Large Orderbook Statistics
Most orders are noise; the few very large ones carry information. Large-order statistics track outsized resting walls and outsized executed prints — the footprints of players big enough to move the market.
Resting Size: Walls and Icebergs
A wall is a resting order many multiples of typical book depth. Walls act as short-term barriers — but their information value depends on behavior: walls that persist and absorb are genuine supply or demand; walls that cancel on approach were placed to be seen, not filled.
Icebergs invert the logic: execution reveals them. When the tape prints far more volume at one price than the book ever displayed, hidden size is being worked — usually patient institutional flow.
Executed Size: Blocks and Sweeps
Single prints far above typical trade size are blocks; a rapid series across price levels is a sweep. Sweeps through multiple levels signal urgency — someone paying for immediacy — and often precede continuation rather than reversal.
Clusters of large prints at one level that repeatedly hold mark accumulation or distribution zones worth drawing on a chart.
Key Points
Persist-and-absorb walls are real interest; cancel-on-approach walls are spoofs. Judge by what happens when price arrives.
Executed volume at a level vastly exceeding displayed depth means hidden size is being worked there.
Market orders clearing several levels at once express urgency — informative in the direction of the sweep.
FAQ
Neither by default. A large bid wall that absorbs selling is genuine demand; one that cancels as price falls was manipulation. The wall's behavior under fire is the signal.
Relative size is what matters: an order several multiples of the pair's typical depth-band or median trade size. $1M is huge on an altcoin book and routine on BTC.