medium · Order Flow Analysis market-mechanics-execution
In a 15-minute ES bar, the high is 4,518.00. At this high, the ask volume is 3 and the bid volume is 8. One tick below, at 4,517.75, the total volume is 225.
How should an order flow trader interpret the price of 4,518.00?
- It is a 'Price Rejection' or exhaustion signal, as very few participants were willing to transact there.
- It signals an institutional 'Cap,' where one large participant absorbed and distributed supply at that price.
- The auction is 'Unfinished' because there was still resting bid volume present at the high of the bar.
- It represents genuine 'Price Acceptance,' meaning the market found fair value and equilibrium there.
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