medium · Order Flow Analysis absorption-exhaustion-imbalance
A $10-Year Treasury (ZN) footprint displays a 3.5:1 selling imbalance ratio, but the absolute volume at each level is only 500 contracts.
Given that typical single-level volume for ZN is $1000 to 5000 contracts, how should this signal be handled?
- Wait for a retest of the imbalance zone
- Enter short with maximum position size
- Enter short but reduce risk to 0.5%
- Identify as retail or HFT noise and ignore
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