Order flow

The transaction record read directly: each print, its size, its time, and which side initiated it. A trade dealt at the offer is counted as buyer initiated and one dealt at the bid as seller initiated, and the running difference between the two is what footprint charts and cumulative delta displays are built from. The claim behind the whole family of tools is that transactions are evidence while a price line is a summary.

Most of what retail platforms present as order flow is reconstructed rather than reported. A public tape carries price, size and time; the initiating side is usually inferred by comparing each print with the quote prevailing at that instant, so its accuracy depends entirely on the quality and the timestamps of the quote data sitting alongside the trade data. Where the two are milliseconds out of step, prints are attributed to the wrong side, and that error is invisible in the finished display.

Two further limits are worth holding. The same phrase names something different in market structure, where a firm's order flow is the client business it receives and decides where to send, the sense used in arrangements under which flow is directed to, or paid for by, a particular venue. And in a market dealt over the counter, no participant sees the whole flow: a firm sees its own clients and a liquidity provider sees its own counterparties, so any statistic drawn from one book describes that book. Practitioners disagree about whether inferred initiator data adds anything to plain volume once the cost of the data is counted.