easy · Order Flow Analysis absorption-exhaustion-imbalance
A trader identifies a stacked selling imbalance in the 10-Year Treasury (ZN) with volumes of 500 per level.
Why should this signal be ignored compared to a similar signal in the ES?
- 500 lots is negligible noise in ZN, where typical institutional levels trade 3,000+ lots.
- Diagonal imbalances are mathematically impossible to calculate in interest rate markets.
- The ES always leads the ZN, so bond imbalances are merely lagging indicators.
- ZN has a higher tick value, making any signal too expensive to trade for retail.
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