Liquidity wall

Recognising a wall

There is no fixed number that makes a level a wall. The comparison is relative: size at one price against the sizes at nearby prices on the same side, and against what is typical for that contract at that time of day. A level holding several times the size of its neighbours stands out on any display. On a heatmap, that relative size is what the colour scale encodes; on a DOM, the reader compares the printed quantities by eye or with a threshold that highlights large orders.

• A bid wall sits below the market and offers to buy; an ask wall sits above and offers to sell.
• A wall can be a single order or many independent orders that happen to rest at the same price; aggregated depth cannot tell which.
• Round numbers, prior session highs and lows, and option strikes often attract resting size, so walls cluster there without implying a single intent.

Three things a wall can do

• Get executed: trades print at the level and the displayed size shrinks accordingly. The footprint shows heavy volume at that price.
• Get pulled: the size leaves before price reaches it, with no matching trades. Only a book history shows this.
• Get refilled: trades print, the size drops, and new size appears at the same price. Repeated refills are consistent with an iceberg but do not prove one.
• Which of the three happened is a matter of matching book updates with trade records at the same price and time, not of looking at the wall's size.

Wall versus absorption

A wall is a state of the book: size is displayed. Absorption is an event in the tape: aggressive volume trades into a level and price fails to move through it. A wall that is never tested shows no absorption; absorption can occur at a level that never looked like a wall because the size was refilled faster than it was consumed. Reading the two together, wall on the heatmap and traded volume on the footprint, is how the guides on this site suggest keeping both honest.

In Senzoukria

On the Heatmap screen, walls are the brightest bands, and the Low floor (lots) setting cuts small resting levels so that walls stand alone. The DOM ladder drawn on the chart and the DOM profile panel show the same level; the DOM profile's Minimum size setting hides levels smaller than a threshold, so above zero the profile stops showing the whole book and starts showing only the walls. The DOM panel's Large orders threshold highlights outsized quantities in the ladder. The heatmap's Liquidity lens panel records the life of a selected level in an Inspector and a Timeline, with events labelled Wall observed, Refill candidate, Absorption candidate and Sweep candidate, and a note that aggregated (MBP) changes do not identify individual orders, cancellations or intent.

Common mistakes

• Placing an order in front of a wall as if the wall were a floor. The wall can be cancelled the moment your order fills.
• Calling a level a wall from one snapshot. Size that appeared a second ago and size defended for twenty minutes look identical on a DOM.
• Reading a wall's size in lots without knowing the contract; the same number means different things on ES and on a micro contract.