medium · Order Flow Analysis footprint-delta
An ES footprint bar shows the upper 5 levels have total volumes between $200 and 300 contracts. The bottom 3 levels at the session low show ask volumes of $850 to 1,100 contracts with diagonal ratios exceeding 5:1.
How should a professional differentiate between signal and noise here?
- The top levels represent 'Unfinished Business' that must be revisited before the market can drop.
- The bottom volume is 'Passive Absorption' by sellers, suggesting the market will break lower.
- The top is retail noise/HFT market making; the bottom is institutional initiative buying.
- The entire bar is noise because the volume is inconsistent across price levels.
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