I am continually on a quest to trade an edge. I created an order flow indicator similar to what is commonly called a delta oscillator. This provides nice divergence signals for CT trades (ie price up at an extreme, this indicator down, follow the order flow down). It fails miserably in a strong trend.
A well-documented premise is that Buy type orders are at the Ask and Sell type orders are at the Bid. This makes sense if you consider that a market order to Buy gets filled at the Ask and conversely a market Sell order gets filled at the Bid.
But, have you ever noticed what takes place when price rises into resistance or how about 2 points up from the start of a nice ES up move? The first time price hits one of these levels it would do so at the Ask. You just know there are limit orders to short there, thus in this situation, orders at the Ask would be Sells.
Also consider what happens at the 1st pullback of a strong up trend that pulls back to some nice FIB number. Again, you know there will be Buy limit orders down there and the first time that price level is hit it would be via the Bid value.
Thus here are few examples that are opposite of the well-documented premise.
So my question to the world is this...
How can one better categorize a trade that has just occurred as a Buy or a Sell?
Is that level of detail available to us retail traders?