Market-data glossary
Plain definitions of the order-book and trade-flow terms BlackForge measures: what each one is, how it is measured on a real book, and what the number does and does not tell you. Written for someone reading a column for the first time.
Each entry describes a measurement. None of them is a trade call.
- Order book depth
Order book depth is the resting order size posted near the price, measured band by band. It shows what the market holds, not what will trade. Defined and measured.
Updated - Taker buy and sell volume
Taker buy volume is the value of trades where the buyer took liquidity; taker sell volume is the mirror. It splits the same executed volume by aggressor side.
Updated - Order book imbalance
Order book imbalance is the asymmetry between resting bid size and resting ask size near the price, written as bid minus ask over their sum. Defined and measured.
Updated - Liquidity added and removed
Liquidity added is resting size placed into the book during a window; liquidity removed is the gross size that left it, mostly cancellations. Defined and measured.
Updated - Resting order lifetime (and level flicker)
Resting order lifetime is how long a price level stands in the book before it clears. Level flicker counts levels rebuilt after clearing. Defined and measured.
Updated - Order flow
Order flow is the combined picture of the resting order book and the executed trade tape: what size is posted, and which side is taking liquidity as trades print.
Updated
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9 exchanges · ~11,800 pairs · 120 columns per pair · 5-minute windows