Research / Volume and order flow

Participation and order flow

Unusual participation and imbalance between buying and selling precede moves.

The idea

Unusual participation, and an imbalance between buying and selling pressure, precede moves.

Why it might exist

Informed or urgent trading leaves traces in volume and in the shape of bars.

Who is on the other side

Passive providers of liquidity.

What would retire it

The proxy taken from bars is too noisy to survive cost.