Order Flow Glossary and Key Concepts

Order flow has its own vocabulary. Most of it is not hard - but muddy definitions kill more tape readers than bad setups do. This lesson is a precise glossary of the terms you will see daily on a footprint, DOMDOMA vertical display of resting limit orders at every price. Shows passive liquidity; updates in real time.Read in glossary →, or CVD panel: absorptionAbsorptionAggressive market orders being absorbed by resting limit orders, resulting in volume without price movement. Signals potential reversal.Read in glossary →, exhaustion, delta and its divergences, order imbalances and stacked imbalances, trapped traders, and stop runs. Each term gets a one-sentence definition, the specific tape pattern that creates it, and the distinct signature it leaves on a chart so you can tell them apart at glance-level.

Absorption

Definition: aggressive market orders hitting a price and being absorbed by resting limit orders, such that price fails to move.

• Aggressive buying absorbed → someone is selling into the lifts with size. Ceiling.
• Aggressive selling absorbed → someone is buying into the hits with size. Floor.

Tape signature:

• Heavy, one-sided aggressive volume at a specific price (a tall column on the footprint).
• Price range on that bar is tiny - 1 to 2 ticks.
• DeltaDeltaHow much an option's price changes per $1 move in the underlying. Also a working approximation of the probability the option finishes ITM at expiration.Read in glossary → is strongly one-sided but price barely moved.
• DOM: a large resting order keeps refilling after being hit.

What it means: a larger, passive participant is defending a level. The aggressors will either exhaust themselves (reversal) or eventually overwhelm the defense (breakoutBreakoutPrice closing decisively through a resistance level on expanding volume. Often followed by retest and continuation.Read in glossary → after extra size arrives). Most of the time, absorption resolves in favor of the defender.

How to trade it: enter after aggressive side tapers, with stop through the absorbed zone. Never against absorption that's still actively being defended.

Exhaustion

Definition: the aggressive side of a move running out of fuel while the move is still trying to extend.

• At a high: buyers exhausted. New highs print on lower aggressive volume and lower delta.
• At a low: sellers exhausted. New lows print on lower aggressive volume and lower delta.

Tape signature:

• Volume at the new extreme is smaller than at the prior one.
• CVDCumulative DeltaThe running sum of bar deltas across a session. Reveals whether aggression is building or fading.Read in glossary → makes a lower high even as price makes a higher high (or vice versa).
• Footprint stops stacking on the trend side.
• Candle ranges compress; wicks lengthen against the trend.

What it means: the aggressors pushing price ran out of real size. Nobody new is stepping in. The next push from the other side will meet no defense.

How to trade it: wait for the first meaningful counter-bar (candle close against trend on expanding counter-volume), then enter the reversal with stop beyond the exhaustionExhaustionThe aggressive side of a move running out of fuel. New extremes print on lower volume and lower delta.Read in glossary → extreme.

Delta

Definition: aggressive buy volume minus aggressive sell volume, per bar.

Reading delta in isolation:

• Positive = more aggressive lifting of offers on the bar.
• Negative = more aggressive hitting of bids on the bar.
• Big magnitude = heavy participation. Small magnitude = light conviction.

Reading delta against price:

• Delta and price aligned = genuine directional conviction.
• Delta and price contradicting = absorption or exhaustion (the two interesting cases).

Delta alone is never a trade. Delta in context - at a structural level, paired with footprint and CVD - is where the edge lives.

Cumulative delta (CVD)

Definition: the running sum of bar deltas across a session, plotted as a line.

What it tells you that bar delta doesn't:

• Whether aggression is broadly building or fading across the session.
• Whether trends are confirmed by the tape or just grinding on inertia.
• Where session-wide divergences sit.

The two CVD patterns that matter most:

• Confirmation - price and CVD make new highs/lows together. Healthy trend.
• Divergence - price makes a new extreme; CVD does not. Warning of reversal.

Delta divergence

Definition: price and delta (or CVD) moving in opposite directions at a key level.

Bearish divergence (at a high):

• Price: higher high.
• Delta/CVD: lower high.
• Meaning: buyers pushed price but with less aggression than before.
• Typical follow-through: reversal down.

Bullish divergence (at a low):

• Price: lower low.
• Delta/CVD: higher low.
• Meaning: sellers pushed price but with less aggression than before.
• Typical follow-through: reversal up.

Divergence without a level is noise. Divergence at prior VAHValue AreaThe contiguous price range containing 70% of a session's volume. VAH = upper edge, VAL = lower edge.Read in glossary →/VAL, prior session high/low, or a developing POC is one of the most reliable reversal tells in order flow.

Order imbalance (single-bar)

Definition: at a single price inside a footprint bar, the volume on one side (askAskThe lowest price a seller is currently willing to accept. When you buy with a market order, you buy at the ask.Read in glossary → or bid) is disproportionately larger than the other.

Most platforms flagFlagA brief consolidation (the flag) after a sharp move (the flagpole). Classic continuation pattern.Read in glossary → an imbalance when one side is ≥ 3× the other at that price level (configurable, commonly 2× - 4×).

Diagonal calculation: the convention is to compare bidBidThe highest price a buyer is currently willing to pay. When you sell with a market order, you sell at the bid.Read in glossary →-side volume at price X against ask-side volume at price X+1 (one tick up) for buy imbalances, and ask-side volume at price X against bid-side volume at price X−1 for sell imbalances. This diagonal is what matters - it's comparing passive vs aggressive at the same turning point.

What it means: strong unilateral aggression at that exact price. A single imbalance alone is mild context. Multiple stacked = meaningful.

Stacked imbalances

Definition: three or more imbalances of the same type appearing consecutively across adjacent price levels.

Stacked buy imbalances (3+ consecutive ask-dominant levels):

• Aggressive buying sweeping through resting offers.
• The level where stacking starts often becomes supportSupportA price level where buyers have historically stepped in with size. Acts as a floor until it breaks.Read in glossary → on the pullback.

Stacked sell imbalances (3+ consecutive bid-dominant levels):

• Aggressive selling sweeping through resting bids.
• Often acts as resistanceResistanceA price level where sellers have historically stepped in with size. Acts as a ceiling until it breaks.Read in glossary → on the bounce.

Trapped traders

Definition: a population of traders who entered in one direction and are immediately holding losses because price moved the opposite way without hitting their targets.

Trapped longs (at a resistance breakout that failed):

• Breakout buyers went long above resistance expecting continuation.
• Price slipped back below resistance.
• They are sitting in red. The longer price stays below, the more they bleed out via stop-outs.
• Those stop-outs are market sells → they accelerate the move against them.

Trapped shorts (at a support breakdown that failed):

• Mirror image. Short-sellers went short below support expecting breakdown.
• Price reclaimed support. They are in red.
• Their eventual cover buys → accelerate the move up (short squeeze).

Tape signature:

• A decisive move past a level on thin or contradicting volume.
• A quick reclaim of the level.
• Delta against the breakout during the breakout itself (a big tell - the breakout wasn't real aggressive buying/selling).

Why it matters: a failed breakoutFailed breakoutA breakout that reverses back inside the prior range within a few bars. Traps breakout buyers; fuels moves in the opposite direction.Read in glossary → + trapped traders is one of the highest-conviction reversal setups available. You're entering with a known fuel source (their stops) on the other side.

Stop run (liquidity grab)

Definition: a short-duration price move engineered (or simply happening) to trigger the stop orders clustered just beyond an obvious level, producing a burst of forced liquidity which larger participants then trade against.

Mechanics:

1. Obvious swing low at 5400. Retail stops cluster at 5399.75 (just below).
2. Price pushes down to 5399.50, briefly. Every one of those stops converts to a market sell.
3. A large buyer - the party who caused or waited for the spike - absorbs those market sells at a discount.
4. Price reverses back above 5400 within minutes, trapping the stopped-out sellers.

Tape signature:

• The break of the level happens on low volume at the level itself, but high aggressive-sell volume in the ticks below.
• Delta sharply negative for 10 - 30 seconds, then flips positive.
• Price returns inside the prior range fast.

How to avoid being the victim: don't place stops at the absolutely obvious level. Place them structurally - where the setup is genuinely invalidated, typically a few ticks beyond the obvious cluster.

How to trade it: wait for the grab to reverse (price back inside the level) then enter with the reversal.

Finished vs unfinished auctions

Finished auctionFinished auctionFinished: at the bar extreme, one side has zero volume. Unfinished: both sides still active. Unfinished extremes act as magnets.Read in glossary →: at the extreme of a move, the footprint shows trades on only one side - ask volume at the high is zero (or bid volume at the low is zero). The market ran out of interest on the opposite side.

• A finished high = no sellers willing to sell at that price anymore. Reversal likely.
• A finished low = no buyers willing to buy at that price anymore. Reversal likely.

Unfinished auction: both bid and ask show volume at the extreme. Trade is still happening on both sides even at the turn.

• Unfinished extremes have a strong tendency to be revisited. The market often returns to finish the auction.

Trade use:

• A finished low + reversal signals = long with tight risk.
• An unfinished high left behind on yesterday's session = that price has a magnet-like pull.

A quick pattern-to-concept map

When you see this on the tape... it usually indicates:

Keep this table in your head. Most real order-flow decisions are pattern-match + context-check, and the patterns are not numerous.

Common questions

Is absorption the same as a big resting order? Related, not identical. Absorption is the observed outcome - aggressive volume without movement. A big resting order is the cause. You diagnose absorption from the footprint (volume + no movement); you see the order on the DOM.

How many imbalances in a row count as "stacked"? Conventionally 3 or more. Some traders use 2+, others demand 4+. The conceptual point is "a cluster of same-side aggression at adjacent prices" - exact thresholds are tuning choices.

Are trapped-trader setups reliable in all markets? Best in liquid futures (ES, NQ, CL, GC) and major equities during RTH. Weaker in thin markets where the "breakout" might just be noise rather than actual positioning by many participants.

Do stop runs actually happen on purpose? Some do (algos explicitly designed to sweep known clusters), many are emergent - price pushes toward a level, the cluster triggers, the cascade amplifies. Either way the trade - fading the grab after it reverses - is the same.

How do I tell real exhaustion from a temporary pause? You don't, in real time, with certainty. You tell probable exhaustion by CVD divergence + shrinking volume at the extreme + first counter-bar confirming. Without all three, assume continuation.

Key takeaways

• Absorption = aggressive volume getting stopped by a defender. Exhaustion = aggressive side running out of fuel.
• Delta is the per-bar aggression score; CVD is the session-long story. Divergences between CVD and price at levels are premium signals.
• Single imbalances are context; three or more stacked are actionable zones.
• Trapped-trader setups print after failed breakouts and offer known fuel on the other side.
• Stop runs / liquidity grabs are brief excursions beyond levels that reverse; fade them once price returns inside.
• Finished auctions at extremes print reversals; unfinished auctions leave magnetic levels.
• Every pattern here loses meaning without context - a level, a higher-timeframe narrative, or a volume reference.

Up next: The Order Flow Toolkit - the four tools (footprint, DOM, heatmap, volume profile) that surface every pattern defined here, and how to lay them out on a working screen.