medium · Order Flow Analysis tape-reading-time-sales
A stock trades $30.00 bid / $30.02 offer. The tape prints a sequence at $30.01 (the midpoint) repeatedly — eight prints of 2,000–5,000 shares each over 20 seconds — with no change to the displayed $30.00 / $30.02 quote and no lit size depletion at either level. A tape reader must interpret this midpoint clustering.
Which interpretation is best?
- The volume is executing in a dark/midpoint venue against non-displayed liquidity, so the lit book is uninformative here and the prints signal large size transacting away from the visible quote
- Repeated midpoint prints mean aggressive buyers are crossing the spread, so the offer must be about to lift to $30.03
- The prints are odd-lot artifacts that should be ignored, since real institutional flow only executes at the bid or offer
- Midpoint prints with a stable quote prove a locked market, and the reader should expect the spread to invert imminently
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