Liquidity added and removed
Updated
Most market-data feeds tell you what traded. Far fewer tell you what was posted and then taken away without ever trading. Liquidity added and removed measures exactly that: the size flowing into and out of the resting book across a window. It is a column BlackForge computes and, as far as our survey of the market found, no other vendor ships.
What is liquidity added and removed?
Liquidity added is the resting order size placed into the book during a window. Liquidity removed is the gross size that left it, which is mostly cancellations, because trades at the same price within half a second are netted out and move the figure by under a third of a percent. Read together, they show whether the book grew or shrank.
How it is measured
Computing this means maintaining a reconciled live order book and watching every change to it, not just the trades. When resting size appears at a level, that is liquidity added. When resting size disappears, that is liquidity removed. BlackForge reports four columns: bid and ask liquidity added, and bid and ask liquidity removed, each per pair per closed five-minute window.
The subtle part is what counts as removed. Size can leave a level two ways: it was cancelled, or it traded. To keep removed close to a clean cancellation measure, BlackForge nets out trades at the same price within a 500 millisecond window. That netting was measured to move the figure by under 0.3% of the total, so removed is essentially all level-decrease value, dominated by cancellations rather than fills.
What it looks like in real data
Here is the bid side of BTCUSDT on binance, the size added and the size removed in the latest window, with the ask-side removed shown for contrast. All three are in quote value, so the bars are directly comparable.
| Label | Value |
|---|---|
| Bid liquidity added | 305,669,783.996 |
| Bid liquidity removed | 283,946,974.486 |
| Ask liquidity removed | 346,011,496.066 |
What it tells you, and what it does not
Added and removed measure how much the resting book churned in the window, and in which direction the balance tipped. When added exceeds removed, the book grew over those five minutes; when removed exceeds added, it shrank. That is a measurement of book turnover, and it is invisible in any feed that only reports the trades and the final book state.
It is not a detector of anything. A window with a lot of removed liquidity is a window where a lot of resting size left the book, and the honest statement stops there. Reading intent into it, calling it spoofing or accumulation, is adding a judgement the number does not carry. BlackForge publishes the measured flow; the interpretation is not baked into the column.
Related columns
The four columns are in the bookMicro family: bidLiqAdded, bidLiqRemoved, askLiqAdded, askLiqRemoved. They sit next to the level-lifetime and flicker columns, which measure the same book churn from the angle of how long individual levels survive. All require a maintained live book and are computed per pair per closed five-minute window across nine spot venues.
See the full metric reference, or browse the glossary.
Is liquidity removed the same as cancellations?
Almost, by design. Removed is the gross decrease in resting size across the window. Size can leave because it was cancelled or because it traded, so BlackForge nets out trades at the same price within 500 milliseconds. That netting moves the figure by under 0.3%, so removed is dominated by cancellations, though it is measured as level decrease rather than labelled cancellations one by one.
Can I compare liquidity added and removed across exchanges?
No. Each venue streams book updates at a different granularity, sometimes differing by orders of magnitude, so the same nominal value reflects different underlying activity on different exchanges. The measurement is only comparable within one venue over time, or across pairs on the same venue. Comparing venue against venue by raw value would be misleading.
Is this the maker/taker liquidity idea?
No. Maker and taker liquidity is exchange fee terminology: a maker posts resting liquidity and a taker removes it by crossing the spread, which affects the fee you pay. Liquidity added and removed here means the quote-value size entering and leaving the resting book across a window, regardless of anyone fee schedule. The two concepts share a word and nothing else.
Who else publishes liquidity added and removed?
Across the vendors we surveyed, none ships it as a column. It requires maintaining a reconciled live book and joining every book change to the trade tape, which is more than most feeds do. Vendors commonly report depth snapshots and trades; the gross flow of size into and out of the book across a window is the part BlackForge adds.