Interpreting order flow data on coinmarketflow
Crypto Market order flow data from VantageCrypto available on https://coinmarketflow.com
We track the entire order flow process from order books to executed orders. On the site, we distinctly differentiate between order books and order flow where order books focus on outstanding orders which represents an assets real-time liquidity and order flow focuses on the executed bids and asks or x-Bids and x-Asks. Combined, this data can often determine whether volume was as a result of buying, selling, market orders or limit orders and can even highlight liquidations.
X-bids and x-asks are exactly what they sound like. X-bids are executed bids, this represents a sell as the seller sells at the buyers bid price. x-asks represent a buy where the buyer buys at the sellers ask price. Right now we chart real-time data but soon we will also offer an array of other data such as moving averages to smooth charting and provide more defined trends and crossovers.
the order flow ratio or OFR is the same as our market depth ratio but instead of charting the ratio between outstanding bids and asks, we track the ratio between executed bids and executed asks. The OFR provides a single value that depicts whether there is more buying or selling and comparatively how much, displayed as a percentage. If we currently have a -5% OFR it means that there is currently 5% more sell orders executing than there are buy orders.
We also provide the order flow information panel here to the right of the chart. On the front page we provide data for the global crypto market combined. There are a few major components to this panel. At the top we show the current volume 24 hour running average, OFR, x-bids and x-asks followed by our large order alerts.
Our large order alerts report any buy or sell order of which in its entirety is larger than 5% of the current combined active order books for that asset on the exchange that it occurs on. For example this buy order for 200 thousand dollars on binance represents that at the time of execution, combined orderbooks for binance USD were less than 4 million dollars as a $200,000 dollar order is 5% of 4 million dollars. These alerts are intended to alert users of institutional investor activities and when orders are large enough to impact the assets liquidity on the exchange they are trading on. Its also important to point out, we see more large order alerts in the derivatives market. We are currently only tracking order flow for derivatives on bitmex but will be adding order flow for our other derivatives exchanges shortly. Only about half the exchanges on our site currently have order flow integrated, the others will be updated in the very near future.
The last part of the order flow information panel provides a visual into the average size of the orders being processed and how recently we witnessed the order flow volume. We break the size of the orders into 3 categories, small orders, less than $100 dollars, medium sized orders less than $50,000 dollars and large orders, over $50,000 dollars. This break down is displayed visually for both buys and sells. Each section of the bar represents the amount and percent of the various sizes of buys and sells over the last 24 hours.
The order-flow time bar seeks to visually identify the momentum of order flow. We also separate the data into 3 parts for both buys and sells. The 1st bar represents buys or sells in the last hour, expressed as an absolute value and as a percent of all the volume over the last 24 hours. The second bar identifies buys and sells over the last 6 hours and the third bar represents how much of the volume was more than 6 hours ago but less than 24 hours ago.
We also offer an alpha version of our trading view charts with this data and will be adding the additional moving averages for both our order books and order flow data in the near future. Additionally, we also add order flow columns to the field chooser underneath individual assets and exchanges.