Trading Distilled

It is entering into a price dislocation from value, based on the trader's thesis by way of the"vote" to buy or sell. All short term imbalances are then auctioned by all market participants, not only to arrive at the qualitative basis but to perceived value. This is why fundamental analysis is a lower component of any trading program. The true purpose of monitoring orderflow volume is to measure the aggressive vs. passive players in the interplay of short term liquidity (microstructure) as it rotates away. toward, and against longer term liquidity (macro structure). So the objective of any volume-based algo is to monitor liquidity as it develops below/above the current price. So what makes price move? Price simply moves away from areas of low liquidity in the microstructure toward areas of high liquidity in the macro structure. Who makes price move? The volume aggressors are institutional large large lot players with price intentions in the short term to create setups to position for a longer timeframe opportunity.