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 spikes of 500 lots followed by periods of zero activity.
- Near-zero total volume as the participant rests hidden 'Iceberg' orders.
- Large ask imbalances that push the market to new session highs.
- Consistently elevated bid volume across multiple consecutive bars with a smooth delta profile.
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