Documentation
Data Feed Documentation
Interpreting Order Flow, CVD, and Liquidity Anomalies.
⚠️ CRITICAL DISCLAIMER
This is an analytical data feed for observing quantitative market structures. Algorithmic outputs are raw data points, NOT financial advice. Analyzing high-volatility data involves inherent risk. Do not trade based solely on these metrics.
1. Interpreting Liquidity Cascades
When volatility spikes, forced position closures create mechanical buying or selling pressure. The algorithm tracks two types of cascading events:
- 🟥 LONG CASCADE (FLUSH): The market experienced a rapid drop. Traders positioned long had their stops triggered, creating a forced selling anomaly. Algorithmic limit orders often absorb this mechanical selling.
- 🟩 SHORT CASCADE (SQUEEZE): The market experienced a rapid spike. Traders positioned short had their stops triggered, creating a forced buying anomaly. Algorithmic participants often distribute into this mechanical buying.
2. Anatomy of the Alert
💰 Volume Impact
The total USD value of the forced market orders. The algorithm only alerts on massive statistical spikes, discarding ambient noise.
🌊 Order Velocity
How many distinct orders were executed during the cascade. "30 orders" indicates a violent chain reaction of retail stops being hit. "1 order" indicates a single large participant being forced out.
📊 CVD (Cumulative Volume Delta)
CVD tracks the net difference between aggressive market buying and market selling.
- If price is dropping but CVD is positive, it means passive limit orders (absorption) are aggressively absorbing the panic selling.
- If price is dropping and CVD is deeply negative, it means genuine aggressive market selling is driving the move.
3. The Flow Verdict
The algorithm synthesizes all data into a final verdict:
- 🔴 Stop-Hunt Exhaustion: Forced closures are driving the move while overall Open Interest is dropping. This often precedes a short-term reversal as the aggressive flow exhausts itself.
- 🟢 Limit Absorption: A cascade occurred, but CVD divergence indicates algorithmic limit orders are actively absorbing the selling pressure (or distributing into the buying pressure). High conviction data point.
- 🚀 Trend Initiation: Open Interest is rapidly increasing alongside the volume spike. This indicates aggressive new positions are entering the market. Do not fade this flow.