orderflow-analysis

Compare original and translation side by side

🇺🇸

Original

English

🇨🇳

Translation

Chinese

Orderflow Analysis Skill

订单流分析Skill

Detects institutional trading patterns from Level 2 market data and trade executions.

从Level 2市场数据和交易执行记录中检测机构交易模式。

Capabilities

功能特性

This skill enables the agent to:

Analyze L2 orderbook depth for bid/ask walls
Detect absorption patterns (hidden liquidity)
Detect exhaustion at support/resistance
Identify imbalance sweeps
Generate trade signals with confidence levels

该Skill使Agent能够：

分析L2订单簿深度，识别买卖盘挂单墙
检测吸收模式（隐藏流动性）
检测支撑/阻力位的耗尽信号
识别失衡扫单
生成带置信度的交易信号

Prerequisites

前置条件

Active L2 data connection (Alpaca Pro or Polygon)
Trading symbols configured in watchlist

活跃的L2数据连接（Alpaca Pro或Polygon）
观察列表中已配置交易标的

Procedural Steps

操作步骤

1. Connect to L2 Data Stream

1. 连接L2数据流

Use the trading-orderflow MCP server to establish WebSocket connection.
Call: connect_l2_stream(symbol: str, provider: "alpaca" | "polygon")

使用trading-orderflow MCP服务器建立WebSocket连接。
调用：connect_l2_stream(symbol: str, provider: "alpaca" | "polygon")

2. Monitor Orderbook State

2. 监控订单簿状态

Track bid/ask walls and imbalance ratios.
Call: get_orderbook_state(symbol: str) -> returns current book snapshot

追踪买卖盘挂单墙和失衡比率。
调用：get_orderbook_state(symbol: str) -> 返回当前订单簿快照

3. Run Detection Algorithms

3. 运行检测算法

When sufficient data is collected:

Call: analyze_footprint(symbol: str, window_seconds: int) 
Returns: List[FootprintSignal] with pattern type, direction, confidence

收集到足够数据后：

调用：analyze_footprint(symbol: str, window_seconds: int) 
返回：包含模式类型、方向、置信度的List[FootprintSignal]

4. Interpret Signals

4. 解读信号

Signal Type	Description	Suggested Action
ABSORPTION	Heavy volume absorbed without price movement	Fade the volume direction
EXHAUSTION	Declining volume at S/R	Prepare for reversal
IMBALANCE	3:1+ buy/sell ratio	Follow imbalance direction
SWEEP	Multiple levels cleared rapidly	Momentum follow

信号类型	描述	建议操作
ABSORPTION	大量成交量被吸收但价格未发生变动	反向操作当前成交量方向
EXHAUSTION	支撑/阻力位成交量递减	准备应对趋势反转
IMBALANCE	买卖比率达到3:1及以上	跟随失衡方向操作
SWEEP	多个价位被快速突破	跟随动量操作

5. Forward to Confirmation Mesh

5. 提交至确认网格

All signals must pass through confirmation mesh before execution:

Call: validate_signal(signal: FootprintSignal, quantity: float) -> ConfirmationResult

所有信号在执行前必须通过确认网格验证：

调用：validate_signal(signal: FootprintSignal, quantity: float) -> ConfirmationResult

Safety Guardrails

安全防护规则

Never execute trades based on LOW confidence signals
Require L2 liquidity verification before market orders
All executions must go through confirmation_mesh validation
Circuit breakers halt trading after consecutive failures

绝不要基于低置信度信号执行交易
市价单执行前需验证L2流动性
所有交易执行必须经过confirmation_mesh验证
连续失败后触发断路器停止交易

Example Workflow

示例工作流

python

undefined

python

undefined

Agent detects high-confidence absorption

Agent检测到高置信度吸收信号

signal = await analyze_footprint("AAPL", window_seconds=60)

if signal.signal_type == "ABSORPTION" and signal.confidence == "HIGH": # Validate before execution result = await validate_signal(signal, quantity=100)

if result.approved:
    # Proceed to execute-trade skill
    await execute_confirmed_trade(result)

undefined

signal = await analyze_footprint("AAPL", window_seconds=60)

if signal.signal_type == "ABSORPTION" and signal.confidence == "HIGH": # 执行前验证 result = await validate_signal(signal, quantity=100)

if result.approved:
    # 调用execute-trade Skill执行交易
    await execute_confirmed_trade(result)

undefined