Order Flow & Depth Analysis — reading the order book like a desk
Candles tell you what happened; the order book tells you who is doing it and how hard. This guide covers the platform's full microstructure stack — the depth heatmap, footprint delta, CVD, and the detector suite (icebergs, absorption, walls, spoofing, stop-hunts) — and how strategies consume that evidence as machine-checkable gates.
The order book in 90 seconds
Every price level holds resting limit orders — passive intent. Trades happen when a market order crosses the spread and consumes them — aggressive intent. Nearly everything in microstructure analysis is a comparison of those two forces: where passive liquidity sits (depth), which side the aggression hits (delta), and whether liquidity that appears committed is actually real (spoof detection). Price moves toward liquidity vacuums and stalls at liquidity walls — that asymmetry is the tradeable edge.
Depth heatmap & liquidity walls
The depth heatmap paints resting liquidity across price and time — bright bands are walls, dark corridors are vacuums. What to read from it:
- Persistent walls that survive approaches are genuine interest — expect stalls, absorption fights and bounces there.
- Walls that vanish as price nears are spoofs — liquidity that was advertising, not intending. The spoof detector flags exactly this disappearing act.
- Vacuums above/below are acceleration zones: once price enters, there is nothing to slow it. Stop-hunt wicks live at the far end of vacuums.
Footprint delta & CVD
The footprint splits each candle's volume into buyer-aggressor vs seller-aggressor at each price. Delta is the difference; CVD (cumulative volume delta) is its running sum. The highest-value patterns are the divergences: price makes a new high while CVD doesn't — the rally is thinning; price hammers a low on huge negative delta but doesn't break — sellers are being absorbed, the strongest passive-buyer tell the public feed offers.
The detector suite
| Detector | What it watches | What it implies |
|---|---|---|
| 🧊 Iceberg | Small visible size at a level refilling repeatedly as trades consume it | Hidden institutional size — a level defended far beyond what the book shows. |
| 🧽 Absorption | Heavy aggression into a level with little price progress | Passive side is winning; frequent precursor to reversal. |
| 🧱 Liquidity walls | Outsized resting depth vs the local norm | Magnet and barrier; behavior on approach separates real from spoof. |
| 🎭 Spoofing | Large orders repeatedly placed and pulled without ever trading | The displayed book is lying about that side — discount it. |
| 🪤 Stop-hunt | A fast wick through an obvious level that immediately reclaims | Liquidity grab; the reclaim direction is the honest direction. |
| 📊 Imbalance | Bid vs ask depth ratio near the touch | Short-horizon pressure; the MM desk can lean its quotes on it. |
From evidence to strategy gates
On this platform detectors aren't chart decorations — they are signals that strategies consume. The Depth-Analysis strategy tab lets you compose them into entry logic (e.g. "absorption at a wall + CVD divergence → long"), and the 🏪 MM-execution bridge turns any such signal into a fully managed market-making session — signal fires the entry, the MM engine handles laddering, take-profit and the stop stack. Grid Strike's entry gates and several screener columns read the same detectors. One evidence layer, many consumers.
Honesty limits — what the public feed can and can't prove
FAQ
Does order-flow analysis work on low-liquidity alts?
Detectors work best where there's a book to read. On thin alts the walls are smaller and spoofing is more common, which is precisely when the spoof and stop-hunt detectors earn their keep — but expect fewer high-confidence signals, by design.
Is the heatmap free?
The depth chart and core detectors are usable on the free Scout plan; the full detector suite and DA strategy deployment come with paid plans. See pricing.
Related guides
Watch the book breathe, live
The depth chart is open on the free plan. No card, no trial clock.