Absolute Liquidity – Meaning and Setting

Absolute Liquidity changes #

Definition #

Absolute Liquidity Changes are changes to resting lot sizes in the orderbook, where market participants accumulate large sizes on single price levels.

Strategy #

Large absolute liquidity in the orderbook shows a high interest of market participants that can attract prices or act as support/resistance.

License #


Example #

Absolute Liquidity Changes are visualized at price levels and times when the defined liquidity size is reached or exceeded. Here, 203 lots were reached at that time. The default signal is a colored square – green for changes on Bid, red for changes on Ask – which the user can customize.

Difference between absolute and relative Liquidity changes #

The example shows the DOM levels 4410.75 and 4500.75 of the ES (S&P 500 Future). Resting limits total 40 and 400 lots on the price levels at this point. 

The 40 lots consist of single-limit orders placed by different market participants: The Absolute Liquidity is 40 lots.
The 400 lots consist of smaller single orders and one large order of 350 lots: The Relative Liquidity added on that price level is 350 lots, and the Absolute Liquidity is 400 lots.

Settings #

Settings window for Absolute Liquidity Changes

Enable the alerts to display Absolute Liquidity Changes on the chart.

Alert design
Click the Edit Button to change the alert’s color, symbol, size, and position.

Trigger Liquidity
This parameter defines the minimum liquidity in the orderbook to display an Absolute Liquidity Change signal.

DOM levels
This parameter defines the “DOM level from” and “DOM level to” based on the current price level you want to consider for Absolute Liquidity Changes.

In this example, a user will get an alert on their chart when absolute liquidity of 200 lots or more is reached on a price level / DOM level between 1 and 50 ticks of the current traded price.