The order book is a snapshot of intentions, and intentions change

People read the book as if it were a commitment. It isn't. Resting size can be pulled instantly and frequently is, especially the size that looks most reassuring. What I've found useful is not the level itself but how it behaves under pressure: does size refresh when it gets hit, or does it vanish as price approaches? Those two look identical in a static snapshot and mean opposite things. So if you're using book data, make sure you're measuring behavior over time rather than reading a photograph.
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MLcurious· Jul 2026 ago
"Behavior over time rather than a photograph" is the clearest explanation of book features I've read.
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IndicatorSkeptic· Jul 2026 ago
And this is why static book imbalance as a signal disappoints so many people.
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