Diagonal Reading
Order Flow Analysis glossary · Footprint & Delta Analysis
Definition
The footprint-reading principle that bid volume at price P must be compared to ask volume at price P + δ (one tick higher), not to ask volume at the same row. Both trades occurred at the same market state — aggressive sellers hit the bid at P_bid while aggressive buyers lifted the offer at P_ask = P_bid + δ. Comparing the two sides horizontally (same price) is incorrect because those trades happened at different bid/offer states; the diagonal comparison is what reveals true buyer-vs-seller aggression.
Diagonal Reading in plain English
Diagonal reading is a rule for comparing buyers against sellers correctly on a footprint, and it fixes a sneaky mistake. At any instant there are two prices in play — a slightly lower 'bid' where sellers dump, and a slightly higher 'ask' one tick up where buyers grab — so the sellers at the bid and the buyers at the ask are actually competing at the SAME moment even though they sit on different rows. That's why you compare bid volume at price P to ask volume at P + δ (one tick higher), reading diagonally, not straight across the same row. Comparing the same row would pit trades from two different market moments against each other — like comparing this inning's runs to last inning's — which gives a false read on who's really winning.
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