medium · Order Flow Analysis absorption-exhaustion-imbalance
In Treasury futures (ZN), a stacked buying imbalance appears at a level with 500 contracts per tick.
Why might a professional trader ignore this signal?
- Treasury futures do not respect order flow imbalances given their narrow range.
- Buying imbalances in ZN futures are always fully offset by the underlying Cash Treasury market.
- The absolute volume is too low to represent institutional conviction in the ZN market.
- The tick value of ZN makes carrying 500 contracts too expensive relative to a trader's risk limit.
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