# Fathom Walls Liquidity walls defending repeated highs or lows. ## What the indicator shows - A sell wall sits on a high tested several times, where aggressive buying stalls without breaking the level; the Fathom chart marks it with an S. - A buy wall sits on a low tested several times, where aggressive selling stalls; the Fathom chart marks it with a B. - In both cases, passive orders absorb the aggression: the level is defended. ## How to use it - A wall gives a level to trade for a bounce while it holds, or to watch for a breakout if it gives way. - Start with the looser settings described below (about one signal per hour on NQ), then tighten the criteria to keep only the clearest walls. Stricter criteria do not guarantee that a level will hold. ## How it is computed - The test runs when each `timeframe`-second bar closes. A bar is a candidate for a sell wall when its high reaches those of the two previous bars (its low, for a buy wall). - The tested group (cluster) starts at a recent candidate bar and gathers every later candidate up to the closed bar, at least `minimumBars` bars in all. Its first bar is less than `nearnessBars` bars old, and the closed bar does not exceed that bar’s high by more than `tickBreakoutMargin` ticks: a candidate that no longer meets these conditions is dropped. The closed bar’s high must be less than `tickGrouping` ticks from the group’s high. Groups are tried from the oldest candidate to the most recent. - A cell is one price level of one bar of the group, within the `tickGrouping` ticks below the group’s high (above its low, for a buy wall). - A wall is signaled when at least `minimumBars` cells each reach `minPerBarVolume` contracts, the cells’ total volume exceeds `minClusterVolume` and the share of aggressive volume stalling on the wall (`sideVolume / volume`) exceeds `minDeltaPercent`%; these last two thresholds are exclusive, so with `minDeltaPercent: 100` no wall is possible. Despite their names, `minimumBars` also counts cells, `minPerBarVolume` applies to each cell, and `minDeltaPercent` is not a delta but that share of aggressive volume. - The defaults are strict: on NQ or ES, they give few walls, sometimes none over a whole session. For about one signal per hour on NQ, set `minPerBarVolume: 10`, `minClusterVolume: 30`, `minDeltaPercent: 40` and `tickGrouping: 4`, keeping the other parameters at their defaults (these are the parameters of the examples). The stricter the parameters, the fewer the walls. ## When it updates - At most one signal per bar, sent final when the bar closes; the sell wall is tested first. - Weekly reset: at the Sunday reopen (6:00 pm New York time), the previous week’s highs and lows no longer count. - **Identifier**: `liquidity-walls` - **Objects received**: `signal` - **Historical cost**: 1 compute unit per trade ## Subscribe The same `params` work in [real time](https://fathomcharts.com/docs/websocket.md), on [historical data](https://fathomcharts.com/docs/history.md) and in exports. Parameters you omit take their default values. **Subscribe message** ```json { "t": "subscribe", "sub": "liquidity-walls", "instrument": "NQ.front", "indicator": "liquidity-walls", "params": { "minClusterVolume": 30, "minDeltaPercent": 40, "minPerBarVolume": 10, "minimumBars": 2, "nearnessBars": 20, "tickBreakoutMargin": 1, "tickGrouping": 4, "timeframe": 60 }, "mode": "live", "from": "live" } ``` These example parameters differ from the defaults: `minClusterVolume` `30` (default `400`), `minDeltaPercent` `40` (default `70`), `minPerBarVolume` `10` (default `100`), `tickGrouping` `4` (default `1`). This subscription therefore counts as a [custom configuration](https://fathomcharts.com/docs/limits.md#how-limits-are-counted); the Sandbox allows 1. ## Parameters As soon as a parameter differs from its default, the subscription counts as a [custom configuration](https://fathomcharts.com/docs/limits.md#how-limits-are-counted). To change a parameter, open a new subscription. | Parameter | Type | Default | Allowed values | Unit | Description | | -------------------- | ------- | ------- | ----------------------------------------------------------------------------------------------- | --------- | ----------------------------------------------------------------------------------------------------------------------------------------------------- | | `minClusterVolume` | integer | `400` | 0 to 10,000,000 | contracts | Total volume the wall’s cells must exceed (exclusive). | | `minDeltaPercent` | integer | `70` | 0 to 100 | % | Minimum share (exclusive) of the wall’s cell volume made up of aggressive volume stalling against it: buying for a sell wall, selling for a buy wall. | | `minPerBarVolume` | integer | `100` | 0 to 1,000,000 | contracts | Minimum volume for a cell (one price level of one bar of the wall) to count. | | `minimumBars` | integer | `2` | 2 to 100 | — | Minimum number of cells whose volume reaches `minPerBarVolume`, and of candidate bars in the cluster. | | `nearnessBars` | integer | `20` | 1 to 1,000 | bars | Maximum age of a high or low in the cluster, in bars. | | `tickBreakoutMargin` | integer | `1` | 0 to 100 | ticks | How far price may go past a high (or a low) before it stops counting for the wall. | | `tickGrouping` | integer | `1` | 1 to 100 | ticks | Depth of the wall, below the cluster’s high (or above its low); the tested bar must reach this band. | | `timeframe` | integer | `60` | `1` · `5` · `10` · `15` · `30` · `60` · `120` · `180` · `300` · `600` · `900` · `1800` · `3600` | — | Bar duration in seconds: from 1 second (`1`) to 1 hour (`3600`). | ## Objects received Each object keeps the same `id` from one update to the next. Its data is in the `data` field. Prices are in ticks: multiply them by the instrument’s tick size (`GET /v1/instruments`) to get points. ### `signal` (sent final) Signal of the finished bar that starts at `barStartNs`. `id` format: ``. Each object is sent once, final (`final: true`). | Field | Type | Unit | Present | Description | | ------------ | ------------------------ | --------- | ------- | ----------------------------------------------------------------------------------------------------------------------- | | `cells` | integer | — | always | Number of cells (one price level of one bar of the wall) whose volume reaches `minPerBarVolume`. | | `price` | integer | ticks | always | High (sell wall) or low (buy wall) of the bar that tests the wall. | | `side` | string · `buy` \| `sell` | — | always | `sell`: sell wall at the high; `buy`: buy wall at the low. | | `sideVolume` | integer | contracts | always | Aggressive volume that stalled on the wall, in those cells: buying (ask) for a sell wall, selling (bid) for a buy wall. | | `volume` | integer | contracts | always | Total volume of the wall’s cells. | ## Example messages Messages as the WebSocket sends them to the subscription above, taken from a real NQ session. [Historical data](https://fathomcharts.com/docs/history.md) returns the same objects, with the same `cursor`, without the `sub` field. **Final object** ```json { "sub": "liquidity-walls", "cursor": "20720.13976.0", "t": "upsert", "id": "1790217900000000000", "final": true, "ts": "1790217960047941663", "data": { "price": 122988, "side": "sell", "volume": 186, "sideVolume": 162, "cells": 4 } } ``` ## JSON schemas To validate or type your data: the JSON schemas of the parameters and of `data`, also available from `GET /v1/indicators`. The SDK can [generate types from them](https://fathomcharts.com/docs/sdk.md#indicator-types). **Parameters schema** ```json { "$schema": "https://json-schema.org/draft/2020-12/schema", "$id": "https://fathomcharts.com/schemas/liquidity-walls/params.json", "type": "object", "additionalProperties": false, "properties": { "minClusterVolume": { "description": "Total volume the wall’s cells must exceed (exclusive).", "type": "integer", "default": 400, "minimum": 0, "maximum": 10000000 }, "minDeltaPercent": { "description": "Minimum share (exclusive) of the wall’s cell volume made up of aggressive volume stalling against it: buying for a sell wall, selling for a buy wall.", "type": "integer", "default": 70, "minimum": 0, "maximum": 100 }, "minPerBarVolume": { "description": "Minimum volume for a cell (one price level of one bar of the wall) to count.", "type": "integer", "default": 100, "minimum": 0, "maximum": 1000000 }, "minimumBars": { "description": "Minimum number of cells whose volume reaches `minPerBarVolume`, and of candidate bars in the cluster.", "type": "integer", "default": 2, "minimum": 2, "maximum": 100 }, "nearnessBars": { "description": "Maximum age of a high or low in the cluster, in bars.", "type": "integer", "default": 20, "minimum": 1, "maximum": 1000 }, "tickBreakoutMargin": { "description": "How far price may go past a high (or a low) before it stops counting for the wall.", "type": "integer", "default": 1, "minimum": 0, "maximum": 100 }, "tickGrouping": { "description": "Depth of the wall, below the cluster’s high (or above its low); the tested bar must reach this band.", "type": "integer", "default": 1, "minimum": 1, "maximum": 100 }, "timeframe": { "description": "Bar duration in seconds: from 1 second (`1`) to 1 hour (`3600`).", "type": "integer", "default": 60, "enum": [ 1, 5, 10, 15, 30, 60, 120, 180, 300, 600, 900, 1800, 3600 ] } } } ``` **`data` field schema** ```json { "$schema": "https://json-schema.org/draft/2020-12/schema", "$id": "https://fathomcharts.com/schemas/liquidity-walls/data.json", "title": "signal", "type": "object", "additionalProperties": false, "properties": { "cells": { "description": "Number of cells (one price level of one bar of the wall) whose volume reaches `minPerBarVolume`.", "type": "integer" }, "price": { "description": "High (sell wall) or low (buy wall) of the bar that tests the wall.", "type": "integer" }, "side": { "description": "`sell`: sell wall at the high; `buy`: buy wall at the low.", "type": "string", "enum": [ "buy", "sell" ] }, "sideVolume": { "description": "Aggressive volume that stalled on the wall, in those cells: buying (ask) for a sell wall, selling (bid) for a buy wall.", "type": "integer" }, "volume": { "description": "Total volume of the wall’s cells.", "type": "integer" } }, "required": [ "price", "side", "volume", "sideVolume", "cells" ] } ```