The Feed

Every figure in the order flow section is derived rather than reported. This is the part of the subject most often skipped, and it is the part that explains the single most common source of confusion: two traders watching the same instrument in the same minute, seeing different numbers, each assuming the other has a broken platform.

Neither does. Delta is an inference, book data comes in more than one granularity, vendors filter prints differently, and where a session begins is a configuration choice rather than a fact about the market.