Order flow is the real-time stream of executed trades and resting orders — who is buying and selling, at what size, and where. Reading it shows whether buyers or sellers are in control beneath the price.

VWAP (Volume-Weighted Average Price) is the average price weighted by traded volume. Institutions use it as a fair-value benchmark — price above VWAP is a bullish bias, below is bearish.

What is volume profile?

Volume profile shows how much volume traded at each price level over a period, revealing high-volume nodes (support/resistance) and the point of control.

Order-flow glossary

Definitions of the Order Flow metrics and market-analysis tools shown on Aslan Terminal, to help users understand what each one is and how to use it to read market structure.

What is VWAP?: VWAP (Volume-Weighted Average Price) is the cumulative average price of all trades in a session, weighted by volume at each price. Unlike a simple moving average, VWAP gives more weight to price levels where more volume traded — making it a truer reflection of where the market actually transacted. Institutions benchmark execution against VWAP: a buy order executed below VWAP is considered a good fill; above is poor. For intraday traders: price consistently above VWAP signals a bullish session bias; below is bearish. VWAP resets each session (or at a defined anchor point). Sigma bands (±1σ, ±2σ) around VWAP mark statistically significant deviations from the session mean.
What is Volume Profile?: Volume Profile is a histogram that shows how much volume traded at each price level over a selected period, rotated 90° so volume is displayed horizontally against the price axis. High-Volume Nodes (HVNs) are price levels with heavy activity — price acceptance. Low-Volume Nodes (LVNs) are thin areas — price moved through quickly, often with little structural support. The Value Area (70% of volume) sits between VAL and VAH, with the Point of Control (POC) at the peak. A profile that migrated higher during the session suggests price discovery to the upside; one that stayed flat or contracted suggests balance/consolidation. Volume Profile is a map of where the market agreed on value — not a buy/sell signal on its own.
What is CVD?: Cumulative Volume Delta (CVD) is the running total of (aggressive buy volume − aggressive sell volume) over a session or period. Aggressive buyers are trades that lift the ask (market buys); aggressive sellers are trades that hit the bid (market sells). A rising CVD means buyers are consistently more aggressive than sellers; falling CVD means the opposite. The most powerful CVD signal is divergence: price makes a new high but CVD makes a lower high — buyers are buying less aggressively into strength, suggesting the move may be weakening. CVD divergence is a leading warning, not a reversal confirmation — always wait for price structure to confirm.
What is Open Interest?: Open Interest (OI) is the total number of futures contracts currently outstanding — neither settled nor closed. Rising OI means new positions are being opened (new money entering); falling OI means existing positions are being closed (money leaving). The combination of price direction and OI change tells you whether a move is backed by conviction: price up + OI up = fresh longs (bullish confirmation); price up + OI down = short covering (weaker, may not sustain); price down + OI up = fresh shorts (bearish confirmation); price down + OI down = long liquidation (often sharp but brief). OI flow — whether OI is building or unwinding relative to price — is the key read, not the absolute level.
What is Footprint?: Footprint (also called Bid×Ask chart) displays the exact volume traded at each price tick within a single candle, split between aggressive buyers (ask side) and aggressive sellers (bid side). Each cell shows Bid Volume × Ask Volume at that price level. Key patterns to read: Absorption — large ask volume at a level with price refusing to drop (buyers absorbing sellers); Imbalance — one side dramatically outweighs the other (≥3:1 ratio) indicating aggressive directional pressure; Unfinished auction — price left a level with one side nearly empty, often revisited later. Footprint gives the highest-resolution view of order flow available — it is the raw tape in structured form.
What is POC?: Point of Control (POC) is the single price level with the highest total traded volume in the Volume Profile over the selected period. It represents where the market found the most agreement on price — maximum value acceptance. POC frequently acts as a magnet: price tends to gravitate toward it during low-volatility periods, and often provides support or resistance when approached from either side. A session that closes far from POC is unfinished business — price often returns to test POC in a subsequent session. A migrating POC (moving higher or lower throughout the session) confirms directional price discovery, while a static POC signals balance and consolidation.
What is VAH?: Value Area High (VAH) is the upper boundary of the Value Area — the price range that contains approximately 70% of the session's traded volume. VAH marks the highest price level still within the zone of market acceptance for that period. When price breaks above VAH with expanding volume and positive delta, it signals buyers are willing to pay above fair value — a potential directional breakout. When price tests VAH from below and gets rejected, it signals sellers defending the upper bound of value. In a value-area rotation strategy, fading moves back into the value area from VAH is a common reference trade — but confirm with Order Flow, not just the level.
What is VAL?: Value Area Low (VAL) is the lower boundary of the Value Area — the price range that contains approximately 70% of the session's traded volume. VAL marks the lowest price level still within the zone of market acceptance for that period. When price breaks below VAL with expanding volume and negative delta, it signals sellers are willing to accept below fair value — a potential directional breakdown. When price tests VAL from above and holds, it signals buyers defending the lower bound of value. VAL is often the first key support to watch when price re-enters the prior session's value area from above.
What is Value Area?: The Value Area is the price range containing approximately 70% of the session's total traded volume, bounded above by VAH (Value Area High) and below by VAL (Value Area Low), with the POC at the peak. It represents the zone where the market reached fair-value consensus for that period. Price trading inside the Value Area suggests balance — buyers and sellers agree on value. Price trading outside the Value Area (above VAH or below VAL) suggests the market is in price discovery — either finding new acceptance at higher/lower prices, or failing and returning back into value. The 70% rule: if the next session opens outside the prior Value Area and fails to hold, there is a high historical probability of rotating back to fill the Value Area.
What are Sigma Bands?: Sigma Bands (±1σ, ±2σ, ±3σ) are standard-deviation envelopes plotted around the session VWAP, calculated from the realised price dispersion of the current session. They show statistically how far price has moved from its volume-weighted mean. ±1σ contains roughly 68% of typical price action; ±2σ contains ~95%; ±3σ is extreme territory. When price reaches ±2σ or beyond, it is historically over-extended and mean-reversion probability rises. In trending sessions bands expand, making reversion less reliable — always combine with Volume, Delta, and OI context.
What is Delta?: Delta is the net difference between aggressive buy volume (trades hitting the ask) and aggressive sell volume (trades hitting the bid) within a single candle or time period. Positive delta means buyers were more aggressive; negative delta means sellers were more aggressive. Key patterns: a green candle with negative delta — price went up but sellers were more aggressive — suggests hidden supply and possible reversal. A red candle with positive delta — price went down but buyers were more aggressive — suggests hidden demand and possible reversal. Delta exhaustion: delta reaches an extreme then price stalls — the aggressive side ran out of fuel. Delta confirms or contradicts the candle; when they agree, the signal is stronger; when they diverge, be cautious.
What is Book Pressure?: Book Pressure measures the imbalance between resting Bid and Ask volume in the Order Book near the current price, expressed as a ratio or score. A high positive Book Pressure (bid-heavy) suggests buyers are stacking more orders than sellers at current levels — a bullish lean. A high negative Book Pressure (ask-heavy) suggests sellers dominate — a bearish lean. Critical caveat: Order Book entries can be spoofed — large orders placed with no intent to execute, pulled before price reaches them. Book Pressure is most reliable when confirmed by actual trade flow (Delta, CVD) rather than read in isolation.
What is Relative Volume (RVOL)?: Relative Volume (RVOL) compares current session volume against the average volume for the same time-of-day window over recent history. RVOL = 1.0 is normal; above 1.5 is elevated; above 2.0 is materially high activity. High RVOL amplifies the significance of every other signal: a breakout above PDH on 2× RVOL is far more credible than the same breakout on 0.5× RVOL. Low RVOL (thin sessions) means even small orders can move price — levels become less reliable as fakeouts increase. RVOL is not directional on its own. Always pair it with Delta, CVD, and price structure to interpret who is behind the volume.
What is Liquidation?: Liquidation is the forced closure of a leveraged position when margin falls below the maintenance threshold. On exchanges like Binance or CME, the liquidation engine closes the position at market, regardless of price. Clustered liquidations create cascades: long liquidations add sell pressure → price drops further → more longs liquidated. This feedback loop can cause sharp, rapid moves that overshoot fundamentally justified levels. Key context: liquidation-driven moves often reverse quickly once the liquidation cascade exhausts itself, creating mean-reversion opportunities — but catching the exact bottom of a cascade is high-risk without confirming absorption signals.
What is a Liquidation Map?: A Liquidation Map estimates the price levels where large clusters of leveraged positions would be forced to close if price reaches them — based on open interest distribution and estimated leverage levels. The map is a heatmap: darker/taller zones = higher estimated liquidation density at that price. These zones act as magnets — once price gets close, stop-running through a liquidation cluster can cause rapid extension. After the cluster is swept, price often reverses sharply as the forced selling exhausts. Important caveat: liquidation map data is estimated, not exact — exchanges do not publish real-time position distributions.
What is a 3D Liquidity Surface?: 3D Liquidity Surface visualizes the Order Book's bid and ask resting orders across price levels and time, rendered as a three-dimensional surface where height represents liquidity density. Peaks on the surface indicate price levels with heavy resting orders — strong support or resistance zones. Valleys indicate thin liquidity — price can slice through these levels quickly. Watching the surface evolve over time reveals spoofing patterns (large orders that appear and disappear), iceberg orders (orders that reload repeatedly), and genuine institutional walls. This is an advanced institutional tool; use it alongside DOM Ladder, Book Pressure, and Footprint for full context.
What is a Liquidity Sweep?: A Liquidity Sweep (stop hunt) occurs when price briefly pierces a significant structural level — a prior session high, range boundary, round number, PDH/PDL — to trigger resting stop orders and limit orders clustered there, then rapidly reverses back inside the range. The key diagnostic: speed and rejection. A genuine sweep tags the level, absorbs the liquidity, then reverses within 1–3 bars. Confirming signals: volume spike at the extreme, delta divergence (buying prints on a low sweep, selling prints on a high sweep), and a strong rejection candle (long wick, small body). Sweep vs. breakout: if price holds outside the swept level rather than reversing, it is a breakout — not a sweep. Never fade a sweep until you see at least one confirming reversal bar.
What is a DOM Ladder?: The DOM (Depth of Market) Ladder is a real-time display of resting Bid and Ask orders at every price level near the market. Each row shows the price level, total bid size (buyers waiting), and total ask size (sellers waiting). The inside market (best bid / best ask) is the spread. Large DOM walls signal potential support or resistance — but can be spoofed (placed to mislead then pulled before execution). Watching how the DOM refreshes — whether large bids hold as price tests them or disappear — gives real-time insight into genuine vs. fake liquidity. Pair with Book Pressure and Footprint to distinguish real absorption from spoofing.
What are Large Trades?: Large Trades (also called Block Prints or Institutional Prints) are individual executed trades above a defined size threshold in the futures market, shown in real time as they occur. Large prints at key levels — a VAH, PDH, POC, or sigma band — may signal institutional participation or level defense. Buying prints (on the ask) at support that hold price indicate absorption; selling prints (on the bid) at resistance indicate supply. Cannot be assumed to be directional: a large buy print at a top can be a hedge, not a long. Read in context: where did the print occur (level significance), what did price do immediately after, and what did CVD/Delta do.
What is Basis?: Basis = GC Futures price − XAUUSD Spot price. CME gold futures price in carry cost, storage, and institutional positioning before the spot market reacts. When the gap is unusually wide (Futures richly priced vs Spot, z ≥ +1.5), spot has historically rallied to close it within 2–4 bars. When narrow (Futures cheap vs Spot, z ≤ −1.5), spot has historically fallen. Within the normal band (|z| < 1.5) there is no structural basis edge — wait for a regime shift. The wider the z from zero, the rarer the extreme and the stronger the statistical mean-reversion pull.
What is Funding Rate?: Funding Rate is a periodic fee (typically every 8 hours) paid between Long and Short holders in Perpetual Futures markets. When the perpetual price trades above spot, longs pay shorts (positive rate) to anchor the perpetual to spot. When below, shorts pay longs (negative rate). A persistently high positive rate signals leveraged long crowding — a potential squeeze setup if price reverses. A persistently negative rate signals short crowding. Traders use funding for Cash-and-Carry arbitrage (hold spot long + perpetual short to collect positive funding), but must account for execution fees, slippage, basis risk, liquidation risk, and sudden rate reversals.
What is Expected Move?: Expected Move Zones show price bands derived from the session's realised volatility, anchored to today's Session Open. Each zone (±1σ, ±2σ, ±3σ) represents a standard-deviation step from open — showing how far GC has historically moved within a session under similar volatility conditions. Green zones = above open (bullish territory); red zones = below open (bearish territory). The live dot shows current price relative to these zones. The reversion % on each zone is the historical rate at which price returned toward the mean zone within approximately N bars of reaching that band — out-of-sample certified. Practical use: a move to ±2σ or ±3σ is rare and historically mean-reverting — use to judge over-extension, not as a standalone signal.
What is Lead/Lag?: Lead/Lag describes which instrument moves first when two correlated markets reprice. In gold markets the key lead/lag relationship is GC Futures vs XAUUSD Spot: futures price in institutional positioning, carry cost, and macro expectations before spot reacts, so futures typically leads by 1–3 bars at inflection points. The Basis (Futures − Spot) quantifies the lag: an unusually wide or narrow basis signals the spot market has not yet caught up — a directional lean for spot traders. Lead/Lag relationships are probabilistic and can break down during low-liquidity periods or sudden macro events.
What is Prior Day High (PDH)?: Prior Day High (PDH) is the highest price reached during the previous Globex session. It is one of the most-watched reference levels in futures trading because a large number of stop orders, breakout entries, and resting sell orders cluster just above or at this level. A breakout above PDH on high volume and positive delta signals genuine buyer follow-through. A rejection at PDH — particularly with a sweep (brief spike above followed by sharp reversal) — signals sellers defending the level and a potential short opportunity back into the prior range. PDH combined with the prior day's Value Area provides a complete structural map of the prior session.
What is Prior Day Low (PDL)?: Prior Day Low (PDL) is the lowest price reached during the previous Globex session. Like PDH, PDL is a magnet for stop orders and resting buy orders. A breakdown below PDL on strong volume and negative delta signals genuine seller follow-through — a bearish continuation. A sweep below PDL that quickly reverses signals a stop hunt: the market briefly grabbed downside liquidity then rejected lower prices, often setting up a long opportunity back above PDL. PDL and PDH together frame the prior session's range — key context for the day's opening strategy.
What is Prior Day High/Low?: Prior Day High/Low (PDH/PDL) frames the complete price range of the previous trading session. These two levels together define where buyers and sellers last reached their maximum extension, making them the most significant structural reference points for the opening of the new session. The opening relationship to PDH/PDL sets the day's structural bias: open and hold above PDH = bullish expansion above prior range; open below PDL and fail to reclaim = bearish continuation below prior range; open inside the prior day range = balance / inside day — typically lower volatility until a breakout develops.
What is Session Open?: Session Open is the first traded price of the current Globex session (typically the 6:00 PM CT Sunday open or day-session open). It is the intraday bias anchor: price consistently above Session Open favors a bullish intraday stance; price consistently below favors bearish. The opening drive — the first 15–30 minutes — often establishes the session's initial directional lean. A gap above prior settle + holds Session Open = strong bullish structure. A failed open (price opens high and immediately sells back below Session Open) signals weakness despite the initial gap. Session Open combined with PDH/PDL and VWAP gives a complete intraday structural picture.
What is Settlement Price (Settle)?: Settlement Price (Settle) is the official closing price of the previous Globex futures session, set by the CME exchange. It is the primary anchor point for the current day: the daily change % displayed on all futures platforms is calculated from this price, and institutional desks use it as the fair-value baseline for overnight gap analysis. Price frequently gravitates back toward the prior settle during low-volume periods, making it a key reference magnet alongside Session Open and PDH/PDL.
What is a Volume Node?: A Volume Node is a price bin within the Volume Profile that holds a notably high concentration of traded volume — second only to the Point of Control (POC). Because price tends to revisit levels where participants transacted heavily, high-volume nodes frequently act as support when approached from above and resistance when approached from below. Low-volume nodes (gaps in the profile) are the opposite: price often travels through them quickly with little friction. Reading nodes in context — whether price is accepting or rejecting a level — is more reliable than treating them as fixed rules.

Quant formulas

Mathematical definitions of the client-computed indicators shown on the chart. Formulas are open — context, not signals.

VWAP

Σ(price·vol)/Σ(vol) over the session

Volume-Weighted Average Price (Berkowitz 1988); institutional benchmark.

Fair value for the session; price above suggests buyers in control intraday. Context, not a signal.

relay-display

VWAP σ bands

σ = sqrt(Σp²v/Σv − VWAP²); bands = VWAP ± kσ (k = 1, 2)

Volume-weighted standard deviation from VWAP.

How stretched price is from fair value; mean-reversion context.

relay-display

POC

argmax over price of (volume traded at price)

Market Profile / TPO (Steidlmayer, CBOT).

Price of maximum acceptance; tends to act as a magnet.

relay-display

Value Area

smallest contiguous band holding 70% of volume around POC

Market Profile value area (~1σ of traded volume).

The session's fair range; trading outside it signals imbalance.

relay-display

CVD

running Σ(buyVol − sellVol) from L1 trade side

Cumulative Volume Delta.

Net aggressive pressure; divergence from price hints at absorption. Context, not a signal.

relay-display

RVOL

volume / average-volume-for-this-time-of-day

Relative Volume, time-normalized.

Whether participation is unusual; values above 1 mean elevated activity.

relay-display

Prior Day High / Low

max / min of the prior CME session (session boundary 17:00 CT)

Prior-session extremes; classic support/resistance.

Breakout or rejection reference for the new session.

upstream-derived

Session Open

first trade of the current Globex session

Session opening print.

Intraday anchor for the day's bias.

upstream-derived

Prior Settlement

CME official settlement of the prior session

Exchange settlement; the change-% denominator.

A primary futures magnet.

upstream-derived

Donchian Channel

upper_i = max(high[i−N+1..i]); lower_i = min(low[i−N+1..i]); mid_i = (upper+lower)/2; null for i < N−1

Richard Donchian (Turtle traders); the original breakout channel.

Frames the recent high-low range; pairs with the Breakout layer.

client-compute

ATR

TR_i = max(H−L, |H−Cprev|, |L−Cprev|); Wilder RMA: ATR_N = mean(TR[1..N]); ATR_i = (ATR_{i−1}·(N−1) + TR_i)/N; null for i < N

Wilder (1978); a volatility unit (Wilder smoothing, not EMA).

Measures volatility; sizes the Keltner bands and a header readout.

client-compute

Keltner Channel

mid_i = EMA(close, N) with α = 2/(N+1) seeded by SMA(N); bands = mid ± m·ATR_i (m default 2); null for i < N

Chester Keltner / Linda Raschke; a volatility-adaptive envelope.

An ATR-based envelope; complements the volume-based VWAP σ bands.

client-compute

What is VWAP?

What is Volume Profile?

What is CVD?

What is Open Interest?

What is Footprint?

What is POC?

What is VAH?

What is VAL?

What is Value Area?

What are Sigma Bands?

What is Delta?

What is Book Pressure?

What is Relative Volume (RVOL)?

What is Liquidation?

What is a Liquidation Map?

What is a 3D Liquidity Surface?

What is a Liquidity Sweep?

What is a DOM Ladder?

What are Large Trades?

What is Basis?

What is Funding Rate?

What is Expected Move?

What is Lead/Lag?

What is Prior Day High (PDH)?

What is Prior Day Low (PDL)?

What is Prior Day High/Low?

What is Session Open?

What is Settlement Price (Settle)?

What is a Volume Node?

VWAP

VWAP σ bands

POC

Value Area

CVD

RVOL

Prior Day High / Low

Session Open

Prior Settlement

Donchian Channel

ATR

Keltner Channel