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Monitor order book depth and bid-ask imbalance for liquidity signals.
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| name | bitmex-recipe-track-orderbook-depth |
| description | Monitor order book depth and bid-ask imbalance for liquidity signals. |
Measure bid/ask quantity imbalance at the top of the book as a short-term directional signal. Heavy imbalance toward bids suggests buying pressure; heavy ask-side imbalance suggests selling pressure.
jq and bc installed.bitmex market orderbook XBTUSD --depth 25 -o json \
| jq '{bids: [.[] | select(.side=="Buy") | {price: .price, size: .size}],
asks: [.[] | select(.side=="Sell") | {price: .price, size: .size}]}'
BOOK=$(bitmex market orderbook XBTUSD --depth 10 -o json)
BID_QTY=$(echo "$BOOK" | jq '[.[] | select(.side=="Buy") | .size] | add')
ASK_QTY=$(echo "$BOOK" | jq '[.[] | select(.side=="Sell") | .size] | add')
TOTAL=$(echo "$BID_QTY + $ASK_QTY" | bc)
IMBALANCE=$(echo "scale=4; $BID_QTY / $TOTAL * 100" | bc)
echo "Bid imbalance: ${IMBALANCE}% (>70% = bullish signal, <30% = bearish)"
bitmex ws orderBookL2_25:XBTUSD \
| jq 'select(.action == "update" or .action == "insert") | .data[:3]'
bitmex ws orderBookL2_25:XBTUSD \
| jq 'select(.action == "insert") | .data[]
| select(.size > 5000000) | {side, price, size}'
Walls above 5 million contracts on one side often act as temporary price magnets or blockers.
while true; do
BOOK=$(bitmex market orderbook XBTUSD --depth 10 -o json)
BID=$(echo "$BOOK" | jq '[.[] | select(.side=="Buy") | .size] | add')
ASK=$(echo "$BOOK" | jq '[.[] | select(.side=="Sell") | .size] | add')
IMBALANCE=$(echo "scale=2; $BID / ($BID + $ASK) * 100" | bc)
echo "$(date -u +%H:%M:%S) Bid imbalance: ${IMBALANCE}%"
if (( $(echo "$IMBALANCE > 70" | bc -l) )); then
echo "Strong bid pressure detected"
elif (( $(echo "$IMBALANCE < 30" | bc -l) )); then
echo "Strong ask pressure detected"
fi
sleep 10
done
bitmex market trades.