Order Flow
Order Flow / Tape Reading
Order flow trading reads the live bid and ask sizes resting in the order book to gauge which side has more weight right now, then leans on that imbalance for a short-term read on the next few ticks.
Watch the book, read the imbalance, make the call
The ladder below is a simulated Level 2 book: ten price levels with bid size on the left and ask size on the right, refreshing every tick. Every so often a large size appears at one level, tagged gold, an "iceberg-style" print that either gets absorbed (shrinks back down as it trades through) or pulled (vanishes). The bar under the ladder is the live bid/ask imbalance, computed from the sizes on screen right now. Watch it for a stretch, then call the next few ticks up or down.
Watching the tape. Calls unlock in a few seconds.
How it works
- Imbalance is one number, computed from every visible size. Add up the ten bid sizes and the ten ask sizes on screen, divide the bid total by the combined total. Above 50% means more resting size wants to buy than sell at these levels, below 50% means the reverse.
- A call locks in the imbalance reading at that instant. Click up or down and the tool freezes your read, then plays the tape forward six ticks using a drift that's weighted partly by that same imbalance and partly by randomness, the same mix real short-term price action carries.
- Every call is scored two ways. Your pick against the actual outcome, and a mechanical rule (always follow whichever side has more than 50% of the imbalance) against the same outcome. Both accuracies update after every call so you can see whether your read is adding anything over the number alone.
- Iceberg prints are the tell that this isn't a static picture. A gold bar means an unusually large size has appeared at that level. Watch what happens next tick, if it shrinks gradually it's being traded through (absorbed), if it disappears outright it was pulled, and either one can flip the imbalance reading fast.
Where this breaks
Visible size isn't a commitment, and it can vanish the moment it matters
The size sitting on the book is a resting order, not a filled trade, and anyone can cancel it at any moment, including the instant price gets close enough to test it. A large bid stack can look like support right up until it's pulled the second real selling shows up, and the imbalance reading that looked convincing a few ticks ago can flip the other way before a manual read even registers it. Spoofed or fast-pulled size is the specific failure mode here: the tool that scored well against the mechanical signal in this simulation is still working off sizes assumed to be honest, real books aren't always that cooperative.