Withdrawn vs executed liquidity

Withdrawn versus executed liquidity is the split, for a price level or a whole session, between resting size that left the book by cancellation and resting size that left by being traded. Computing it reliably requires an order-by-order feed, because aggregated depth only shows the total changing, not what each change was made of.

Senzoukria · Glossary · Updated September 2026

The two exits from the book

Every unit of resting size eventually leaves the book in one of two ways: it trades, or it is cancelled or modified away. Executed liquidity shows up in the trade feed and therefore in the footprint. Withdrawn liquidity shows up nowhere except in the book's own history. The ratio between the two, over a level or a session, describes how much of what was displayed was ever meant to be hit, in the narrow sense that it stayed until a market order arrived.

  • Executed: an order (or part of it) is matched against an incoming aggressor; a trade prints.
  • Withdrawn: an order is cancelled, or modified to another price or a smaller size, before matching.
  • Expired or rejected orders are edge cases the feed may or may not report distinctly.

Why aggregated depth is not enough

A market-by-price feed publishes one total per price. When that total drops from 200 to 120, the feed does not say whether 80 traded, 80 were cancelled, or 50 traded and 30 were cancelled. Matching book updates with trade records at the same price and time narrows the answer, but simultaneous adds and cancels at the same level remain indistinguishable. An order-by-order feed (MBO) reports each order's life, so withdrawal and execution can be counted directly. CME documents the difference between the two formats. Even then, dropped events make the picture partial, and a tool should say so rather than fill the gap.

Reading the split

  • A high withdrawn share at a level that price approached and left is consistent with size that was never tested; it says nothing about why.
  • A high executed share at a level where price stalled is the raw material of absorption.
  • The bid and ask sides can differ sharply within the same minute; reading them separately is more informative than a single ratio.
  • Normal market-making produces continuous withdrawals through requoting, so a large withdrawn share is the baseline, not an anomaly.

In Senzoukria

The Liquidity tracker panel on the Heatmap screen, enabled from the Liquidity section of the heatmap settings, shows for each price level what the liquidity did: withdrawn without trading, or executed, split by bid and ask. Its headline reports the share of the liquidity that left the book and never traded. The panel needs the order-by-order feed (MBO) and states so when no order events are available; it also reports the number of order events lost when the picture is partial. Its note is explicit that withdrawn includes normal market-maker requoting and that the panel does not call withdrawal deceptive.

Common mistakes

  • Inferring the split from an aggregated feed and presenting the result as an observation rather than an estimate.
  • Reading a high withdrawn share as evidence of manipulation. Requoting is the dominant source of cancellations.
  • Ignoring dropped events. A partial count with a stated gap is honest; a complete-looking count built on missing data is not.

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Frequently asked questions

Which data feed is needed to compute withdrawn versus executed liquidity?
An order-by-order feed, often called MBO or Level 3, which publishes each order's addition, modification, cancellation and fill. Aggregated market-by-price depth only shows totals per price, so the split can be estimated by matching with trades but not counted directly. The feed is a separate product with its own licensing.
What does a high withdrawn share mean for a trader?
Mechanically, it means much of the displayed size at those levels was not available when price arrived, so displayed depth overstated the resistance price would meet. It does not say who withdrew the size or why. Comparing the share across sessions or times of day is a more useful reading than judging a single number.

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