medium · Order Flow Analysis footprint-delta
An institutional trader needs to execute a 5,000-lot buy order in Corn. They use a 'TWAP' (Time-Weighted Average Price) algorithm.
What specific signature will this leave on the footprint and cumulative delta chart?
- A 'bottom-heavy' footprint as the algorithm quietly rests iceberg bids at every price tick just below the current price.
- Large blocks of 500 to 1,000 lots appearing randomly across the tape in order to hide the true order size.
- Consistent, similar-sized ask volume across consecutive bars and a smooth, nearly linear rise in cumulative delta.
- Extreme volatility in delta as the algorithm aggressively sweeps the entire visible order book about every 10 minutes or so.
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