Forex glossary
Order flow
Order flow means the arrival of orders and transactions, and sometimes their analysis. Data may include executed volume, aggressor side and displayed book orders. It does not automatically reveal participant identities or hidden liquidity. Each spot FX source covers a limited portion of a fragmented market.
Illustrative example
How does it work in practice?
Assume exchange data records thirty contracts bought aggressively at Ask and twenty sold at Bid. The difference is plus ten contracts within that dataset; it identifies neither buyer identities nor the entire FX market.
A case to work through
Aggressor volume, not people
A hypothetical exchange feed correctly classifies 80 contracts at Ask and 55 at Bid.
- Delta is 80−55=25 contracts.
- Every execution has a buyer and seller; delta does not count people on either side.
What follows? State the delta and the particular feed's coverage.
Example boundary: Classification and completeness depend on the source; futures are not complete spot FX.
Delta within an available feed
Text description of the diagram
- Aggressive buying: Volume classified as taking the Ask.
- Aggressive selling: Volume classified as taking the Bid.
- Volume difference: Buying minus selling within this dataset.
A useful distinction
Order flow / OBV (On-Balance Volume)
Order flow can classify individual executions; OBV signs an entire bar's volume by its close change.
Check your understanding
Calculate execution delta without inferring participant numbers.
Show the answer and explanation
−15 contracts
45−60=−15 within this dataset.
Market data and interpretation limits
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Related terms
Sources and documentation
- BIS – foreign-exchange market structure
Fragmented FX trading and limitations of an individual source's market coverage.
Document read: - CME – futures trading guide
Futures venues, orders and executions; futures data is not complete spot FX flow.
Document read:
The example illustrates the mechanism. Check current account conditions and instrument specifications with the provider.