Order Flow Glossary
Plain-English definitions for the order-flow and Market-By-Order terms used throughout this site. CVD and lot-size tiers here always classify observed order size — never trader identity.
Core Concepts
- Microprice
- A volume-weighted price between the best bid and best ask, used as a more accurate proxy for the market's 'true' price than the last traded price alone.
- CME GC vs. XAUUSD
- CME GC is the regulated, centrally-cleared gold futures contract traded on the Chicago Mercantile Exchange — this is the order-flow data ATLAS actually reads. XAUUSD is the spot/CFD gold symbol most MT5 brokers quote instead. The two track closely but are not the same instrument and can trade at a small price offset from each other; ATLAS's signals are built from CME GC order flow and mapped onto your MT5 XAUUSD chart.
- CVD (Cumulative Volume Delta)
- A running total of buy volume minus sell volume over time. Rising CVD suggests persistent buying pressure; falling CVD suggests persistent selling pressure. Full breakdown →
- OBI (Order Book Imbalance)
- A measure of which side of the order book — bid or ask — currently holds more resting size, used as a short-term read on which direction has more standing interest.
- Liquidity Wall
- A large cluster of resting orders at a specific price level, visible directly in order-book data rather than inferred from a chart pattern.
- Relative Volume (r_vol)
- A comparison of current trading activity against a historical baseline, used to flag whether a given period is unusually active or unusually quiet.
Order Flow Patterns
- Wall Pressure
- A combined read on how significant a liquidity wall is, factoring in both its size and its distance from the current price.
- Spoofing
- Placing a large resting order with no intent to let it fill, then cancelling it before price reaches it — typically identified by an unusually high cancel rate relative to fills at that price.
- Absorption
- A pattern where incoming aggressive orders trade into a price level repeatedly without moving price, because resting size at that level keeps being replenished.
- CVD 4-Tier
- CVD calculated separately for small, medium, large, and whale lot-size tiers instead of one blended total — this reveals when different size tiers are moving in different directions, something a single aggregate number hides. Full breakdown →
- Whale Flow
- Tracking CVD specifically within the whale (largest) lot-size tier, isolated because large-size order flow tends to behave differently from small-size flow — a classification of order size, not a claim about who is trading. Full breakdown →
- Momentum Acceleration
- Whether the rate of price movement is speeding up or slowing down, not just which direction price is moving.
- Iceberg Order
- A large order that only reveals a small visible portion at a time, with the remainder hidden and fed into the book as the visible piece fills. Full breakdown →
- Sweep
- An aggressive order, or sequence of orders, that consumes resting liquidity across multiple price levels in quick succession — distinct from a slow, orderly move through the same levels. Full breakdown →
- VWAP Velocity
- How quickly price is moving away from, or back toward, the volume-weighted average price — a read on trend strength relative to where most volume has actually traded.
- Confluence
- When multiple independent order-flow signals point the same direction at the same time — the more signals that agree, the more weight the read tends to carry.
- Exhaustion
- A pattern where volume keeps flowing but price stops responding to it — a sign that whatever was driving the preceding move may be running out.
- OFI (Order Flow Imbalance)
- A signed measure of aggressive buying versus aggressive selling hitting the order book, tracked across multiple time horizons to capture both fast and slow shifts in pressure.
Advanced / MBO
- MBO (Market By Order)
- The most granular level of order-book data an exchange can publish — every individual order event (added, modified, cancelled, or filled) rather than a snapshot or an aggregated total. Full breakdown →
- L1400 Footprint
- A detailed, multi-channel image of order-book depth across a wide window of price levels, used as one of the inputs to ATLAS's signal model.
- Price Invariance
- A model design property where analysis is based on relative order-flow behavior rather than the absolute price level — meaning the same patterns are read consistently whether gold is trading at $2,000 or $4,000.
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