Liquidity Recovery Half Life
Quick Reference
| Property | Value |
|---|---|
| Dimension | stability |
| Category | order_flow |
| Version | v1.0 |
| Output Column | recovery_half_life |
Half-life of liquidity recovery after stress 鈥?time for depth to recover from drop
Formula
half_life(depth_drop_rate)
CDM Inputs
| Column | CDM Table | Description |
|---|---|---|
depth_drop_rate | cdm_* | CDM source table |
Parameters
This FeatureType has no configurable parameters.
Output
Column: recovery_half_life
Estimated half-life of liquidity recovery in milliseconds
Market Intuition & Trading Rationale
Liquidity Recovery Half Life is a order_flow FeatureType in the stability dimension. It captures half-life of liquidity recovery after stress 鈥?time for depth to recover from drop
Liquidity recovery half-life measures how quickly the order book replenishes after a depth drop: half_life(depth_drop_rate). When a large aggressive order consumes multiple price levels, the book needs time to refill. The recovery half-life tells you how long that takes 鈥?short half-lives (milliseconds) mean liquidity providers are active and the market is resilient; long half-lives (seconds to minutes) mean providers are hesitant and the market remains fragile after each large trade.
This is a critical metric for execution algorithms. If the recovery half-life is 100ms, you can execute aggressively knowing the book will refill almost immediately. If it's 30 seconds, each aggressive trade leaves a lasting scar on the book 鈥?you should execute passively or in smaller slices.
Usage Cases
- Execution pacing: recovery_half_life < 500ms 鈫?aggressive execution OK. 500ms鈥?s 鈫?moderate pacing. > 5s 鈫?passive execution only; each aggressive order damages the book for seconds.
- Liquidity stress severity: During stress events, recovery_half_life spikes as liquidity providers flee. Monitor for sudden increases 鈥?a jump from 200ms to 5s signals a liquidity crisis. Defer all non-urgent execution.
- stability context: Used in
liquidity_stresspack 鈥?recovery_half_life distinguishes between transient stress (fast recovery) and persistent liquidity drought (slow recovery), informing whether to pause or fully exit positions.
YAML Definition
name: liquidity_recovery_half_life
description: Half-life of liquidity recovery after stress 鈥?time for depth to recover
from drop
category: order_flow
dimension: stability
version: v0.9.0 (Beta)
required_inputs:
- depth_drop_rate
output_column: recovery_half_life
output_description: Estimated half-life of liquidity recovery in milliseconds
tags:
- stability
- recovery
- liquidity
parameters: {}
formula: half_life(depth_drop_rate)