Lesson 3 of 5 · 2 min
Trade classification
How platforms decide whether a trade was a buy or a sell — and where that can go wrong.
Exchanges report trades; most retail feeds don't label them as "buy" or "sell". Platforms infer the aggressor.
How it's usually done
- Bid/ask comparison — a trade at or above the best ask is classed as buyer-initiated; at or below the best bid as seller-initiated.
- Tick rule — when quotes aren't available or the trade is between them, compare to the previous trade price: an uptick is a buy, a downtick a sell.
- Exchange aggressor flag — some feeds carry the exchange's own aggressor side, which is the most reliable when available.
Where it goes wrong
- Quotes and trades can arrive out of sync, especially in fast markets.
- Aggregation can merge fills from one order or split them.
- Different platforms use different methods, so delta can differ between them.
Key Insight
Footprint numbers are an estimate built on a method. Small differences don't matter; big patterns that persist do.
Trading implication
Prefer feeds that carry the aggressor side, and don't build rules that depend on a delta of a few contracts.
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