In this example we can see the gold market (the gold futures 100 ounces of the comex) on Tuesday, March 24, 2020!

The graph #quant #orderflow #analyzer is in time unit: 10 price change per bar.

From 7.42 AM CET to 7.48 AM CET! We are on a price range from $1595.0 to $1599.5; a range of 45 tick or $4.5.

In this part of the graph zoomed inwards here; we can distinguish two particularly interesting absorptions that occur at 7.43 AM CET; then at 7.45 PM CET!

Indeed, in the histogram of region 3, we can see a green peak (at -133); then an even bigger green peak just after (at - 245); this is absorption level !

We are on absorptions here that are particularly high compared to the average shown in the histogram in question. What does this mean?

It means that large quantities of market orders have been sold; but with a very low impact on prices! That's why the absorption phenomenon is revealed here!

It is also notified on region 1 in the heatmap with a small label in the form of a text I have entitled: "HFT Abs" for "Absorption".

You can see that these two alerts are triggered on the last two exact low points of the graph.

This shows a real absorption force at the bid level which is supporting the flow of short market orders, without any particular impact on prices.

On this part of the graph, we are from 7.45 AM CET to 7.47 AM CET! We can see the last big absorption that just took place at 7.45 AM CET with an absorption degree of 245! We can also see at that time that the famous (CDV-CDUDTV) was already negative (since the open), so we had a market maker with a bullish bias.

During these two minutes of time, from 7.45 AM to 7.47 AM, we have the (CDV-CDUDTV) in region 3, which continues to decrease, showing us that the market maker's behavior continues to be buying !

We then have a "HFT Buy" alert that goes off at 7.47.40 AM CET! This alert tells us that we have a market making action here which is becoming aggressive to buy! More and more aggressive to buy!

Indeed, the volumes are + and + sellers (sell market orders majority, with the blue line falling in region 2); but these volumes are executed higher and higher (with the orange line diverging and rising compared to the blue line)!

This indicates that the market maker is willing to pay more and more to serve this flow of sell market orders. He literally drags them in the opposite direction. He is OK to pay more at first, because he knows that the stop losses will burst at a second stage.

Once this HFT Buy alert was triggered at 7.47 AM CET; you can see that the price just went up, very fast, and very strong, almost in a straight line for an increase of about 40 tick, which will be done in less than 2 minutes!

Note that the HFT Buy alert is triggered in the direction of the market maker (in line with the market maker); that's why the green star appears under the text label "HFT Buy".

We also note that the (CDV-CDV) visible in region 3, has not stopped falling during the whole price increase! This shows us to what extent the market maker's manipulation to continue, in order to increase these prices ... This increase is therefore totally unnatural from a volume point of view! But totally normal from a market making point of view. The manipulation here is quite clear! We have a set of volume sellers who are executed upwards (dragging upwards) by the market maker. That's why here, we understand quite quickly that the comparison between the nature of the volume, and the way it is executed will be fundamental! I think it's all there.