Are fleeting orders a form of spoofing?

Not by themselves. Short-lived orders are a normal by-product of algorithms that reprice as the market moves. Spoofing requires the intent to cancel before execution in order to mislead, which the order's lifetime alone does not show.

Why does the same heatmap look calmer on one data source than another?

Because data sources publish the book at different rates and in different forms. A source that aggregates or samples the book hides orders that appear and disappear between two updates, so flickering liquidity is only as visible as the feed allows.

Fleeting orders (flickering liquidity)

Fleeting orders are limit orders canceled very shortly after being placed, often within a second or two, typically by algorithms that reprice continuously. On a DOM or heatmap they appear as size that flickers in and out of the book; whether they are seen at all depends on how often the feed publishes the book.

Senzoukria · Glossary · Updated September 2026

Definition

Academic studies of electronic order books, notably Hasbrouck and Saar's work around 2009, drew attention to fleeting limit orders: orders canceled within seconds of submission, often without ever trading. They blur the traditional line between liquidity providers and liquidity takers, since a fleeting order can be an attempt to trade at a better price that is withdrawn as soon as it fails, or a quote that is simply repriced as the market moves.

Why the feed decides what you see

An order-by-order feed publishes every add and every cancel, so each fleeting order is visible with its lifetime.
An aggregated feed publishes the total size per price; an order added and canceled between two updates may never appear.
A book sampled every 100 milliseconds catches some fleeting orders at random and misses others, which makes the same level look stable on one feed and flickering on another.
Depth and trades may be stamped at different moments, so a flicker next to a trade is not necessarily its cause.

A worked example

Over one minute, an offer of 300 contracts appears three ticks above the best ask three times, each time for about 400 milliseconds, and never trades. On an order-by-order feed that is three orders, each with a measured life. On a feed sampled every 100 milliseconds, it may appear as three short bands or not at all. None of the three views says why the orders were placed and removed.

How to treat them

Weigh displayed size by how long it has stayed: a level present for minutes says more than one present for a fraction of a second.
Do not read a flicker as spoofing; repricing algorithms produce it all day.
Compare pulls with executions at the same level before concluding anything.

In Senzoukria

The heatmap's Liquidity lens records the observed life of each displayed level, with a sparkline of the displayed quantity over time, its peak, the trades at the level and its net increases and decreases, and it notes that aggregated quantities do not identify individual orders, cancellations or intent. It also measures the offset between the depth and trade clocks. The 'Pulls tint (%)' control in the heatmap's 'Colour mode' settings shades size withdrawn without trading, and on Rithmic's order-by-order feed the Liquidity tracker separates size withdrawn from size executed at each level over the last 30 seconds.

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Frequently asked questions

Are fleeting orders a form of spoofing?: Not by themselves. Short-lived orders are a normal by-product of algorithms that reprice as the market moves. Spoofing requires the intent to cancel before execution in order to mislead, which the order's lifetime alone does not show.
Why does the same heatmap look calmer on one data source than another?: Because data sources publish the book at different rates and in different forms. A source that aggregates or samples the book hides orders that appear and disappear between two updates, so flickering liquidity is only as visible as the feed allows.

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