Liquidity tracker Pro

Technical details:

• Download the addon’s jar file here.
• In Bookmap click Settings -> Addons -> Add, and select the jar file

Description:

Liquidity tracker (LT) is a tool for traders to adjust their strategy with the market liquidity and its evolution over time. Its main features are:

• Smooth representation of the Bid and Ask liquidity in the entire market depth with higher weights assigned to closer price levels (it computes the entire market depth weighted with configurable exponentially decaying weights) Liquidity imbalance
• Filter the market depth orders by their size. This allows to distinguish (presumably) “smarter” larger orders which belong to more informed traders from the rest of the liquidity that consists of smaller orders (see more details below)
• No lag. Instant computation and display of each update whenever it happens (no bars, etc) Quick historical re-computation. When settings are changed by the user, it will displays the results on all the data collected since instrument subscription
• High performance. LT processes millions of market data events per second on a regular laptop. This allows to recompute the indicator instantly whenever user changes its settings

Currently, the order size filter can be used only with CME data by Rithmic

Tips and tweeks

In many cases while the general liquidity imbalance is flat, the imbalance between large orders is very well noticable and may indicate a kind of ‘alignment’ of intentions of larger traders. Images LT-03 vs LT-04 and LT-05 demonstrate such a case around the time 15:00. Without the order size filter the bid size reaches x2 times of ask size. But after filtering out orders below size 5 or 10, this ratio becomes x10. This indicator doesn’t imply that the price will always bounce from larger liquidity. It’s a tool that presents an essential information, not a decision maker. There are many other ways to use it not covered in this description, for instance:

• You can use both min and max order size filter to account only the orders of specific order size (e.g., perhaps these are your orders of a particular size 42)
• You can set a high value to the market depth parameter, e.g. “1e6” (1 million) so that effectively all levels will be summed with uniform weight 1 and see the total size of the entire market depth. Notice, however, that the result may mislead because of two factors:
  • Most non-crypto exchanges set price range limits per instrument that determines where the orders are allowed to be sent, for instance, between 2000 and 4000. Therefore, naturally, when price moves up, the sum of all Sell (Ask) orders is expected to decrease and the sum of all Buy (Bid) orders — to increase. This is expected if the order book on both sides is completely uniform, identical. In reality, it’s not, but this effect adds up to the resulting view
  • The USD worth of orders at lower prices is lower that of those at higher prices