medium · Order Flow Analysis footprint-delta
Which specific execution footprint is most characteristic of a Time-Weighted Average Price (TWAP) algorithm utilized by a large institutional buyer?
- Heavily positive delta spikes occurring only during the opening and closing thirty minutes of the session.
- Ask volume that rises and falls in rough proportion to the overall market's total traded volume within each bar interval.
- Remarkably consistent ask volume in every bar with a cumulative delta that rises in a smooth, nearly linear fashion.
- Large clusters of bid volume resting at a single price level that instantly refreshes the moment that price is hit by sellers.
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