Why does resiliency matter if the sweep is already over?

Because it decides what the next orders will face. If the book refills quickly, further aggression meets fresh liquidity and the move is likely to stall; if the gap persists, the next market orders travel further, and small flow can extend the move.

Is resiliency the same as absorption?

They are related. Absorption describes a level that holds while aggressive volume trades into it, often because size is replenished as it is hit. Resiliency describes how the book recovers after a level has been consumed. One is refilling during the attack, the other after it.

Order book resiliency

Order book resiliency is the speed and extent with which depth and prices recover after a large trade or sweep has consumed liquidity. In a resilient book, the levels that were emptied refill quickly and the price drifts back; in a fragile one, the gap left by the sweep persists and the next orders move price further.

Senzoukria · Glossary · Updated September 2026

One of three dimensions of liquidity

Albert Kyle's 1985 paper described liquidity through three properties: tightness, the cost of turning a position around quickly, measured by the spread; depth, the size needed to move price; and resiliency, the speed at which prices recover from an uninformative shock. Spread and depth can be read from a single snapshot of the book. Resiliency needs time: it is what happens after the shock.

How to observe it

Before a sweep, note the size on the first few levels of the swept side.
After the sweep, time how long those levels take to return to their usual size.
Watch whether the mid-price drifts back toward its level before the sweep, which is temporary impact fading.
Note which side refills: new offers above a buy sweep, or new bids following price up, tell different stories.

A worked example

Before a buy sweep, the first three ask levels hold 450 contracts in total. The sweep consumes 380. Two seconds later the three levels nearest the new best ask hold 150 contracts; ten seconds later, 420. The book was resilient: liquidity came back within seconds. On another occasion, the same levels still hold 120 contracts a minute later and each small order moves price another tick. That book is fragile, and the move that followed the sweep met little resistance.

In Senzoukria

The heatmap shows resiliency as a picture: after a band is eaten by trades, new size either appears at the surrounding prices or leaves a dark gap. The Liquidity lens records sweep candidates, when aggressive trades walk through adjacent levels quickly, and for each level a sparkline of displayed quantity over time with its net increases, which is the refill measured. The DOM ladder shows cumulative depth from the spread, so the total size near the market can be compared before and after the event.

Common mistakes

Judging resiliency from one snapshot. It is a rate, measured over seconds.
Reading refills as defense of the level; they can come from market makers requoting who will pull again.
Comparing resiliency across times of day without accounting for the normal depth of each period.

In the same section

This page in other languages

Français

Frequently asked questions

Why does resiliency matter if the sweep is already over?: Because it decides what the next orders will face. If the book refills quickly, further aggression meets fresh liquidity and the move is likely to stall; if the gap persists, the next market orders travel further, and small flow can extend the move.
Is resiliency the same as absorption?: They are related. Absorption describes a level that holds while aggressive volume trades into it, often because size is replenished as it is hit. Resiliency describes how the book recovers after a level has been consumed. One is refilling during the attack, the other after it.

Keep reading

Strategy researchTest a trading strategy, from observation to challenge rulesDefine an observation, question it with the copilot, write a rule and explore costs, drawdown and fictional challenge limits in an interactive example.Quant · Start hereQuant trading for beginners: from idea to backtestDefine a testable rule, choose suitable data and evaluate later periods after costs.Order flow · HubOrder flow trading: the complete guideThe hub. What order flow is, what it shows — aggression, delta, imbalance, absorption, liquidity — and the tools that read it, each linked to a full guide.