Liquidity, order books and liquidations
Identify what a heatmap measures, reconcile walls with trades, calculate slippage and evaluate sweeps without assuming a guaranteed reversal.
What you will practise
Turn a visible liquidity feature into a specific, falsifiable execution or market-structure question.
Before you start
- Understand market versus limit orders and stop execution.
- Know the difference between traded volume and open interest.
Course outline
- 1
Distinguish order-book liquidity from liquidation heatmaps
Separate resting orders, modelled liquidation levels and recorded forced closes. Read units, coverage and display settings before interpreting a bright band.
8 min - 2
Track whether an order-book wall traded or disappeared
Reconcile displayed depth with executed trades and net additions. Learn why a shrinking wall does not prove a fill, a spoof or a known trader's intent.
8 min - 3
Calculate execution VWAP by walking order-book depth
Fill a hypothetical market order across several price levels. Calculate average execution price, slippage in basis points and the effect of disappearing depth.
8 min - 4
Evaluate a liquidation cascade without calling a bottom
Separate forced-close evidence from a reversal hypothesis. Compare continuation and reclaim scenarios after price and open interest fall together.
8 min - 5
Plan a liquidity sweep and reclaim as a testable setup
Define the reference level, sweep, reclaim, invalidation and costs before entry. Compare a valid reclaim with continued acceptance beyond the level.
8 min
Educational material. Examples do not establish a profitable strategy. Trading costs, gaps and liquidation can produce losses beyond a planned stop.