Drain Out of the Sell Wall: Liquidity Leaving Before the Move

We isolated drain out of the sell wall — one feature, no partner, no composite — and measured what it predicts second by second across six coins. The answer is the size of the next move, never its side.

① The shape of drain out of the sell wall

Before asking what drain out of the sell wall predicts, we look at what it is: how the quantity is distributed across its own range, per coin. The profile is heavily skewed — long stretches of very little, punctuated by rare, very large readings. Every threshold later in the study is a quantile of this shape, not a round number picked by hand.

② What it predicts, across horizons

Rank correlation of drain out of the sell wall with the size of the next move peaks at the fastest horizon (+0.37 on BTC at 5s) and decays monotonically toward the daily scale (+0.07). Direction is a different story: the same sweep against signed returns tops out around 0.05. Size, yes; side, no.

③ Where each coin peaks

The best window differs by coin but always sits at the short end — 5s to 5s. Anything slower than that is reading yesterday's news.

④ Price impact per unit

Per +1σ of drain out of the sell wall, price moves by a fraction of a basis point, and the sign is not stable across bands. This is the quantitative version of 'it does not push price in a usable direction'.

⑤ What counts as normal

Normal levels of drain out of the sell wall grow by orders of magnitude from a second to a day, so 'high' is always relative to a window. This chart is the baseline every later threshold is measured against.

⑥ Memory

Autocorrelation of drain out of the sell wall starts at 0.29–0.45 at the finest scale and rises to 0.75–0.82 at intermediate windows. The quantity clusters in time: a busy minute follows a busy minute far more often than chance allows.

⑦ Where the seconds live

Most seconds carry almost no drain out of the sell wall; the interesting behaviour is confined to a thin tail. Working with means here would describe a market that does not exist.

⑧ How large the extremes get

A peak second of drain out of the sell wall runs many times above its own normal. That ratio is what makes threshold rules feasible at all — the extremes are unmistakable once the baseline is right.

⑨ Spike, normal, lull

Every moment gets labelled relative to its own baseline. The three states separate cleanly in volatility and poorly in direction — the same result the whole project keeps producing.

⑩ The states over price

The labelling drawn directly over a BTC price window: where drain out of the sell wall changes state, and what price does around it.

Research, not financial advice.

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