medium · Order Flow Analysis footprint-delta
An institutional trader is using a 'TWAP' algorithm to sell 2,000 contracts.
How will the footprint bars most likely look during this execution?
- Random 500-lot spikes separated by long stretches of dead, near-zero trading activity.
- Near-zero total printed volume as the seller rests the entire size inside hidden iceberg limit orders.
- Large, one-sided ask-side imbalances that repeatedly push the market up to fresh new session highs.
- Consistently elevated bid volume across multiple consecutive bars with a smooth delta profile.
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