Relative Liquidity Changes

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

Relative Liquidity Changes are visually represented at price levels and times when the defined relative liquidity size is reached or exceeded.

In this example single market participants place 150 lots or higher 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 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 of Relative 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 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 50 lots or more is placed at once in the orderbook in between 10 and 80 ticks of the current traded price.