Order Flow Delta represents the net difference between buying pressure and selling pressure over a specified period, derived from the analysis of executed trades within an order book. This metric offers an immediate indication of directional market bias. Its primary function is to quantify the imbalance between aggressive buyers and sellers.
Mechanism
It is calculated by summing the volume of trades executed at the ask price, which are considered buyer-initiated, and then subtracting the volume of trades executed at the bid price, which are considered seller-initiated. A positive delta signifies stronger buying dominance, while a negative delta indicates prevalent selling activity.
Methodology
Order Flow Delta provides critical insight into current market sentiment and potential short-term price movements. Traders utilize this metric to gauge the strength of supply and demand imbalances. This assists in confirming established trends or identifying potential reversals within volatile crypto markets, contributing to tactical trading decisions.
A robust feature set for HFT anomaly detection translates market microstructure dynamics into a high-dimensional signal for real-time threat identification.
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