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Walls in the order book

A large resting order close to price is either a level that holds or a level whose break starts a move. The walls board collects them from every book the server is listening to live and sorts them by size.

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What the board shows

Market, side, size, distance from the mid and age — largest first. Size is the notional resting on the level; distance says how far the level sits from the middle of the book: minus below, plus above.

Two filters decide what you see at all: a minimum size and a maximum distance. A wall three percent from price and one three tenths of a percent away carry different weight, and the second filter exists precisely so they do not land in one list.

Age is half the meaning

An order that has stood for minutes and one that appeared a second ago read differently: how long size has stood near price is part of what it means.

A case of its own is the iceberg: a level refilled again and again, so far more trades through one price than it ever showed. Here the signal comes not from the order itself but from the mismatch between the size shown and the size traded.

Where the data comes from

Walls are visible only through live books, and not every exchange streams one — the board names the ones it is reading on itself. With no live books it says it is blind rather than saying there are no walls: an empty list and missing data are two different answers and must not be confused.

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