24.4 million gold futures trades from CME: aggressor side, order book imbalance and options flow. None of the three predicted direction over 15–60 minutes.
Written by: WICKVIPERStudy ID: 07_ZAMKNIETE (CME TFI, CME OFI, OG flow)Published: Updated:
Drafted with AI tools. Editorial review: WickViper Team, 7 Oct 2026. Sources are listed at the end of the article.
Fails after costs
Short answer
Do exchange data (who buys aggressively, order book imbalance, options) predict gold over the next 15–60 minutes?
Not in our tests. The opportunity exists (moves after such signals are about 3 times the cost on micro contracts), but none of the three measures pointed the direction: options flow was right 49.8% of the time.
Data
GC and MGC futures (CME), OG options
Period
2024–2025 (9–12 month windows)
Sample
24.4 million trades; 2,552 book events; 873 options events
Costs
micro contract (MGC) costs, commission + spread
Key numbers
Trades in the sample
24.4 million
Trade flow — result
−0.35 USD per ounce
Book imbalance — result
−0.31 USD per ounce
Options flow — hit rate
49.8%
What we tested
Three independent ways to read what big players do on the exchange: (1) the excess of aggressive buyers over sellers in trades, (2) the order imbalance at the best bid and ask (a measure from academic research, Cont et al. 2014), (3) call minus put options flow. Horizon: 15–60 minutes.
Result
On micro contracts the opportunity is real: moves after extreme readings are about 3 times the cost, and after 60 minutes even 9 times. The problem is that no measure says which way. Trading with the flow and against it gave similarly negative results, with every quarter in the red. Options flow was right 49.8% of the time — a coin flip.
What it means for a trader
"I can see the big players buying" is not enough to know where price goes in the next hour. Aggressive buying often meets equally large supply.
Exchange data help understand when the market will move (volatility), but in our tests they do not say which way.
Questions
Does this mean order flow does not work?
These three popular measures did not predict direction in our 15–60 minute tests. More detailed data (book depth) is a separate question.
Where does the data come from?
Historical CME exchange data (trades, book, statistics) bought from a market data vendor.