Flow Against the Wall: When Volume Meets Resting Liquidity

In shortWe put executed volume hitting the resting wall on the opposite side into one study and asked how the pieces relate, which one leads, and what the combination predicts. Same boundary as always: it speaks about size, not side.

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Narrated walkthrough · plays from YouTube when you press play.

① The pieces, measured separately

This study looks at executed volume hitting the resting wall on the opposite side. Before combining anything we show each component on its own scale, per coin — otherwise a composite hides which part is actually doing the work.

② How the pieces relate

Cross-correlation between the components, averaged over coins. The strongest pairs are buy volume vs sell volume +0.52; the sell wall vs sell volume +0.18; the sell wall vs the buy wall +0.17. Numbers near zero matter as much as high ones: they say the two quantities carry independent information and can be combined without simply repeating each other.

③ Which one moves first

Lagged correlation answers the ordering question: when one component shifts, does the other follow, and after how long? Profiles that peak away from zero lag indicate a lead-follow relationship rather than a coincidence.

④ What the combination predicts

The same volatility sweep as in every study, now for the combined view: link strength against the size of the next move across horizons, per coin. As everywhere else, the usable signal sits at the short end and concerns magnitude.

⑤ The 2×2: thin vs thick, quiet vs busy

Splitting the market into four cells — flow low/high against the wall thin/thick — gives the cleanest statement of the interaction. Mean absolute move per cell: low/thin: 0.0099, low/thick: 0.0093, high/thin: 0.0139, high/thick: 0.0139. The gap between the busy and quiet rows is the effect; the gap between thin and thick columns is what the wall adds on top of it.

⑤ Where it peaks

The best window per coin for the combined reading.

⑥ Impact per unit

Price impact per +1σ of each component, side by side — useful to see which piece carries the mechanical push and which is merely correlated with it.

⑦ States and transitions

Labelled states for the combined reading, and how they hand over to one another.

⑧ Memory of the combination

Autocorrelation of the combined reading by timeframe — the same stickiness we see in every single feature, preserved after combining.

⑨ Extremes

How far above normal the extremes of this combination run.

Research, not financial advice.

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