Liquidity
Trader's Glossary · Order flow
Definition. How easily an instrument can be bought or sold without significantly affecting its price. It shows in, among other things, the depth of the order book and the size of the spread.
How it works
The more orders resting at successive levels and the tighter the spread, the greater the liquidity. Liquidity changes over the day: it's highest in the regular session and lower overnight and just before data releases.
Example
A minute before an important release, some orders disappear from the book. Even small aggression can then move price several levels.
What to watch out for
Low liquidity means a risk of slippage and sharp moves. Micro contracts like MYM are less liquid than their full-size counterparts.
♛ The Hetman Terminal is part of Club: live for Dow Jones from the Bishop plan, 6 markets (Dow Jones, S&P 500, Nasdaq, gold, crude oil, Bitcoin) and automatic detection of order flow events from the Rook plan. A session on the ♛ Hetman Index (training, simulated data) in the full panel comes with the Knight plan and above. Compare the plans →
See also
DOM (order book), Spread, Slippage.
More in Hetman Capital Club
You'll find the full explanation with graphics, examples and exercises in the 📖 Order flow encyclopedia space, and its use in the live market in the 🔴 Live Room. Both are available to Club members (in Polish).
Educational content, not investment advice.