Indicator

Fathom Walls

Some levels hold, again and again. Spot the ones buyers or sellers keep defending.

On closed bars, finds a cluster of nearby extremes: highs or lows repeated within tickGrouping ticks, with no breakout beyond tickBreakoutMargin. The cells at the extreme must hold enough volume, dominated by one side. At most one signal per bar, always final. The computation restarts every week.

Identifier: liquidity-walls
Objects received: signal
Calculation: Since the start of the week
Historical cost: 1 unit per trade

The same params work in real time, on historical data and in exports. Any you leave out take their default value.

Subscribe message

{
  "t": "subscribe",
  "sub": "liquidity-walls",
  "instrument": "NQ.front",
  "indicator": "liquidity-walls",
  "params": {
    "minClusterVolume": 30,
    "minDeltaPercent": 40,
    "minPerBarVolume": 10,
    "minimumBars": 2,
    "nearnessBars": 100,
    "tickBreakoutMargin": 0,
    "tickGrouping": 4,
    "timeframe": 15
  },
  "mode": "live",
  "from": "live"
}

Parameters

As soon as a parameter differs from its default, the subscription counts as a custom configuration. A new value may require preparing a new calculation (status warming).

Parameter	Type	Default	Allowed values	Unit	Description
`minClusterVolume`	integer	`400`	0 to 10,000,000	contracts	Total volume the wall’s cells must exceed (threshold excluded).
`minDeltaPercent`	integer	`70`	0 to 100	%	Minimum share of the dominant side in the volume of the wall’s cells.
`minPerBarVolume`	integer	`100`	0 to 1,000,000	contracts	Minimum volume for a cell to count.
`minimumBars`	integer	`2`	2 to 100	bars	Minimum number of counted cells.
`nearnessBars`	integer	`20`	1 to 1,000	bars	Maximum age of an extreme in the cluster, in bars.
`tickBreakoutMargin`	integer	`1`	0 to 100	ticks	How far price may poke past the extreme of the bar cluster.
`tickGrouping`	integer	`1`	1 to 100	ticks	Depth of the wall below or above the extreme.
`timeframe`	integer	`60`	15 · 60 · 300	—	Bar duration in seconds: 15, 60 or 300.

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 complete

Signal of the closed bar barStartNs.

Format of the id: <barStartNs>. Each object is sent once, already complete (final: true).

Field	Type	Unit	Present	Description
`cells`	integer	—	always	Number of cells that qualify the wall.
`price`	integer	ticks	always	Extreme tested by the bar.
`side`	string · `buy` \| `sell`	—	always	`sell`: seller wall at the high; `buy`: buyer wall at the low.
`sideVolume`	integer	contracts	always	Volume of the dominant side in those cells.
`volume`	integer	contracts	always	Volume of the wall’s cells.

Calculation warm-up

The calculation starts over at the beginning of every week (Saturday 00:00 UTC). During the weekend close it keeps the state of the past week; objects still open are finalized on the first trade of the new week. If nobody is using your parameters yet, the server first recomputes the week since its start (status warming), then goes live (status live).

Historical data follows the same rules: a query over a past period returns exactly what the real-time stream published.

Example messages

Messages received with the subscription parameters above. Over WebSocket, each message also carries sub and cursor.

Final version

{
  "t": "upsert",
  "id": "1790217915000000000",
  "final": true,
  "ts": "1790217934086470651",
  "data": {
    "price": 122988,
    "side": "sell",
    "volume": 72,
    "sideVolume": 60,
    "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.

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": {
      "type": "integer",
      "default": 400,
      "minimum": 0,
      "maximum": 10000000,
      "description": "Total volume the wall’s cells must exceed (threshold excluded)."
    },
    "minDeltaPercent": {
      "type": "integer",
      "default": 70,
      "minimum": 0,
      "maximum": 100,
      "description": "Minimum share of the dominant side in the volume of the wall’s cells."
    },
    "minPerBarVolume": {
      "type": "integer",
      "default": 100,
      "minimum": 0,
      "maximum": 1000000,
      "description": "Minimum volume for a cell to count."
    },
    "minimumBars": {
      "type": "integer",
      "default": 2,
      "minimum": 2,
      "maximum": 100,
      "description": "Minimum number of counted cells."
    },
    "nearnessBars": {
      "type": "integer",
      "default": 20,
      "minimum": 1,
      "maximum": 1000,
      "description": "Maximum age of an extreme in the cluster, in bars."
    },
    "tickBreakoutMargin": {
      "type": "integer",
      "default": 1,
      "minimum": 0,
      "maximum": 100,
      "description": "How far price may poke past the extreme of the bar cluster."
    },
    "tickGrouping": {
      "type": "integer",
      "default": 1,
      "minimum": 1,
      "maximum": 100,
      "description": "Depth of the wall below or above the extreme."
    },
    "timeframe": {
      "type": "integer",
      "default": 60,
      "enum": [
        15,
        60,
        300
      ],
      "description": "Bar duration in seconds: 15, 60 or 300."
    }
  }
}

Schema of the data field