What Is the Liquidity Marker?
The Liquidity Marker shows you where significant changes of liquidity have occurred. It allows you to see larger player activity and indicates the precise moment that limit orders were added, pulled, or moved. It also shows you the amount of liquidity involved.
How It Works
The Liquidity Marker works in 2 modes:
Liquidity Markers: This shows price levels on the heatmap where the liquidity has significantly changed (X) within a 5 second period. You can adjust the sensitivity of the marker (X) by changing the threshold setting in the configuration panel.
Max Liquidity Levels: This shows where the largest liquidity is positioned. You can filter out low liquidity and select the number of markers to display on the chart.
Setting a relatively low threshold during volatile market conditions could result in many markers being displayed on the screen at once.
To avoid this situation, overlapping markers are automatically aggregated.
Aggregated markers display both the total liquidity and the number of aggregated markers. For example, 112/3 indicates that liquidity changed by 112 and there were 3 individual changes that were aggregated into one marker. By zooming in, you will see the aggregated marker separate into individual markers.
If both increasing and decreasing liquidity is enabled and markers of different types overlap, they will be aggregated into a marker with combined information about increasing and decreasing liquidity.
Video Walkthrough - How to use the Liquidity Marker
How to Install the Liquidity Marker
To install the Liquidity Marker, follow these steps:
Click here to download the Liquidity Marker.
Launch Bookmap version 7.3.0 b24 or newer and subscribe to at least one instrument.
Click the API plugins icon to open the API plugins configuration panel (or via Settings → API plugins configuration)
- In API plugins configuration, click the "Add" button and then select liquidity-marker-x.xx.jar.
- The Liquidity Marker indicator will appear in the list of available plugins. Click on the checkbox near the indicator's name to activate/deactivate the indicator for the instrument opened.
How to Configure the Liquidity Marker
The Liquidity Marker is configurable for each instrument separately.
Choose Your Mode
At the top of the settings panel you can switch between liquidity modes.
Liquidity Markers: This shows price levels on the heatmap where the liquidity has significantly changed (X) within a 5 second period.
Max Liquidity Levels: This shows where the largest liquidity is positioned.
Liquidity Markers Mode
The display threshold allows you to set the minimum liquidity change required, within a 5 second period, to display a marker.
For example, setting the display threshold to 40 means that in order to display a marker, the liquidity must change by more than 40, at the same price level, within 5 seconds.
The 'Auto calculate' button automatically calculates the threshold based on your 'Number of makers to display' settings and the active heatmap timeline. If the active heatmap timeline is too small for the calculation, markers will be calculated for up to the last 30 minutes.
We recommend that you experiment with the threshold until you achieve the desired results. Market conditions, instrument type, and zoom level can all determine the threshold setting you use.
Number of Markers to Display
Use this setting to restrict the maximum number of markers displayed on the chart.
For example, if set to 20, only the 20 biggest liquidity changes will be shown and some smaller liquidity changes will be hidden from your chart.
Note: when dragging or zooming your chart, the liquidity aggregation calculation can change. This could result in different liquidity markers being displayed.
Filter Markers Near BBO
This setting allows you to filter out and hide all the markers close to the BBO (Best Bid and Offer). It can be useful to reduce clutter caused by HFT activity.
Show Increasing/Decreasing Spikes
This setting allows you to display only increasing liquidity changes, only decreasing liquidity changes, or both increasing and decreasing liquidity changes.
You can set the marker color for each liquidity change type.
Max Liquidity Levels Mode
Markers will be shown on the chart only if above or equal to the value that is set. If there are no levels with higher than threshold liquidity, then no markers will be shown.
Number of Levels to Display
The setting indicates how many markers will be displayed. Only levels with the biggest liquidity will be highlighted.
You can set the foreground/background color.
Liquidity Marker FAQ
Why do I not see any icons on the screen?
Make sure you’re using depth data (the liquidity marker add-on won’t work with L1 data).
Check your configuration. You may need to:
- Decrease the threshold
- Adjust the maximum number of markers
- Decrease the number of levels near BBO
- Enable the checkboxes to see the decreases and increases.
- Zoom out by time and price
If you still don't see any icons, contact firstname.lastname@example.org.
Why do the icons change position and volume on chart drag/zoom?
It may be because of aggregation and the maximum number of markers restriction. To avoid it, please disable the maximum number of markers checkbox.
Why do I see differences in size between the heatmap and the liquidity marker add-on?
This can be because of the heatmap vertical smoothing/averaging. To compare the liquidity change events with the heatmap, disable the heatmap smoothing/averaging:
- Studies > Heatmap > set the vertical smoothing to 'None'.
Does the add-on work with an extended order book?
No, it does not support the extended order book, please disable this option.
What providers/instruments are supported?
All the providers/instruments with depth data (orderbook) are supported, there are no restrictions based on instrument type. Note, market data with a restricted number of depth levels may show false detections because new levels appear/disappear.
What are the recommended settings in 'Liquidity markers' mode?
Increase threshold to have less markers on the chart. Remaining markers will have bigger liquidity delta. Note that this should be adjusted per instrument. A similar effect can be achieved by decreasing "Number of markers to display". More markers will be filtered out from the screen and markers with bigger liquidity change will stay.
We recommend that you experiment with the display threshold until you achieve the desired results. Market conditions, instrument type, and zoom level can all determine the threshold setting you use.