The trading day in order flow day trading begins with the market analysis: dark pool data, CME SPAN data, options data and dealer hedging produce zones in which institutional interest is likely to sit. At the level, the order book confirms the plan, and a setup should be statistically evaluable. In swing trading, the portfolio is spread across several strategies, CoT data and seasonality form a foundation, the entry comes from the chart, and risk stays conservative.
The video
The video is in German. For English audio, open the settings (gear icon) in the player and choose Audio track → English.
Playing the video connects to YouTube. Watch on YouTube
Chapters in the video 27
Click a timestamp to start the video at that point.
Video: Insider TradingMore videos from TradeNeon on our YouTube channel.
Oliver's path to trading
Oliver comes from the commodities field. Around 2010 and 2011, he engages with the exchange; professionally, he trades physical investment metals such as coins and bars at the time, not on an exchange.
He loses his first CFD account on the first evening, and that becomes the occasion to learn the exchange from the ground up. Swing trading and options trading follow, the first discipline in which things worked out for him. Later, day trading and order book and order flow trading are added, today his hobbyhorses. Alongside, he continues to trade options, including zero-DTE options, as well as futures, commodities and stocks.
He learned the craft of day trading on a trading floor in London. Oliver was no natural talent: he had to work hard for much of it, and it took a long time until he became profitable. Because he is an emotional person, he adapts positions and risk to his character.
Many younger people today start with CFDs and crypto. Whoever has no personal contact with the exchange first meets the loudest providers, like the advertising boards at the edge of the pitch in a football stadium. Back then, the path led to exchange-regulated instruments such as stocks, futures and options, because there you do not, when in doubt, trade against your own broker. Today, the choice of brokers is larger, and there are many good CFD and crypto brokers.
Where a trade is worth considering
The day in order flow day trading begins with an extensive market analysis. It is important to understand which setups you trade, and at least as important where you trade them. For that, Oliver evaluates several data sources every morning: data from dark pools, the CME's SPANThe risk model that futures exchanges such as the CME use to calculate margin requirements. A risk interval around the closing price can be derived from it. data, options data and dealer hedging data, plus the liquidity in the order book as well as volume profiles and market profiles.
The combination produces zones in which institutional interest is likely to sit. This gives the plan for the day: where trades come into question, where not (at least as important) and in which direction. “Market analysis is the be-all and end-all. You never want to trade somewhere in the middle of nowhere,” says Oliver Sparing. He still does the analysis by hand. TradeNeon's software is a mirror of it: it brings the levels into the charts of various platforms.
Dealer hedging
At the center is dealer hedgingMarket makers hedge their options positions in the underlying and adjust this hedge continuously.. On the other side of an options trade usually sits a market makerMarket participants who continuously quote buy and sell prices and want to live off the spread rather than the direction of price.. They do not want to buy cheap and sell higher but to profit from the spread and get rid of the trade again immediately. If that does not work, they have directional risk and neutralize it in the underlying, for example in the S&P 500 future. Because the option does not move in the same rhythm as the underlying, they have to adjust this hedge continuously. Models can be used to estimate where market makers are positioned and under what circumstances they would have to buy or sell.
CoT data are relevant in the medium to longer term and bring no edge in intraday trading. Dealer hedging, by contrast, offers possible price zones for the trading day. It remains a working hypothesis: market makers have great influence, but the other market participants know their constraints as well. Whether a zone holds only becomes clear at the level. Placing a limit order blindly at a level and hoping for the best does not work for that reason. A stop has to fit the day's volatility, and an unexpected piece of news can run it over. That is why you need a setup at the level.
What happens in the order book
When the market comes to a previously defined level, Oliver looks into the order book. Heatmap and classic order book both have their use; he works a lot with the heatmapThe heatmap shows the order book over time: where limit orders sat and how large they were. and combines the two views. What he watches is how liquidity shifts, where orders are filled, where new ones come in, where rebalancing takes place and how the delta changes. The order book is meant to confirm the plan made beforehand.
There is no clear trigger in day trading that says “buy.” What you see in the order book has to be interpreted. The point is not to get lost in market understanding and to end up with a repeatable setup whose statistical edge you have evaluated. More aggressive entries and waiting for more confirmation both have their price: whoever waits for more confirmation gives up some of the reward-to-risk ratio. The range can become extreme, all the way to unprofitability. That is why statistics matter: whether a setup has an edge only becomes clear through evaluation.
With AI, it is now conceivable to implement such strategies algorithmically, with caution. One advantage in discretionary day trading, however, can lie precisely in the room for human interpretation, which makes you independent of the classic algorithms in the market.
The five factors in order flow
- Passive market participants How do limit orders shift in the order book, where are they filled, where does spoofingLarge orders that are placed in the order book and removed again before execution in order to influence the market. take place?
- Active market participants Who moves the market with market orders, and is there a shift in delta?
- Market and auction speed This is easier to observe in the classic order book. Does the market start to “wriggle”?
- Order flow events AbsorptionLarge amounts of aggressive orders are taken up by limit orders without price moving on., stop run, exhaustion, sweeps.
- Price action In the microstructure, it is at least as relevant as on a daily or monthly chart.
What is decisive is that these processes take place at price zones that are relevant for institutions. Only a small part of what constantly happens in the market is usable. Beginners especially see an opportunity around every corner after the first concepts such as absorption or iceberg orders.
At the level, the reaction is what counts
Oliver trades the US session, above all the first one to two hours after the open in New York and the last two trading hours. He trades almost exclusively the ES future, the S&P 500 future. In the past, it was also the gold and crude oil futures. For the ES, he has the most data that give him an additional edge.
First, he looks at his picture of the market: hourly and four-hour chart, which higher-level market phase the market is in, how it reacted to his levels. Then he works out a plan and sets an alert at the next relevant price level. A common beginner mistake is to sit in front of it and drive yourself crazy because you see an opportunity around every corner. He waits patiently until the market comes to the zone and then watches the order book.
For that, he uses a classic candlestick chart on 5 minutes, “a good old 5-minute chart.” A 1-minute or 15-minute chart is just as fine. On top come a market profile and a volume profile to follow auction methods and market structure. In practice, he works with a combination of Bookmap and TradingView. For order book data, you need live market data from the exchange and software such as Bookmap or Quantower, combined with a data feed.
Oliver steers clear of news releases. He is no news trader but knows there are strong ones. Shortly before important US economic data, market makers pull liquidity out of the order book: in the heatmap, a wall of orders suddenly disappears. A few minutes after the release, the liquidity gradually comes back, and then he trades again. Classic order book trading largely leaves the realm of economics anyway; market mechanics play the role here. The longer term a trade is meant to be, the more fundamental factors count.
In swing trading, the portfolio comes first
Order flow day trading takes a longer familiarization period, and you have to confirm for yourself that your own approach has an edge, ideally through statistics. Whoever has not proven for themselves that it works has a hard time psychologically, because doubts keep coming back. In swing trading, things are often calmer, and approaches are easier to replicate and teach. Anyone who decides on a day trading programme also brings a certain stress factor into their life and should have a great interest in the markets. “I am absolutely no fan of this credo, trade like a machine. We are not machines, we are human beings. We have emotions, and we have to learn to deal with them,” says Oliver Sparing. When he notices that he is reacting more emotionally, he does not day trade in that phase.
Several strategies instead of one
Oliver builds his trading portfolio like a long-term stock portfolio: with diversification, meaning with several strategies that correlate as little as possible. Whoever relies on only one can go through a bad phase over a longer period. He has seen this himself with classic income strategies using options on the ES future and the SPX. For a start, however, it is important to learn one strategy properly first and to broaden out only afterwards. In swing trading, he works with four building blocks.
- Commodity trading with CoT data The theoretical foundation is CoT data, seasonal patterns and term structure, combined with a setup that is logical in terms of market technicals.
- Strategy on the 4-hour chart It combines market structure and auction logic with Fibonacci retracements.
- Three stock strategies His own indicators pre-filter stocks by various criteria. He then enters on momentum or on pullbacks.
- Options strategies Options strategies are the fourth building block.
Swing trading is his “bread and butter.” How day and swing trading are distributed among clients fluctuates: sometimes there is more interest in one, sometimes in the other. Some add day trading after a while; others notice in day trading that it stresses them too much and switch to swing trading.
CoT data and own indicators
In commodities, CoT data are a base filter, comparable to the market analysis in day trading. Oliver has developed his own indicators that go beyond the classic Larry Williams index. The index looks at the net position, and a purely absolute view of positioning can say little. The data are therefore put in relation to total open interestThe number of all open contracts in a futures market., producers and processors are looked at separately, and the positioning is also put in relation to price. On top of that, it counts how many institutions hold a position: a high open interest held by only a few is less meaningful than one spread across many. The absolute view runs as a dry powderAn indicator of how much room a positioning still has before it is historically stretched. indicator; the relative one through an OBOS framework.
Alone, this usually gives no edge. It gives a good fundamental starting position in which a suitable setup then makes sense. Because CoT trading is usually trading against a strong trend, and a trend is more likely to continue than to reverse, it takes patience and a sensible setup. The wait is for a prominent volume peak in the volume profile and for the market to break out of it against the trend direction for the first time. The value of CoT data lies less in finding good entries than in finding trades with a lot of potential in the desired direction when the market moves. How CoT data work in principle is explained in detail in the video article on the ATAS webinar.
On the question of which trader group counts: the commercials have the most expertise about their market, but their intention has become less clear because they speculate more today than they used to. With managed moneySpeculative large investors in the disaggregated CoT report, such as hedge funds., the intention is clearer. In the evaluations the TradeNeon team has done over the years, the positioning of this speculative group showed the highest correlation with price. The thought behind dry powder: if everyone who was historically long is already long, who is left to buy?
Seasonality
On seasonality in commodities, the indicators determine the patterns on the basis of adjusted contracts (back-adjustmentPrices of old contracts are adjusted for the roll gaps so that a continuous chart results.), because roll gaps between contracts would otherwise distort a pattern. At the start of the year, the patterns of all relevant markets are reviewed, determined algorithmically, ten years back. Interesting are patterns lasting on average about ten trading days, up to a month. With longer ones, you have to expect corrections. Over the ten-year period, the market should have moved in the direction of the seasonality in at least nine of the last ten years, and the evaluation is market-specific: a volatile market cannot be equated with a calm one.
A seasonality is one fundamental factor among several and, just like CoT data, not a pure entry trigger. What is sought are entries based on auction logic, with a chart-technical entry. Today Oliver also trades against a seasonality now and then when everything else speaks for a dream setup, which he would not have done a few years ago. For Oliver, seasonalities in commodities play a smaller role today than they did a few years ago.
Risk belongs in the plan
On risk, position size always stays very conservative, and Oliver has never leveraged massively, in day trading as in swing trading. His margin is rarely used up far. Because the risk per trade is small, he can have several positions open in parallel in the stock strategies.
“I think trading is a craft. Anyone who is interested and brings a little passion can learn it, up to the point where you earn money with it and are profitable,” says Oliver Sparing. Whether someone wants to live from it alone is a question of type. Oliver would not advise anyone to rely on trading alone too early in their career. A second source of income is entirely legitimate.
As a teacher, he enjoys the work because he can help others move forward. His coaches have all gone through his programme.
At the end, Oliver gives viewers this to take along: “Be patient. The path is worth it, but it can be quite long and rocky, and that is entirely normal. Make sure you stay at it with joy and stay in the demo account as long as possible to gather experience.” Trading has a lot to do with experience and with your own character.
What you can take away from the interview
- The place comes before the setup. First, you determine in the market analysis where institutional interest is likely to sit. Without this plan, a trade has no point of reference.
- The order book confirms the plan. At the level, it is not the mark alone that decides but what happens in the order book.
- Statistics show whether a setup works. Whoever has not confirmed for themselves that their approach has an edge will have a hard time psychologically.
- Data such as CoT and seasonality are a foundation. They give a starting position. The entry comes from the setup in the chart.
“What many do not want to admit at the beginning of their trading career is that, as traders, we are first and foremost mathematicians and statisticians.”
Oliver Sparing in the interview at Insider Trading (translated from German)
About the interview
The interview appeared on March 29, 2026 on the YouTube channel Insider Trading. It is held in German; on YouTube, you can switch on YouTube's subtitle translation. Everything stated here is Oliver's personal experience and assessment from the conversation. The channel points out that the video is not investment advice and that trading involves considerable risks. Oliver is also a guest with other partners; you can find all appearances on our guest appearances page.
What does a trading day in order flow day trading look like?
It starts with the market analysis: dark pools, SPAN data, options data and dealer hedging produce zones in which institutional interest is likely to sit. When the market comes to such a level, the order book is watched and confirmation of the plan is sought there.
Are CoT data alone enough for a trade?
Usually not. CoT data give a good fundamental starting position but no entry. For that, you need a setup that the market forms at the level, for example the breakout from a volume peak against the trend direction.
What software and data do you need for order flow day trading?
For order book data, you need live market data from the exchange and software such as Bookmap or Quantower in combination with a data feed. In practice, Oliver works with a combination of Bookmap and TradingView.
Is there trading around news releases?
Oliver steers clear of news around important US economic data. Shortly beforehand, market makers pull liquidity out of the order book; a few minutes after the release it comes back, and then he trades again.
