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 due to their narrow range.
- Buying imbalances in ZN are always offset by the Cash market.
- The absolute volume is too low to represent institutional conviction in the ZN market.
- The tick value of ZN makes 500 contracts too expensive to risk.
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