Liquidations Indicator Development
Liquidations in futures markets are forced closing of positions when the liquidation price is reached. Large liquidations create cascading price movements and are one of the best indicators of market stress. Visualizing this data gives traders a real advantage.
Data Sources for Liquidations
Exchanges publish liquidation data through API and WebSocket:
| Exchange | WebSocket | Historical Data |
|---|---|---|
| Binance | wss://fstream.binance.com/ws/!forceOrder@arr | /fapi/v1/allForceOrders |
| Bybit | WebSocket topic: liquidation | /v5/market/liquidation |
| OKX | WS channel: liquidation-orders | /api/v5/public/liquidation-orders |
| Bitmex | WebSocket: liquidation | REST: /api/v1/liquidation |
Important note: exchanges only show liquidations that passed through their liquidation engine. The actual scale of liquidations may be larger if the position was closed before liquidation (auto-deleveraging).
Aggregators like Coinglass and CoinGecko Derivatives collect data from multiple exchanges. Their APIs can be used as an additional source.
What the Indicator Visualizes
Bubble chart on price chart — each liquidation is displayed as a circle on the chart, size proportional to volume in USD. Long liquidations — red, short liquidations — green. Allows you to instantly see where mass forced closings occur.
Liquidation heatmap — heat map of accumulated liquidations by price levels. Shows zones of liquidation concentration — these levels often become support/resistance or "magnets" for price.
Liquidation bar — histogram below the price chart with breakdown of long/short liquidations over time. Peaks on the histogram coincide with movement extremes.
Cumulative liquidation volume — total volume over 24h/1h rolling window. Sharp increase signals panic or short squeeze.
Analytical Metrics
- Long/Short liquidation ratio — ratio of long liquidations to short liquidations. Value > 2:1 indicates bear dominance.
- Liquidation price clusters — zones where future liquidations are concentrated (based on open interest distribution). Data taken from Bybit and Binance liquidation map API.
- Cascade probability — if liquidations lead to price movement in the direction of liquidations, this triggers the next wave. The indicator can identify the start of a cascade.
Predictive Part: Liquidation Map
Some exchanges (Bybit, Binance) publish data about open positions by leverage ranges. From this data you can build a map of potential liquidations — at what price levels positions will be liquidated when price moves up or down.
This is one of the most valuable tools: market makers and large players use these zones as targets for movements.
Alerts and Integration
Alert system triggers on:
- Single liquidation > N USD (configurable threshold)
- Total liquidations > M USD in last 5 minutes
- Abnormal long/short liquidation ratio
Notifications via Telegram Bot, Discord Webhook or push notifications in the app.
Technical stack: Python for data collection (asyncio + websockets), ClickHouse for storage, React + Recharts/D3.js for visualization, Redis for real-time aggregations. Optional integration with TradingView through custom datafeed.