Order flow is the stream of aggressive orders — market orders and marketable limit orders — that remove resting liquidity from the opposite side of the order book. It records which side initiated each transaction, so a trade is classified as buy-initiated when it executes at the ask and sell-initiated when it executes at the bid.
What the tape and the footprint chart show
The time and sales window, or tape, lists every execution in sequence with price, size and timestamp. Each line is tagged by initiator: an execution at the offer is attributed to the buyer, an execution at the bid to the seller. A footprint chart takes the same records and prints them inside the candle, splitting each price level of the bar into the volume that traded at the bid and the volume that traded at the ask.
Two figures are derived from that split. Delta is bid-initiated volume subtracted from ask-initiated volume for the bar; a bar with 800 units lifted at the ask and 1,150 hit at the bid has a delta of −350. Imbalance compares the two sides diagonally at each price level and flags rows where one exceeds the other by a set ratio, commonly 3:1.
Both are descriptions of completed transactions. A bar can close higher on negative delta and lower on positive delta, because the size of resting orders absorbing the flow is not in the figure. Order flow does not predict the next move, and no delta or imbalance reading implies a profitable outcome.
Where the data comes from
Exchange-traded instruments publish a consolidated feed: every execution passes through one matching engine, so the tape is complete and identical for all participants. Futures and equities are read this way.
CFDs are over-the-counter contracts. There is no central book and no consolidated tape — quotes reach the platform from the broker's own liquidity arrangement, and what you see reflects that stream rather than the whole market. Consequently, a CFD platform's tape covers a subset of activity, spot FX has no single venue to aggregate in the first place, and figures differ between brokers for the same instrument at the same moment. Traders who want exchange-grade order flow for FX generally read CME currency futures and treat it as a proxy.
How it differs from volume and from market depth
Volume counts how much traded. Order flow adds who initiated it — the same 2,000 units produce one volume figure but very different delta depending on which side crossed the spread.
Market depth, or the order book, shows the opposite category of order: limit orders resting away from the current price, waiting. Those orders are passive and can be cancelled before execution. Order flow consists of orders that have already executed. Depth is intent; flow is record. The distinction between the two sides of the quote is covered under bid and ask price.
