How to Use Quantitative Data from Order Flow
Imagine it's 7:55 AM, and your algorithm just captured a 3-tick move on ES futures while you were still having coffee. You're not reacting to price acti...
Imagine it's 7:55 AM, and your algorithm just captured a 3-tick move on ES futures while you were still having coffee. You're not reacting to price action—you're acting on the institutional intent hidden in the order flow data. This is the power of quantitative order flow analysis. Order Flow is the real-time analysis of buy and sell order activity at each price level. It allows traders to see institutional activity before it reflects in the price, revealing hidden liquidity and market sentiment. Unlike traditional technical analysis, order flow provides a predictive edge by examining the actual mechanics of market participation. Key fact: Quantitative researchers using order flow data can identify market reversals up to 15 minutes before price action confirms them, according to a 2023 study of 1274 financial research papers. Quantitative Data is any data that can be measured numerically, such as order sizes, volume imbalances, or delta values. It's the foundation for statistical analysis and machine learning applications in trading. Order Flow Data Extractor is a third-party tool that exports order flow data to CSV format for quantitative research.