MODEL 01
CROSS-ASSET ORDER FLOW
◎ ANALYZING
Monitoring multi-asset order book imbalance at millisecond resolution. Rather than waiting for chart patterns on M5/M15 single instruments, this model reads institutional delta signatures across correlated assets — detecting displacement before price confirms. Cross-asset divergence in DXY / XAUUSD / US10Y constitutes a pre-positioning signal.
BOOK IMBALANCE
67.4%
BID-SIDE WEIGHTED
DELTA VELOCITY
+2.3K
LOTS/SEC
CORR. CONFIRM
4/5
ASSETS ALIGNED
DIVERGENCE
0.84
STD FROM MEAN
INSTRUMENT
ORDER FLOW IMBALANCE
FLOW DIR
SPREAD
SIGNAL
XAUUSD
▲ +72%
0.18
LONG
DXY
▼ -58%
0.004
SHORT
US10Y YIELD
▼ -44%
0.002
SHORT
SPX FUTURES
▲ +61%
0.25
LONG
EURUSD
▲ +53%
0.00008
NEUTRAL
▶ REAL-TIME FLOW LOG
● STREAMING
14:22:58
DELTA
XAUUSD bid stack +3,200 lots @ 2341.50 — institutional absorption
+
14:22:41
SWEEP
DXY ask swept 104.38–104.32 — 1,800 contracts flushed
—
14:22:19
FILL
CAOF signal confirmed — XAUUSD correlation threshold met [4/5]
+0.8σ
14:21:55
DELTA
US10Y futures — aggressive seller 4.692% → 4.687% (147 tics)
—
14:21:30
ABORT
GBPUSD divergence from model — position sizing reduced 40%
—
MODEL 02
HF STRADDLE & LIMIT ARRAY
▲ ARMED — T-47:33
Rather than reading a liquidity sweep after it occurs, this model anticipates the immediate liquidity vacuum post-release. Using pre-positioned straddle arrays and layered limit orders at ATM ± N·ATR levels, execution occurs within the first 40–200ms of price discovery — before retail flow even enters the market.
ATR (1H)
12.4
XAUUSD PIPS
STRADDLE WIDTH
±18.6
1.5× ATR
FILL WINDOW
40ms
TARGET LATENCY
ARRAYS ARMED
6
3 LONG / 3 SHORT
▲ LONG ARRAY — XAUUSD
2,360.40
50 lots
ARMED
2,354.20
30 lots
ARMED
2,347.80
20 lots
PENDING
▼ SHORT ARRAY — XAUUSD
2,323.00
50 lots
ARMED
2,329.40
30 lots
ARMED
2,335.60
20 lots
PENDING
▶ EXECUTION LOG — LAST SESSION
PCE RELEASE 2024-04-26
08:30:00
FILL
Long L1 filled @ 2,358.20 — 50 lots — 47ms post-release
+$12,400
08:30:01
FILL
Long L2 filled @ 2,352.10 — 30 lots — 180ms post-release
+$7,620
08:30:02
ABORT
Short array cancelled — directional vacuum confirmed bullish
—
08:30:14
SWEEP
Liquidity sweep 2,362.80 — partial exit L1 (25 lots) @ +18.6 pts
+$23,250