Relative Liquidity – Meaning and Settings

Relative Liquidity Changes #

Definition #

Relative Liquidity Changes occur in an instrument when individual market participants place large limit orders at a single price level in the orderbook.

Strategy #

Significant relative liquidity changes in the orderbook suggest a high interest in a big market player at a price level that can attract prices or act as support/resistance.

License #


Example #

Relative Liquidity Changes are visually represented at price levels and times when the defined relative liquidity size is reached or exceeded. Here, one market player places 300 lots in the orderbook. The default signal is a colored dot – green for changes on Bid, red for changes on Ask – which the user can customize.

Differences 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 are, in total, 40 lots and 400 lots on the price levels at this time. 

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 Relative Liquidity Changes

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

Alert design
Click on the Edit Button to change the color, symbol, size, and position of the alert for the Bid and Ask signal when they are placed and removed.

Trigger Liquidity
This parameter defines the minimum liquidity that must be added/subtracted within the orderbook to display a Relative 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 Relative Liquidity Changes.

In this setting example, a user will get an alert on their chart when a Relative Liquidity of 200 lots or more is placed at once in the orderbook in between 8 and 80 ticks of the current traded price.