# Orderflow Analysis

> Skill for detecting institutional order flow patterns (absorption, exhaustion, imbalance, sweep) from L2 market depth and trade data.

- Skill: `saanjaypatil78/orderflow-analysis` (Agent Skill)
- Install (CLI): `npx skillmds@latest add saanjaypatil78/orderflow-analysis`
- Raw SKILL.md: https://api.skillmd.com/api/skills/saanjaypatil78/orderflow-analysis/raw
- Safety review: pending
- Works with: Claude Code, Claude.ai, OpenAI Codex
- Category: AI & ML
- Author: saanjaypatil78 (https://skillmd.com/u/saanjaypatil78)
- Updated: 2026-09-17
- Page: https://skillmd.com/skills/saanjaypatil78/orderflow-analysis

---


# Orderflow Analysis Skill

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

## Capabilities

This skill enables the agent to:
1. Analyze L2 orderbook depth for bid/ask walls
2. Detect absorption patterns (hidden liquidity)
3. Detect exhaustion at support/resistance
4. Identify imbalance sweeps
5. Generate trade signals with confidence levels

## Prerequisites

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

## Procedural Steps

### 1. Connect to L2 Data Stream

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

### 2. Monitor Orderbook State

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

### 3. Run Detection Algorithms

When sufficient data is collected:
```
Call: analyze_footprint(symbol: str, window_seconds: int) 
Returns: List[FootprintSignal] with pattern type, direction, confidence
```

### 4. Interpret Signals

| 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 |

### 5. Forward to Confirmation Mesh

All signals must pass through confirmation mesh before execution:
```
Call: validate_signal(signal: FootprintSignal, quantity: float) -> ConfirmationResult
```

## Safety Guardrails

- 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

## Example Workflow

```python
# Agent detects high-confidence absorption
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)
```