Order Flow analysis requires specific tools that reveal the buying and selling activity beneath price movement. This guide covers the essential software components for Order Flow trading and how to configure them effectively.
The Core Order Flow Tools
Four tools form the foundation of Order Flow analysis:
1. Footprint Charts: Show volume traded at each price level, broken down by aggressive buyers (trades at ask) and aggressive sellers (trades at bid).
2. Cumulative Delta: Running total of buying volume minus selling volume. Shows the ongoing battle between buyers and sellers.
3. Volume Profile: Distribution of volume across price levels over a defined period. Shows where most trading activity occurred.
4. DOM (Depth of Market): Real-time view of resting limit orders and executed trades. Shows liquidity and order flow in real-time.
Footprint Chart Configuration
Display Types:
Bid x Ask: Shows bid volume and ask volume at each price. Most common format.
Delta: Shows net difference (ask minus bid) at each price. Quickly identifies imbalances.
Volume: Total volume at each price regardless of aggressor.
Recommended Settings:
Imbalance threshold: 200-400% highlights significant one-sided activity. Color coding: Green for buying imbalances, red for selling imbalances. Font size: Large enough to read quickly during fast markets.
Timeframes:
For day trading, use footprint on execution timeframe (1M-5M). Higher timeframe footprints (15M-1H) for context. Match your trading timeframe to your primary footprint view.
Delta Indicator Setup
Types of Delta Indicators:
Per-Bar Delta: Delta calculated for each candle. Shows buying/selling pressure within each bar.
Cumulative Delta: Running total from a defined starting point. Shows overall buying/selling pressure trend.
Delta Divergence: Compares delta direction to price direction. Highlights potential reversals.
Recommended Configuration:
Display cumulative delta as a line or histogram below price. Color code: Positive delta green, negative delta red. Reset period: Daily reset is common, or use a significant swing point.
Using Delta Effectively:
Watch for divergences between delta and price. Strong delta in one direction confirms moves. Delta shifting direction can signal reversals.
Volume Profile Setup
Profile Types:
Session Profile: Volume distribution for current session. Useful for intraday reference.
Fixed Range Profile: Volume distribution over a defined price range. Useful for analyzing specific moves.
Composite Profile: Volume distribution over multiple sessions. Shows longer-term value areas.
Key Levels to Identify:
Point of Control (POC): Price with highest volume. Often acts as magnet.
Value Area High (VAH): Upper boundary of 70% of volume. Often acts as resistance.
Value Area Low (VAL): Lower boundary of 70% of volume. Often acts as support.
High Volume Nodes (HVN): Areas of concentrated volume. Price tends to consolidate here.
Low Volume Nodes (LVN): Areas of sparse volume. Price tends to move quickly through these.
DOM Configuration
Essential DOM Features:
Order book display showing resting limit orders. Volume traded at each price. Quick order entry buttons. Visual representation of large orders.
DOM Reading Tips:
Large resting orders may be absorbed or pulled. Watch for orders being refreshed (iceberg detection). Note which prices have heavy volume traded.
Software Options by Tool
For Footprint Charts:
Sierra Chart: Excellent native footprint with many customization options. NinjaTrader: Requires add-on (OrderFlow+, Jigsaw). Good quality available. ATAS: Dedicated Order Flow platform with strong footprint tools.
For Delta:
Most platforms with footprint capability include delta. Sierra Chart and ATAS have particularly strong delta tools.
For Volume Profile:
Available on most professional platforms. TradingView has good volume profile. Sierra Chart and NinjaTrader both have quality options.
For DOM:
Jigsaw Trading: Specialized DOM tool, works with multiple platforms. Sierra Chart: Excellent native DOM. Bookmap: Visual DOM with heatmap functionality.
Integration Approach
Your tools should work together:
Primary Analysis: Footprint on execution timeframe. Use for entry timing and immediate context.
Trend Context: Cumulative delta on higher timeframe. Understand overall buying/selling pressure.
Level Identification: Volume profile for identifying key price levels. Use for target and stop placement.
Real-Time Flow: DOM for monitoring current order flow. Confirm setups and watch for absorption.
Key Takeaways
Four core tools: footprint charts, cumulative delta, volume profile, and DOM. Configure footprint with 200-400% imbalance thresholds and clear color coding. Use cumulative delta to confirm moves and spot divergences. Volume profile identifies POC, value area, and volume nodes. DOM shows real-time order flow and liquidity. Integrate tools so each provides unique, complementary information.