medium · Order Flow Analysis order-book-dom

A single aggressive buy order of 1,000 contracts in a market with only 200 lots at the best ask will result in:

1. Immediate price movement higher as the order sweeps through multiple offer levels.
2. The bid-ask spread narrowing sharply as the resting offers get consumed.
3. The order being filled entirely at the best bid price, on the resting side.
4. An immediate crash in price occurs because the available aggressive sellers are exhausted.

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