Orderflow in forex market
Ariel Silahian
![Ariel Silahian]()
Ariel Silahian
Global Leader in Electronic Trading & High-Frequency Trading Systems | Hands-On Expertise & Executive Leadership in Market Infrastructure
$EUR/USD at the institutional level, you can't rely on 2D charts only. You will get wrong prices for your algos. A deep analysis is needed. $EURUSD
Freelance. Modeling. Intuition developer. Asking why's. Open to projects.
6 年A bit messy. Visualization of full order stack is must. Here is my try.?
Admittedly, I do not know anyone who would argue that bid/offer price is all that you need for a robust trading signals. A book imbalance, or even simple VWAP, cannot be calculated without sizes; timing information on the actual fills is also extremely useful, especially if correlated across multiple venues or pairs, etc.