Liquidity

Liquidity, in orderflow, is the resting limit-order size displayed in the order book at each price: the quantity a market order can trade against without moving to the next level. It is a displayed, revocable state of the book, not a promise that the size will still be there when price arrives.

Senzoukria · Glossary · Updated September 2026

What the word means in orderflow

In everyday finance, liquidity describes how easily an asset can be bought or sold. On a footprint or DOM screen the word is narrower: it is the size of passive limit orders resting at each price on the bid side (buy orders below the market) and on the ask side (sell orders above it). A market order consumes that resting size level by level. When a level is emptied, the best price moves and the spread widens until new orders arrive.

Two properties follow from this definition. Liquidity is passive, because a limit order waits to be hit rather than crossing the spread. And it is revocable, because the owner can cancel or modify it at any time before it trades. Both properties are what make displayed liquidity informative and unreliable at the same time.

Liquidity versus volume

  • Volume is what already traded: an execution has a buyer, a seller and a timestamp, and it cannot be undone.
  • Liquidity is what is offered to trade: it exists only in the book, and part of it may leave without ever printing.
  • A footprint chart is built from volume; a DOM ladder or a liquidity heatmap is built from the book. The two datasets can disagree at the same price and time, and that disagreement is often the useful information.
  • A trade-only archive cannot rebuild past liquidity. An order that appeared and was cancelled leaves no trace in the tape.

Aggregated and order-by-order views

Most feeds publish aggregated depth (market-by-price): one total per price per side, with a limited number of levels. An order-by-order feed (MBO) publishes each order's life, so additions, cancellations and executions can be told apart at the order level. CME documents both formats. The aggregated total is enough to draw a heatmap; establishing what a change in that total was made of requires the order-level feed or, at least, matching book updates with trade records at the same price and time.

In Senzoukria

Resting liquidity is drawn on the Heatmap screen as bands of colour per price through time, with the DOM ladder and the DOM profile beside it showing the same depth level by level. The heatmap settings group these controls under a Liquidity section; the Low floor (lots) setting hides resting levels below a chosen size, and the Side colouring setting can paint bid and ask liquidity in two colours. The ladder header shows Depth received, the number of levels the feed actually publishes on each side, so a narrow feed is not confused with a thin book. Market data is billed by the provider; the heatmap needs a depth feed for the contract shown.

Common mistakes

  • Treating a large displayed size as support or resistance before price has tested how the level behaves.
  • Reading a bright band as executed volume. Resting size is an offer; the footprint shows what actually traded.
  • Assuming a missing level means zero liquidity. Blank columns or a truncated depth feed are absences of observation, not empty books.
  • Comparing liquidity across venues or contracts with different tick sizes or units without normalising them.

This page in other languages

Frequently asked questions

Is liquidity the same as order-book depth?
Depth is the set of price levels the feed publishes on each side, and liquidity is the size resting at those levels. A book can be deep in levels and thin in size, or shallow in levels with heavy size near the best price. The two describe different dimensions of the same book.
Can I see liquidity from a trades-only data source?
No. Trade prints record executions only. Building a heatmap or a DOM requires the book and its updates, which is a separate dataset with its own licensing and coverage. A historical heatmap needs book data recorded for that period; missing intervals are unknown, not empty.
Why does liquidity vanish when price approaches it?
Because a limit order can be cancelled at any moment. The owner may requote a tick away, hedge elsewhere, or have intended never to trade. A DOM snapshot shows the cancellation, not the reason for it, so a vanished wall is an observation to record rather than a verdict on intent.

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.