Diagonal Reading

Order Flow Analysis Glossary

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.

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