Trade Flow
Category: Flow
Formula
trade = {timestamp, side, size, level}
Each executed trade captured from the aggTrade stream: when it happened, whether the taker was buying or selling, the size in base units, and the price level relative to mid.
Intuition
Depth is what participants say they will do. Trade flow is what they actually do. Resting orders are intentions; executed trades are commitments backed by capital. Trade flow reveals who is acting aggressively — crossing the spread, lifting offers, hitting bids. It is the kinetic energy of the market, as opposed to depth's potential energy.
What It Answers
Who is executing?
The real-time stream of aggressive participation: direction, size, and location of executed trades.
Visual Representation
- Panel: Trade Profile overlay (bottom-right quadrant) and Trade Profile rows
- Display: Trades binned into a 2D grid by size (rows: < 500, 500–2K, 2K–10K, > 10K) and price level (columns: bucket distance from mid)
- Color: Buy trades in teal/green, sell trades in orange/red; intensity reflects volume concentration
Behavioral Interpretation
| Condition | Interpretation |
|---|---|
| IF aggressive buy flow at mid | THEN takers are lifting offers — active demand, immediate impact |
| IF aggressive sell flow at mid | THEN takers are hitting bids — active supply, immediate downward pressure |
| IF large-size trades concentrated near mid | THEN institutional or high-conviction participation — strong directional signal |
| IF flow strong but price not moving | THEN absorption — resting orders are absorbing the flow without price displacement |
| IF flow weak but price moving | THEN thin book — small participation is sufficient to move price (low friction) |
Failure Modes
- Wash trading: Fake volume designed to appear as real flow. Look for unnaturally symmetric buy/sell patterns or perfectly round sizes that appear repeatedly.
- Liquidation cascades: Forced selling that appears as aggressive flow but is not voluntary participation. The flow is real but not based on conviction — it is mechanical.
- Delayed attribution: In fast markets, trade timestamps may cluster. The sequence of events can be ambiguous within a single 100ms window.
Interactions
With Depth: The core flow-vs-structure interaction. Flow hitting thick depth = absorption. Flow hitting thin depth = expansion. This determines whether price moves through a level or stalls at it.
With Displacement: High displacement + strong flow = continuation. High displacement + weak flow = exhaustion. Flow is the fuel that sustains displacement.
With Net Imbalance: Flow and imbalance can agree or conflict. Agreement = strong conviction. Conflict = one side is about to capitulate.
With Trade Profile: Trade flow is the raw stream. Trade profile is the binned summary. Profile reveals patterns that are invisible in the raw stream — like whether large trades are concentrated near mid or distributed across levels.