medium · Order Flow Analysis footprint-delta
In the context of Volume-Weighted Average Price (VWAP), how do institutional standard deviation bands (1σ, 2σ) typically influence order flow decisions?
- Traders should always buy whenever price merely touches the lower 1-sigma band, regardless of what the footprint signal shows.
- Prices reaching 2σ are considered statistically extreme, making order flow reversal signals higher priority for a mean-reversion trade.
- The bands act as magnetic price targets that price must touch before any directional imbalance in the order flow can be considered valid.
- Institutional algorithms only ever execute their orders when price is located exactly at the VWAP mean line, and never at any other price.
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