Order flow

Build order flow from the tape: every taker fill on the market, with what 0xArchive records about it. trades() reaches back to the start of the UTC day before yesterday, from 0xArchive’s history, and continues live from the chart’s tape.

A trade

Field	What it is
`time`, `price`, `size`, `notional`	When, at what price, how much in the market’s coin, and in USD
`side`	The taker’s side, `'buy'` or `'sell'`
`oiDelta`	The trade’s change in open interest: positive where it opened positions, negative where it closed them
`sameOrder`	Whether the same taker order filled the trade before it
`takerOrderId`, `tradeId`	Ids, on live trades; `null` in history
`liquidation`	Whether the taker was being liquidated
`taker`, `maker`	Wallets, where the source carries them; `null` in the terminal today

Sum the tape per bar

Add each trade to a tally in onTrade, and read it in the chart’s onBar. This is volume delta, in USD:

indicator('Volume delta');

const chart = bars();
const tape = trades();
const delta = tally();
const deltaBars = plot.histogram('Delta $');

tape.onTrade((t) => delta.add(t.side === 'buy' ? t.notional : -t.notional));

chart.onBar(() => {
  if (!tape.available) return;
  deltaBars.set(delta.value, delta.value >= 0 ? color.up : color.down);
});

minSize and minNotional filter the stream, so trades({ minNotional: 100_000 }) delivers only trades of $100k or more.

Opening and closing trades

0xArchive records each trade’s change in open interest (oiDelta), in the market’s coin. With the taker’s side it says what the trade did:

Taker trade	What happened
Buy, `oiDelta` above 0	A new long
Buy, `oiDelta` below 0	A short bought back
Sell, `oiDelta` above 0	A new short
Sell, `oiDelta` below 0	A long sold out

An oiDelta of 0 means one side opened while the other closed. Hyperliquid and HIP-3 count both sides of open interest, Lighter longs only, as each venue’s own open interest does. Opening and closing flow and Squeeze or new positions are built on it.

Taker orders

One market order fills against many resting orders, and each fill is a trade. sameOrder is true when the same taker order filled the trade before it, so a new order starts wherever it is false. That joins fills into orders across the whole history, where takerOrderId is null:

const order = state.live(0);
const orders = tallyBy(512);

tape.onTrade((t) => {
  if (!t.sameOrder) order.value += 1;
  orders.add(String(order.value), t.side === 'buy' ? t.notional : -t.notional);
});

Large taker orders marks the bars where one came to $1M or more.

Order flow by bar, without events

Bars that close on trades (t500, v1000000 and the rest) carry buyVolume and sellVolume on each bar. Time bars do not split volume, so sum trades() for them.

Next step

Read liquidations and where they would happen next in liquidations.

Start

Guides

Examples

Reference

A trade

Sum the tape per bar

Opening and closing trades

Taker orders

Order flow by bar, without events

Next step

​A trade

​Sum the tape per bar

​Opening and closing trades

​Taker orders

​Order flow by bar, without events

​Next step

A trade

Sum the tape per bar

Opening and closing trades

Taker orders

Order flow by bar, without events

Next step