Order-flow trading glossary

A footprint chart breaks a bar into price levels and prints volume inside each level. A common bid/ask view places volume executed at the bid beside volume executed at the ask. Other modes show total volume, delta, or a profile. The bar can still be time-based, range-based, or built from another aggregation.

Footprint numbers describe classified executions, not all buying and selling interest. Every trade has a buyer and seller; “buy volume” usually means the buyer acted aggressively at the offer, while “sell volume” means the seller acted aggressively at the bid. Classification and bundled trade handling can differ by feed.

Useful comparison questions include whether historical tick data is available, how trades inside the spread are classified, whether volume is exchange-native, and how imbalances are calculated. ATAS and DeepCharts ship footprint tools today. Aeris footprint in the desktop app is Coming soon.

Delta is typically ask-traded volume minus bid-traded volume over a chosen interval. If 1,200 contracts trade at the ask and 900 at the bid, delta is +300. Positive delta indicates more aggressive buying in that classification; it does not mean there were more buyers than sellers, because every execution has both.

CVD adds successive delta values into a running total. Its starting point may be the session open, a visible range, or a user-selected anchor. Changing the session template changes the curve. CVD can diverge from price because aggressive orders meet passive liquidity, because aggregation differs, or because the selected venue is only part of the market.

Ask whether the display resets, includes all relevant venues, and handles corrections. Aeris desktop CVD is Coming soon.

Absorption describes aggressive market orders trading into passive limit liquidity without immediately moving price as far as the executed volume might suggest. For example, repeated aggressive sells may transact at a bid while a passive buyer replenishes or holds the level. The interpretation is contextual and cannot prove who the participant is or what happens next.

An imbalance is a defined comparison between volumes. Footprint software often compares ask volume at one price with bid volume at an adjacent price and highlights a cell when a ratio and minimum-volume threshold are met. A DOM imbalance may instead compare displayed bid and ask size. These are different measurements sharing a label.

Always record the ratio, comparison direction, minimum volume, and whether the source is executed trades or resting orders. “Stacked imbalance” generally means several adjacent levels meet the configured condition; it remains a descriptive filter, not a promise.

An iceberg is an order designed to display only part of its total quantity while additional size replenishes as displayed portions execute. Exchange-native iceberg information may be available in certain market-by-order data, while other tools infer hidden size from repeated executions and replenishment. Inference can be wrong, so platforms should distinguish detected from exchange-identified behavior.

A sweep is aggressive activity that executes across multiple price levels in a short interval. A buy sweep consumes offers upward; a sell sweep consumes bids downward. Software definitions can include maximum elapsed time, minimum size, number of levels, and treatment of split messages.

Neither event identifies a trader or motive. A sweep may be an urgent order, liquidation, stop activation, or part of a larger execution. An iceberg can absorb flow and later cancel. Aeris big-trades and related desktop order-flow features are Coming soon.

A volume-profile point of control is the price level with the greatest traded volume in the selected profile. A TPO profile can define its point of control using time-price opportunities instead. The source and tie-breaking rule should be visible because “POC” is not always volume-based.

Value area is a range intended to contain a selected share of the profile, commonly 70%, around a central point. Platforms may build the range by adding rows above and below the POC according to different algorithms. Tick grouping and session boundaries can change value-area high and low.

POC and value area summarize the chosen sample. They do not establish fair value in an economic sense or predict support and resistance. Compare products only after matching the session, contract, price grouping, profile type, and percentage.

A DOM or price ladder shows bids below the market, offers above it, recent trading, and often order-entry controls. Depth columns show displayed limit quantity at price levels supplied by the feed. Some ladders add executed volume, pulling and stacking, profiles, user orders, or position P&L.

Displayed depth is not a commitment to remain. Orders can cancel or modify, and hidden quantity may not appear. Aggregated market-by-price data differs from market-by-order data. Feed limits can cap the number of visible levels. The DOM is therefore a changing view of advertised liquidity, not a complete map of supply and demand.

Aeris ships a DOM ladder with click-to-trade on a simulated venue and position P&L in currency or ticks. Live Rithmic routing is Coming soon.

Time and sales is a chronological stream of reported executions, usually showing time, price, size, and a color or marker for trade-side classification. Filters can hide small prints, combine messages, or highlight large trades. The display is retrospective: it shows completed transactions, not resting interest.

A single large economic order may appear as many executions, while an exchange message can bundle activity in ways that depend on the feed. “Big trade” filters therefore need a documented threshold and aggregation window. Compare the raw tape with filtered displays before drawing conclusions.

Before adding an order-flow indicator, write the question it should answer. Use a DOM for currently displayed liquidity, time and sales for completed executions, a footprint for volume at price inside bars, and a profile for distribution across a selected sample. CVD answers a different question from a heatmap.

Then document feed, venue, contract month, session template, historical depth, tick grouping, filters, and reset rules. Two platforms can both be correct while showing different numbers because their inputs or definitions differ. Test during replay only if the historical feed reconstructs the required fields.

Finally, separate observation from decision. An imbalance is a calculated condition; “buyers will win” is an interpretation. Futures are leveraged and risky, and no visualization removes execution uncertainty. The CFTC advises traders to understand the product, obligations, and amount they can afford to lose before participating.