Pulled liquidity (cancellations)

How a pull differs from a fill

Resting size can leave a price level in two ways. It can be executed, in which case a trade prints at that price and the footprint records volume there. Or it can be pulled, in which case the displayed total drops and nothing prints. The distinction is only visible when book updates and trade records are compared at the same price and the same time. A footprint alone cannot show a pull, because a cancelled order never traded; a DOM alone cannot show it either, because by the time you look, the size is simply gone.

• Full pull: the level's displayed size goes to zero, or to the small residual of other participants.
• Partial pull: the size shrinks without matching executions; the remainder stays displayed.
• Requote: the size disappears at one price and a similar size appears a tick away within the same update. Aggregated depth shows two events; order-level data can show it was one order modified.

Why a vanished wall is ambiguous

The heatmap guide on this site titles a section on exactly this point. Displayed size may be executed, cancelled or replaced, and the aggregated total does not say which. Missing updates and aggregation also matter: a feed that publishes ten levels will show a wall vanish when it is simply pushed to the eleventh level by new orders closer to the market. A disappearing band therefore has several candidate explanations, and none of them is intent. The practical answer is to compare the book with the trade records before attributing the change, and to write down the outcome either way.

What a pull changes mechanically

• The next aggressive orders meet less resistance at that price, so the same market volume moves price further.
• Cumulative depth on that side drops, which alters any imbalance calculation built on it.
• A queue in front of your own resting order shortens, improving your fill priority but also removing the size that would have shielded it.

In Senzoukria

On the Heatmap screen, the Colour mode setting offers a Pulls tint, described as liquidity pulled without trading, and an Adds tint for the opposite case. The settings note that both are inferred from the aggregated book and never presented as an MBO observation. The heatmap's Liquidity lens panel keeps an Inspector and a Timeline for a selected level, with net increases, net decreases and trades at the level over the observed window, and labels aggregated-book changes as MBP inference rather than observed events. With an order-by-order feed, the Liquidity tracker panel counts size withdrawn against size executed and reports lost order events when the picture is partial.

Common mistakes

• Treating a pull as a non-event. The book changed, and the hole it leaves is where price can now travel.
• Calling every pull spoofing; requoting by market makers is the most common cause.
• Reading a wall pushed beyond the feed's depth limit as a cancellation.
• Counting a modification to a nearby price as a pull and an add, doubling the apparent activity.