Data Feed Documentation
Interpreting Order Flow, Multi-TF CVD, Open Interest & Orderbook Density.
1. Interpreting Liquidity Cascades
When volatility spikes, forced position closures create mechanical buying or selling pressure. The algorithm tracks two types of cascading events:
- 🟩 LIQ SHORT (SHORT SQUEEZE): Short positions are forced to close via market buy orders. Rapid price spike. Algorithmic participants often distribute or absorb into this mechanical buying.
- 🟥 LIQ LONG (LONG FLUSH): Long positions are forced to close via market sell orders. Rapid price drop. Algorithmic limit orders often accumulate or absorb this mechanical selling.
2. Anatomy of the Alert (Pipeline Metrics)
💥 Impact & Vol %
The estimated total USD value of forced orders and its relative percentage against the symbol's 5-minute trading volume. Highlights high-conviction events over ambient market noise.
⚡ Order Velocity
Execution frequency during the event (e.g. 4 orders / 7 sec [CASCADE ⚠️]). High velocity indicates a violent chain reaction of stop-loss executions, while single orders indicate an isolated institutional blowout.
🎯 Nearest Density (Orderbook Walls)
Proximity and volume of major limit order blocks in the orderbook (e.g. Buy $870.0K @ 4,367.55 | Sell $1.61M @ 4,400.00). Shows where institutional market makers have placed passive liquidity support or resistance.
3. Institutional Data Metrics
📈 Open Interest Delta — OI Δ (5m)
Tracks the net change in active open contracts over the last 5 minutes (+USD and %). Rising OI alongside volume spikes indicates new capital aggressive entry (trend continuation), while falling OI indicates position liquidation/exit (potential reversal).
📊 Multi-Timeframe CVD (1m / 5m / 15m)
Cumulative Volume Delta measures net aggressive market buy vs. sell volume across 1-minute, 5-minute, and 15-minute windows. Divergence between price direction and CVD points directly to institutional limit order absorption.
⚖️ Funding Rate & APR
Perpetual contract funding rate and annualized APR. Identifies retail positioning bias and structural swap premiums (Neutral, Bullish, or Overheated Bearish/Bullish sentiment).
4. Event Filtering & Feed Latency
The Whale Core pipeline processes tens of thousands of raw tick events every minute to isolate high-conviction setups:
- ✅ Filtered Signal Extraction: Indicates how many micro-events were processed and discarded (e.g.
Signal extracted from 102 filtered events) to deliver one actionable setup. - ⚠️ DELAYED (5 min) vs. VIP Zero-Latency: Free public channel alerts operate with a 5-minute delayed stream. Institutional subscribers and VIP members access the direct 0ms WebSocket pipeline and B2B API feed.
5. Interactive Live Order Book
Under every alert, you will find a 📊 Live Order Book & Analytics button. Clicking this triggers our backend to generate a real-time market snapshot delivered to your DMs in 3 seconds:
- Institutional Heatmap: Visualizes exact bid/ask walls (the top 3 liquidity clusters) and cumulative market depth.
- Long/Short Ratio: Real-time crowd positioning to anticipate short/long squeezes.
- CVD Divergence: A clear read on bullish/bearish algorithmic absorption.