medium · Order Flow Analysis order-book-dom
A liquid future shows a 5,000-lot resting offer at 4210.00 that persists for 40 seconds despite the inside bid lifting toward it. During those 40 seconds, time & sales prints ~18,000 contracts trading AT 4210.00 (lifting that offer) yet the displayed 5,000-lot size barely changes, and price does not advance through 4210.00.
Which interpretation of this displayed-size behavior is best supported?
- An iceberg/refreshing offer is absorbing aggressive buying: the 5,000 is a replenished tip, far more size is hidden, and lack of upward progress signals genuine sell-side absorption at 4210.00.
- A spoof: the 5,000-lot is repeatedly pulled before execution to fake supply, so the 18,000 that traded actually reflects aggressive buyers chasing a phantom level that will vanish immediately once tested.
- Stacked passive bids are being hit by aggressive sellers at 4210.00, so the heavy volume is initiative selling absorbed by a large resting buyer who refuses to let price fall further.
- Latency-arbitrage queue-jumping: faster participants keep re-inserting the same order at front of queue, so liquidity is effectively counted 18,000 times though little real size exists.
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