Aggressor Side Inference When Venues Don’t Tell You
Knowing whether a trade was buyer- or seller-initiated is central to order-flow analysis. How to classify trades when the feed does not label them.
Every trade matches a passive order resting in the book with an aggressive order that crossed the spread. The aggressive side reveals who demanded immediacy, which makes it the foundation of order-flow imbalance, toxicity measures, and many short-horizon signals.
When the side is published
Most major crypto venues include the taker side in their public trade feeds. Even then, validation is worthwhile: side conventions differ between venues, and some report the maker side rather than the taker side.
When it isn’t
- Quote rule: a trade above the prevailing mid is classified as buyer-initiated, below as seller-initiated.
- Tick rule: a trade at a higher price than the previous trade is a buy, lower is a sell; unchanged prices inherit the last classification.
- Lee–Ready: apply the quote rule, and fall back to the tick rule for trades exactly at the mid.
Where venues do publish the side, it provides a ground truth for measuring how accurately these rules perform — a useful calibration for any dataset where inference is unavoidable.
This publication is provided for informational purposes only and does not constitute investment, legal, or tax advice, or an offer or solicitation to buy or sell any asset. Live figures are computed from third-party public market data and may be delayed, incomplete, or inaccurate.
