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Advancedlessons28Total duration3 h 57

Trading desk: advanced order flow

Microstructure, execution and pro tactics

The most advanced course: order book microstructure, institutional execution (VWAP, TWAP, POV), market making, auction theory, liquidity engineering, order flow setups and the routines of a real trading desk.

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What you will be able to do

  • 01Explain why a level holds or breaks: FIFO queue, icebergs, adverse selection
  • 02Recognize the footprint of execution algos (VWAP, TWAP, POV, IS) and position yourself in their direction
  • 03Classify a day (balance, imbalance, profile shape) within the first hour
  • 04Read a stop run, a liquidity grab and a climax, and trade them after confirmation
  • 05Prepare, execute and review a session with the risk limits of a desk

Who it is for

For those who already read the footprint and the heatmap and want to understand the players behind the signals. The site's two other courses are a good prerequisite.

Syllabus

Module 01

1 · Market microstructure

01The order book in depthFree preview10 min02The order types pros useStudents only9 min03Queue position and adverse selectionStudents only8 min
Module 02

2 · Institutional execution

04Market impact: why orders get slicedStudents only9 min05Execution algos: VWAP, TWAP, POV, ISStudents only12 min06Iceberg, sniper, liquidity-seeking: reading the footprintStudents only10 min07Quiz: microstructure and executionStudents only3 min
Module 03

3 · Market making and liquidity

08Thinking like a market makerStudents only10 min09Adverse selection and flow toxicityStudents only8 min10Providing or taking liquidity: choosing your sideStudents only7 min
Module 04

4 · Auction theory and volume profile

11The market as an auctionStudents only9 min12POC, VAH, VAL and value migrationStudents only10 min13Profiles and day typesStudents only9 min
Module 05

5 · Liquidity engineering

14Where the stops hideStudents only9 min15Stop runs, liquidity grabs and sweeps: anatomyStudents only11 min16Trading with the liquidity providersStudents only8 min17Quiz: auction and liquidityStudents only3 min
Module 06

6 · Advanced order flow setups

18Reversal setup: absorption and divergenceStudents only10 min19Continuation setup: imbalances and pullbackStudents only9 min20Exhaustion and volume climaxStudents only8 min
Module 07

7 · Sessions, news and roll

21Session structure and opening rangeStudents only9 min22Trading around the news (CPI, FOMC, NFP)Students only9 min23Contract roll and calendarStudents only6 min
Module 08

8 · Like on a trading desk

24A pro's pre-market routineStudents only9 min25Managing risk like a deskStudents only10 min26Psychology and professional disciplineStudents only9 min
Module 09

9 · Validation

27Synthesis: your method on one pageStudents only5 min28Final quiz: advanced levelStudents only8 min
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