TradeFinder for Bookmap

Absolute Liquidity Changes

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

Example

Absolute liquidity in TradeFinder
Absolute Liquidity Changes are visualized at price levels and times when the defined liquidity size is reached or exceeded.

Here, 421 and 402 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.

Differences between Absolute and Relative Liquidity Changes

Difference between absolute and relative liquidity
The example shows the DOM level 4759 of ES. Resting limits are, in total, 253 lots (2) and relative to that 109 lots were added by a single market participant (1).

In this example the market or multiple market participants accumulated 253 lots on price level 4759 (2). The absolute liquidity on that price level is 253 lots. One single market participant however placed 109 lots by himself on that price level (1) - the relative liquidity change at that time is 109 lots.

Settings

Absolute liquidity settings
Settings of Absolute Liquidity Change in TTW-LiquidityTracker module
Enable Checkbox
Enable the checkbox to enable the plot on the trading 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.
Trigger Liquidity
This parameter defines the minimum liquidity that must be added/subtracted within the orderbook to display a 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 setting example, a user will get an alert on their chart when a Absolute Liquidity of 500 lots or more is accumulated in the orderbook in between 1 and 15 ticks of the current traded price.