Order Flow Quant Interview Guide
Order flow quant interview guide covering signed volume, imbalance, toxicity, short-term prediction, examples, and caveats.
Candidates interpreting buys, sells, imbalance, and short-term pressure.
Order flow tracks trading pressure
Order flow describes the sequence and imbalance of buyer-initiated and seller-initiated trades or orders over short horizons.
Imbalance can be informative
Persistent buying or selling pressure may signal short-term demand, inventory pressure, or information, but the interpretation is noisy.
Concrete example
A market maker seeing aggressive buy flow may widen offers, adjust fair value, or reduce inventory exposure depending on toxicity.
Classification is imperfect
Inferring trade direction, hidden orders, cancellations, and venue fragmentation can make order-flow measurement noisy and delayed.
Common mistakes
Candidates often say buy flow means price goes up. Better answers discuss horizon, liquidity, adverse selection, and conditioning context.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.