hard · Order Flow Analysis market-mechanics-execution
A stock is quoted 100.00 bid / 100.02 offer (1-cent tick, so the spread is 2 ticks wide). A dark pool advertises midpoint-only execution. A buyer and a seller are both routed there and match for 5,000 shares at 100.01.
On the lit footprint/time-and-sales feed (which classifies trades by the lit quote using a tick/quote rule), how is this 5,000-share print most accurately characterized for delta purposes?
- Buyer-initiated, because the buyer's demand for immediacy is what consummated the cross and pushed the effective price toward the offer side
- Seller-initiated, since the print at 100.01 sits below the 100.02 offer, and the standard quote rule assigns any sub-offer print to the sell side
- Ambiguous/unclassifiable by the standard quote rule, printing exactly at the midpoint where neither bid nor offer test resolves the aggressor
- Delta-neutral by construction, because midpoint matches always pair one initiating buyer against one initiating seller of exactly equal urgency
Sign up free to see the explanation and track your rank →
More Order Flow Analysis market-mechanics-execution practice
- During the first 30 minutes of the trading session, you obse… — What causes this change in
- On a 'Trend Day' where the price stays above VWAP for the entire session, what does the VW
- What is the primary limitation of using VWAP as a standalone signal in the final hour of t
- You see price consolidate in a very tight range for 20 minut… — What does this indicate?
- If there are only 200 contracts resting at $4510.25 and $310 at $4510.50, what is the new
- A trader has a winning percentage of 48% and an average winn… — What is the Expected Value
- What internal order flow mechanic is primarily responsible for the rapid acceleration of a
- A trader is using a 'Trade Quality Grading System.' They ent… — How should this trade be g