bitmex-recipe-track-orderbook-depth

name	bitmex-recipe-track-orderbook-depth
description	Monitor order book depth and bid-ask imbalance for liquidity signals.

Order Book Depth Tracker

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.

Prerequisites

• No API key required.
• jq and bc installed.

Steps

1. Snapshot the top 25 levels

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}]}'

2. Calculate bid/ask imbalance from snapshot

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)"

3. Stream live order book updates

bitmex ws orderBookL2_25:XBTUSD \
  | jq 'select(.action == "update" or .action == "insert") | .data[:3]'

4. Detect large wall insertions

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.

5. Periodic imbalance polling loop

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

Notes

• Imbalance is a leading indicator but can be spoofed. Combine with recent trade flow from bitmex market trades.
• Rate limit is 300 req/5 min — polling every 10 seconds on one symbol uses ~30 req/5 min, safely within limits.