medium · Order Flow Analysis footprint-delta
An institutional algorithm is tasking 15% of the day's total volume in the first 30 minutes to achieve a benchmark fill.
Which execution strategy is being utilized, and how will it appear on the cumulative delta chart?
- Aggressive Sweep; sharp vertical spikes followed by consolidation
- Iceberg; large spikes in delta at single price levels
- TWAP; a perfectly linear increase in delta
- VWAP; a persistent drift in delta proportional to market activity
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