Latent Liquidity Pressure
Quick Reference
| Property | Value |
|---|---|
| Dimension | regime |
| Category | market_regime |
| Version | v0.9.0 (Beta) |
| Output Column | latent_pressure |
Latent liquidity pressure - estimates hidden buying/selling pressure not yet visible in the order book
Formula
decay_accum(((order_book_depth * trade_flow) / (1.0 + cancellation_rate)), alpha, 0)
CDM Inputs
| Column | CDM Table | Description |
|---|---|---|
order_book_depth | cdm_* | CDM source table |
trade_flow | cdm_* | CDM source table |
cancellation_rate | cdm_* | CDM source table |
Parameters
| Parameter | Type | Default | Description |
|---|---|---|---|
alpha | float [0.0, 1.0] | 0.9 | Decay factor for pressure state |
Output
Column: latent_pressure
Estimated latent (hidden) liquidity pressure
Market Intuition & Trading Rationale
Latent liquidity pressure estimates hidden supply/demand: decay_accum(depth × trade_flow / (1 + cancellation_rate), alpha). High trade flow + low cancellations + deep books = genuine directional pressure. High cancellations + shallow books = visible liquidity is not real (probing/spoofing). This captures the quality of visible depth — is the liquidity committed or fleeting?
Usage Cases
- Fake liquidity detection: High latent_pressure + high cancellation_rate → visible depth is misleading. Low pressure + low cancellations → visible depth is genuine.
- Hidden demand: Rising latent_pressure with stable visible depth → hidden directional pressure building. Prepare for a move when the pressure releases.
- Execution quality: Trade when latent_pressure confirms your direction — genuine liquidity supports your execution.
YAML Definition
name: latent_liquidity_pressure
description: Latent liquidity pressure - estimates hidden buying/selling pressure
not yet visible in the order book
category: market_regime
version: v0.9.0 (Beta)
dimension: regime
status: Pre-release
required_inputs:
- order_book_depth
- trade_flow
- cancellation_rate
output_column: latent_pressure
output_description: Estimated latent (hidden) liquidity pressure
parameters:
alpha:
type: float
description: Decay factor for pressure state
required: false
default: 0.9
constraints:
min: 0.0
max: 1.0
formula: decay_accum(((order_book_depth * trade_flow) / (1.0 + cancellation_rate)),
alpha, 0)