hard · Order Flow Analysis footprint-delta
Footprint delta is computed by the bid/ask (uptick/downtick) rule: a trade at the ask counts +, at the bid counts -. During a fast one-tick-wide burst, a large institutional buyer posts passive bids and a flood of aggressive sellers hits them.
How will the printed delta most likely mislead a naive reader?
- Delta will read strongly negative even though a committed buyer is the one accumulating, because the rule credits the aggressors (the sellers) and ignores who provided the resting liquidity.
- Delta will read strongly positive, correctly capturing the institutional buyer's accumulation as net buying pressure.
- Delta will read near zero, because passive bids and aggressive sells offset one-for-one on every print.
- Delta cannot be computed in a one-tick-wide burst, so the reader should treat the bar's delta as undefined.
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