medium · Order Flow Analysis absorption-exhaustion-imbalance

In the ZN market, you see a stacked buying imbalance with 500 contracts per level. In the ZC (Corn) market, you see the same 500 contracts per level.

Why is the ZC signal much more significant?

  1. Corn futures have a higher tick value, making each contract more 'meaningful' to the institutional trader.
  2. Corn is a physical commodity, so its imbalances represent 'real' demand compared to the 'paper' demand of Treasuries.
  3. 500 contracts is $3--5x the normal volume for Corn, but it is considered negligible noise in the high-volume Treasury market.
  4. Treasury futures are manipulated by the Federal Reserve, making their imbalances unreliable.

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