Orderflow Analysis Skill Skill

Orderflow Analysis Skill

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

Capabilities

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

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

# 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)

Agent Skills: Orderflow Analysis Skill

Install this agent skill to your local

Skill Files