Order Flow Analysis Frameworks Cheatsheet
π Abbreviationsβ
| Abbreviation | Meaning |
|---|---|
| AVWAP | Anchored VWAP |
| CVD | Cumulative Volume Delta |
| ET | Eastern Time |
| ETH VP | Extended Trading Hours (18:00-09:30 ET) - Volume Profile |
| ETH VP-VA | Extended Trading Hours (18:00-09:30 ET) - Volume Profile Value Area |
| ETH VP-VAH | Extended Trading Hours (18:00-09:30 ET) - Volume Profile Value Area High |
| ETH VP-VAL | Extended Trading Hours (18:00-09:30 ET) - Volume Profile Value Area Low |
| ETH | Extended Trading Hours (18:00-09:30 ET) |
| GEX | Gamma Exposure |
| HSI | Horizontal Stacked Imbalances |
| OFA | Order Flow Analysis |
| OP | Opening Price |
| PD Range | Previous Day Range |
| PD | Previous Day |
| PDH | Prior Day High |
| PDL | Prior Day Low |
| PVD | Periodic Volume Delta |
| RTH VP | Regular Trading Hours (09:30-16:15 ET) - Volume Profile |
| RTH VP-VA | Regular Trading Hours (09:30-16:15 ET) - Volume Profile Value Area |
| RTH VP-VAH | Regular Trading Hours (09:30-16:15 ET) - Volume Profile Value Area High |
| RTH VP-VAL | Regular Trading Hours (09:30-16:15 ET) - Volume Profile Value Area Low |
| RTH | Regular Trading Hours (09:30-16:15 ET) |
| VA | Value Area |
| VAB | AlgoStormβ’ Value Area Breakout Framework |
| VAH | Value Area High |
| VAL | Value Area Low |
| VD | Volume Delta |
| VDB | AlgoStormβ’ Volume Delta Bars (similar to Periodic Volume Delta) |
| VDT | AlgoStormβ’ Volume Delta Thrust |
| VOF | AlgoStormβ’ VWAP-Based Order Flow Framework |
| VP | Volume Profile |
| VPA | Volume Price Analysis |
| VSI | Vertical Stacked Imbalances |
| VWAP | Volume Weighted Average Price |
π Overviewβ
| Category | Detail |
|---|---|
| Analysis Starting Point | Framework 1 (VOF): VWAP & VWAP Standard Deviations, Framework 2 (VAB): ETH-VA / RTH-VA |
| Core Strategy | VPA + Relatively High VD + 2-min Candle Close Beyond 30-min VP's VA |
| Confluences | CVD, VDT, HSI / VSI, Volume Bubbles (Big Trades), GEX |
| Trading Hours | 09:40 β 12:00 ET (NY Morning Session) |
| Timeframes | 15-min (Birdview & Context), 2-min (Analysis & Execution) |
| Default Target | 1:2 β 1:2.5, no partials |
| Breakeven Target | After 12:00 ET (end of trading zone) and 1:1.5 R:R achieved |
| Risk Per Trade | 0.25% |
| Max Daily Loss | β0.5% |
| Max Trades Per Day | 1β2 (1 if Case 4 occurs; 2 otherwise) |
| Second Trade Direction | Your second trade in cases 2 and 3, should always oppose the first losing trade |
βοΈ Indicator Settingsβ
| Indicator | Settings |
|---|---|
| 30-min VP | 40% VA, Delta Volume, 1 tick/row |
| AVWAP | Session (18:00 ET reset), Β±2Ο, Β±3Ο (for VOF Framework) |
| CVD | 1-day anchor, 1-second data |
| RTH VP | 09:30-16:15, 70 % VA, Delta Volume, 1 tick/row |
| ETH VP | 18:00-09:30, 40 % VA, Delta Volume, 1 tick/row |
| PVD / VDB | 10-min period |
| VD / PVD | 1-second data or lower depending on data feed subscription |
| VDT | 1-second data or lower depending on data feed subscription, Balanced Speed, Smooth |
| GEX | Daily monitoring via SqueezeMetrics or similar source |
π― Opening Case Classification (09:40 ET)β
| Case | Condition | Action |
|---|---|---|
| 1 | OP inside PD-Range and inside RTH VP-VA | Skip unless the previous day was a skip day for the same reason |
| 2 | OP inside PD-Range but outside RTH VP-VA | Start your OFA after the price returns to starting point |
| 3 | OP outside PD-Range, re-enters within 30 min | Wait until 10:00 ET, then start your OFA after the price returns to starting point |
| 4 | OP outside PD-Range, remains outside 30+ min | Wait until 10:00 ET, then start your OFA after the price returns to starting point |
Note
- The starting point depends on the entry model that you choose. It is either the VWAP Β±Ο or the ETH VP-VA / RTH VP-VA.
π Choose Your Starting Pointβ
Choose one approach or framework without mixing starting points. Be consistent with your approach each session.
Option A: VWAP-Based Order Flow (VOF) Frameworkβ
Wait for price at:
- VWAP
- VWAP +2Ο or +3Ο β Shorts / Mean Reversion
- VWAP β2Ο or β3Ο β Longs / Mean Reversion
Option B: Value Area Breakout (VAB) Frameworkβ
Wait for price to return to (whichever comes first):
- Extended Trading Hours Volume Profile Value Area (ETH-VP-VA)
- Regular Trading Hours Volume Profile Value Area (RTH-VP-VA)
Ξ Gamma Exposure (GEX) Analysisβ
Gamma Exposure measures the sensitivity of market makers' delta hedging to price movements. When trading ES futures, GEX provides critical context for expected volatility and price behavior.
How to Interpret GEXβ
| GEX Level | Market Behavior | Trading Implications |
|---|---|---|
| High Positive GEX | Market makers suppress volatility through hedging | Expect mean reversion, choppiness, range-bound behavior; ideal for VWAP frameworks |
| Low/Neutral GEX | Less hedging pressure, normal volatility | Standard directional moves possible; both frameworks applicable |
| Negative GEX | Market makers amplify volatility through hedge adjustments | Expect trending moves, momentum continuations, breakouts; favor VAB trending setups |
Practical Applicationβ
- High GEX Days: Favor mean reversion trades at VWAP Β±2Ο/Β±3Ο (VOF Framework). Price tends to snap back to key levels.
- Low/Negative GEX Days: Favor breakout/trend trades beyond VA levels (VAB Framework). Price more likely to trend and avoid quick reversals.
- Check GEX Daily: Review GEX levels before the trading session at SqueezeMetrics or equivalent sources.
GEX Strategy Alignment
- High GEX β Emphasize VOF Framework (mean reversion)
- Negative GEX β Emphasize VAB Framework (breakouts and trends)
- Always combine GEX context with your core OFA confluences for optimal execution.
π Trade Checklistβ
Session Open Analysis (09:30 ET)β
- Check the economic calendar for major events during the 09:40β12:00 ET window and ensure it's not a blackout day.
- Check Gamma Exposure (GEX) to understand expected volatility regime (mean reversion vs. trending).
- Check if the current price action at 9:40 or 10:00 ET is a parabolic move as a straight line, if it is skip the trade on this day.
- Mark PD-Range, RTH VP-VA, and ETH VP-VA.
- Determine the opening case based on OP, PD-Range, and RTH VP-VA.
- Based on the opening case, decide whether to delay analysis until 10:00 ET or start at 09:40 ET.
- Draw Anchored VWAPs (AVWAPs) and Anchored Volume Profiles (AVPs) from all relevant pivots.
Essentialsβ
- Economic Calendar β No blackout day
- GEX Analysis β Understand volatility regime
- Opening Case Analysis β No skip day
Timingβ
- If Opening Case is 3 or 4, delay analysis until 10:00 ET
- Otherwise, start at 09:40 ET
Locationβ
- Price is at (or has returned to) your starting point (VWAP Β±Ο or ETH VP-VA / RTH VP-VA), depending on the chosen framework
Opportunity Monitoringβ
- 2-min candle closed beyond 30-min VP's VAH (long) or 30-min VP's VAL (short)
- Volume Delta is relatively strong in the move's direction
Optional Confluencesβ
- HSI / VSI present
- AVWAP from major pivot aligned
- No CVD exhaustion or absorption at level
- CVD shows conviction (slope + momentum)
- CVD confirms direction (no conflict)
- AlgoStormβ’ VDT is not opposing the move or shows acceleration
- Volume Bubbles (Big Trades) confirm or do not oppose the move
- GEX context aligns with trade type (High GEX β Mean Reversion; Low/Negative GEX β Breakout/Trend)
- Liquidity Heatmaps: Walls, Absorption, Liquidity Takeout (Sweeps), Icebergs (Hidden), Vacuums (Thin Book), Layering (Spoofing), Clusters
Note 1: Liquidity Heatmaps, Volume Bubbles, and GEX are optional confluences β not available on all platforms, and the strategy can be executed without them.
Note 2:
- 3+ confluences β Good trade setup
- 5+ confluences β High-quality trade setup
tip
- Use this cheatsheet as a structured pre-trade protocol β ensuring every condition, timing, and confluence aligns before execution.
- GEX provides macro context that helps you select the most appropriate framework and manage expectations for volatility and directional persistence.