easy · Order Flow Analysis order-book-dom
How does 'Slippage' typically relate to a high-volume COT level?
- The COT is actually the price level within the bar where slippage is calculated for the whole session.
- Slippage only happens at the extreme highs and lows of the bar, and it essentially never occurs at the COT.
- Slippage is actually highest at the COT since that is the exact price where the largest number of traders are transacting.
- The COT often represents a 'High-Liquidity Node' where large orders can be filled with minimal market impact.
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