Order Flow
Order Flow is the live list of the orders hitting the market: who buys by taking the offer and who sells by hitting the bid. The most recent is always on top.
It does not show the orders resting in the book, only those filled right away at market.
Open Order Flow
There are two ways:
- from the chart's Order Flow menu: it uses the chart's instrument;
- from the Order Flow button in the TRADING TOOLS panel: it uses the instrument of the active chart. If no chart is open, type the instrument in the Order Flow — Symbol window, for example ES, and click OK.
Each time you open it a new window appears, titled Order Flow — ES. You can open more than one.
The workspace remembers the instrument and the Min Lots value.
What a row is
Each row is a market order. The trades that happened in the same instant on the same side are joined into one row. A 20-lot order filled against five resting orders arrives as five trades, but here you see it as one row of 20.
The columns
| Column | Content |
|---|---|
| TIME | The time of the order, to the thousandth of a second |
| PRICE | The price. With SW on it is the first price hit |
| QTY | The lots of the order, green if it buys and red if it sells |
| TICKS | How many trades the order was split into |
| RATIO | How much of the order was filled by its biggest piece. 100% = one single piece |
| SIDE | BUY (green) buying at market, SELL (red) selling at market |
| LTF | How many different prices the order swept. It fills only with SW on |
High TICKS and low RATIO: many small orders on the other side. Low TICKS and high RATIO: a big order on the other side.
The colors
- Faint green background: buy order. Faint red background: sell order.
- Green border only: the order touched the high of the day without going beyond. Red border only: it touched the low.
- Full green background with border: the order made a new high of the day. Full red background with border: a new low.
The border is a test of the level, the full background is a break.
The buttons
| Button | Function |
|---|---|
| Min Lots: | Hides the rows with fewer lots than the value set |
| 🔊 | Turns the sound on or off. Right-click to choose the kind |
| #T | Shows or hides the TICKS column |
| R | Shows or hides the RATIO column |
| SW | Sweep Mode: joins into one row an order that sweeps several prices |
| LTF | Shows or hides the LTF column |
| TD | Today Only: shows only today's orders |
| ⏸ | Pauses the list. Orders keep being collected and show up when you resume |
| i | Opens the window's help |
SW and LTF
SW changes the rows, LTF only changes what you see.
For example, an order buys in the same instant 5 lots at 100.00, 7 at 100.25 and 8 at 100.50:
- with SW off you see three rows: 5, 7 and 8;
- with SW on you see one row of 20 lots at 100.00, and LTF shows 3.
Turning SW on or off rebuilds the list of the day. The totals at the bottom do not change.
Min Lots applies to the row total. With Min Lots at 15, the example disappears with SW off and shows as one row of 20 with SW on.
The sound
The sound is off when the window opens. Right-click 🔊 to choose the kind:
- 🔔 Classic (Buy/Sell): one sound for buys and one for sells. It sounds only for the rows that pass Min Lots;
- ☀️ Vario RTH (fast) and 🌙 Vario FLBX (slow): a continuous tone following whoever is pushing. High and fast-beeping when buyers dominate, low when sellers dominate, silent when the market is balanced. RTH reacts fast, for the main session. FLBX is slower, for the quiet hours;
- 🎯 Delta Sum: like Vario, but it counts the lots of the last 5 seconds: a 50-lot order weighs 50 times a 1-lot one.
Vario and Delta Sum listen to every order, including those hidden by Min Lots.
The bottom line
- B: lots bought at market during the day, and their share of the total.
- S: lots sold at market, and their share.
- #: how many rows are in the list, with the filters applied. The list keeps at most the 5,000 most recent.
Filters hide rows but do not take them out of the count: B and S always count every order of the day.
Good to know
- Two people buying at market in the same instant end up in the same row.
- A large order split across several instants, even very close ones, shows as several rows.
- Order Flow does not tell who is behind an order or why: only how much, at what price, on which side and how urgently.