medium · Order Flow Analysis absorption-exhaustion-imbalance
In Interest Rate futures like ZN, why might a 300% imbalance ratio be 'noise' if it occurs on only 500 lots?
- The tick value of $15.625 requires higher delta magnitude for confirmation
- The absolute volume is too low compared to the market's normal liquidity levels
- Rate futures are dominated by 'spoofing' algorithms that distort volume
- The diagonal comparison is less accurate in narrow-range bond markets
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