medium · Order Flow Analysis absorption-exhaustion-imbalance
In the 10-Year Treasury Note (ZN) futures, you observe a stacked selling imbalance across three levels with an average of 600 contracts per level. In the E-mini S&P 500 (ES), you see a similar three-level stacked selling imbalance with 600 contracts per level.
How should your position sizing change?
- Avoid both trades as 600 contracts is insufficient to identify institutional activity in any major futures market.
- Prioritize the ES trade as $600 per level is a significant institutional signature for that market.
- Increase size in ZN because the higher liquidity makes the signal more reliable.
- Trade both with standard 1% risk as the contract volumes are identical.
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