hard · Order Flow Analysis

A trader sees a stacked buying imbalance zone on a 5-minute ES chart. However, the price is currently at 4560.00, while the VWAP is at 4565.00 and the +2σ band is at 4572.00.

How does the VWAP filter affect the trade decision?

  1. It weakens the signal because the distance to VWAP (5 points) is too small to provide a profit target.
  2. It invalidates the signal because you should never buy when the price is below the session average.
  3. It is neutral because VWAP is only relevant when the price touches the standard deviation bands.
  4. It strengthens the buy signal because price is below VWAP, meaning the asset is 'cheap' relative to the session average.

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