Aggressive Orders

Aggressive orders are market orders that are executed immediately against the best available prices in the limit order book. Unlike limit orders, which wait to be filled at a specific price, aggressive orders prioritize execution speed over price certainty.

These orders consume liquidity from the book, moving the price in the direction of the trade. They are typically used by traders who need to enter or exit positions quickly, regardless of the cost.

In the context of market microstructure, the flow of aggressive orders is what drives price discovery and moves the market. Frequent and large aggressive orders can lead to significant slippage and volatility.

Analyzing the ratio of aggressive buy orders to aggressive sell orders is a key indicator of market momentum. It represents the active, taker-side of the market.