Price to move 🆙 when Delta is positive and Price to move 🔽 when Delta is negative
True....but there is a catch...called Divergence
Any two parameters that should be in sync (Price and Delta in this case) towards supporting a particular move (Up or Down) but are in reality not (in sync) form a Divergence
Divergence is best shown by the Orderflow Indicator called Delta Bars
Delta Bars are a candle stick chart on Delta. We measure the delta at the open of the candle (always 0) and close of the candle along with Delta Max and Delta Min
What is this Delta Max and Delta Min?
Delta Min is the minimum diff between Buy and Sell
Now plot a candlestick using Delta Max and Delta Min as High and Low of the Delta Candle and you have Delta Bar
These bars also come in the Cumulative format called Cumulative Delta Bars
Say, Delta = Positive but Price does not move 🆙
So more aggressive Buy market orders than Sell market orders and yet price does not move up
Why?
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This report when through dozens of edits as different equities were represented. I did not have any meetings with Sheryl on the paper, but I can’t speak to whether she was in the loop with my higher-ups.
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The story doesn\u2019t say you were told not to... it says you did so without approval and they tried to obfuscate what you found. Is that true?
— Sarah Frier (@sarahfrier) November 15, 2018
In the spring and summer of 2016, as reported by the Times, activity we traced to GRU was reported to the FBI. This was the standard model of interaction companies used for nation-state attacks against likely US targeted.
In the Spring of 2017, after a deep dive into the Fake News phenomena, the security team wanted to publish an update that covered what we had learned. At this point, we didn’t have any advertising content or the big IRA cluster, but we did know about the GRU model.
This report when through dozens of edits as different equities were represented. I did not have any meetings with Sheryl on the paper, but I can’t speak to whether she was in the loop with my higher-ups.
In the end, the difficult question of attribution was settled by us pointing to the DNI report instead of saying Russia or GRU directly. In my pre-briefs with members of Congress, I made it clear that we believed this action was GRU.
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Those who exited at 1500 needed money. They can always come back near 969. Those who exited at 230 also needed money. They can come back near 95.
Those who sold L @ 660 can always come back at 360. Those who sold S last week can be back @ 301
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