Xtrade Absorption
Big aggressive orders hitting a price that does not move means a passive sponge is absorbing them — effort-vs-result divergence, drawn as zones with an honest lifecycle.
Data: Trades + depth. MBO optional — enables realtime iceberg attribution, degrades gracefully without it.
Screenshots coming soon
What it does
Absorption is the signature of a large passive participant quietly taking the other side: aggressive market orders keep arriving (effort), yet price barely moves (result). Xtrade Absorption keeps a rolling 60-second per-tick window on the aggressor battle and fires a zone only when the effort/result ratio ranks extreme AND the volume itself is a z ≥ 1.5 outlier — two gates, so random noise never draws.
Buy-side absorption prints a SUPPLY wall above; sell-side absorption prints a DEMAND pad below, in three strength tiers (Warm / Hot / Extreme). Every zone lives a real lifecycle — FRESH → ARMED → TESTING → HELD / BROKEN — and broken zones stay on the chart as faded corpses, because the side that lost there may now be trapped. On MBO feeds, iceberg detection flags zones hiding a reloading order (realtime only; history degrades gracefully).
Backed by: Wyckoff effort vs result; Cont, Kukanov & Stoikov (2014), J. Financial Econometrics 12(1):47
- ✓Effort/result divergence detection: dual gate of ratio percentile ≥ p90 and volume z ≥ 1.5
- ✓SUPPLY / DEMAND zones in three strength tiers — Warm, Hot, Extreme
- ✓Full lifecycle tracking: FRESH → ARMED → TESTING → HELD / BROKEN, corpses kept on screen
- ✓MBO iceberg attribution flags zones with a reloading hidden order (realtime only)
- ✓Optional alerts on break (the break IS the signal) and on new Extreme zones
FAQ
What does a zone tell me?
A DEMAND pad means heavy selling was absorbed without price falling — someone is quietly buying. A SUPPLY wall is the mirror image. Whether the zone holds on retest (HELD) or fails (BROKEN) is the actionable part.
What data does it need?
Trades and depth on any instrument. Iceberg attribution needs an MBO feed (Rithmic without aggregation, or Bookmap Data) and runs realtime-only; without MBO everything else works unchanged.
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Trading futures and other financial instruments involves substantial risk of loss. Xtrade Absorption is an informational and educational tool, not investment advice. Past performance is not indicative of future results. All sales are final and non-refundable.