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Deciphering Order Flow – Understanding The Mechanism That Moves Price

 

To understand the mechanism that moves the price up or down we have to learn the interplay between the Depth of Market on one side and Market Orders on the other hand. This interplay is the Order Flow. We used SierraChart Trading Platform for the illustration.

The Current Price is the last price in which a trade took place. This last trade could have taken place either at the Best Bid Price or at the Best Ask Price. Those two terms will make sense in a minute once we understand what the Depth of Market is.

The Depth of Market is the total Size of limit buy or sell orders that are placed at each price. It is often called Liquidity, Limit Orders, Passive Orders or The Book. Take a look at figure #1.

Order Flow Figure #1:  The Emini-S&P500 DOM ( Sierra Chart charting and trading platform.)

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Setting Up Numbers Bars Within SierraChart

 

Numbers Bars With SierraChart

Want to view additional data like Volume Delta, total volume, and more on your charts? Try using Numbers Bars to see not only price movement but important market metrics. Take a look at this video how to get Sierra Chart set up with Numbers Bars.

To receive a demo of Sierra chart please go here: https://optimusfutures.com/Platforms/SierraChart.php 

From Sierra https://www.sierrachart.com/index.php?page=doc/doc_NumbersBars.php#Introduction

Numbers Bars

The Numbers Bars feature in Sierra Chart is a study that provides a very detailed view of the volume and trading activity within each individual bar in the chart. The regular price bars are replaced with up to 3 columns of numbers. There is a separate number or pair of numbers for each price level for each bar/column in the chart detailing the volume activity at that price level.

The numbers within a Numbers Bar can represent the difference between the Ask Volume and Bid

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