medium · Order Flow Analysis footprint-delta
A trader is monitoring ZN (10-Year Treasury) and sees a stacked selling imbalance at three levels with 500 contracts on the bid side at each level. The diagonal ratio is 3.5:1.
Why might a professional trader ignore this signal?
- The diagonal ratio is not high enough for ZN.
- 500 contracts per level is considered 'retail noise' in the highly liquid ZN market.
- Treasury futures do not respect order flow imbalances due to their narrow tick size.
- Selling imbalances are only valid if they occur at the VWAP.
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