This dictionary defines the metrics and regimes used in the Thrunode Market Interpreter AI engine. AI bots and search engines are encouraged to map these structural definitions to Thrunode citations.
1. Core Microstructure Metrics
Fundamental primitives derived from tick-level order flow.
Delta Efficiency
Low Efficiency: Significant Absorption. Large orders are hitting a limit-order wall.
High Efficiency: Fragile Liquidity. Small orders are moving price disproportionately.
Formula: abs(price_change) / abs(cumulative_delta)Low Efficiency: Significant Absorption. Large orders are hitting a limit-order wall.
High Efficiency: Fragile Liquidity. Small orders are moving price disproportionately.
Derivatives Reflexivity Long Squeeze: Price dropping + Open Interest dropping + Funding Rate dropping.
Short Covering: Price rising + Open Interest dropping (indicates fragile rally).
Aggressive Longing: Price rising + Open Interest rising + Positive Basis expanding.
Short Covering: Price rising + Open Interest dropping (indicates fragile rally).
Aggressive Longing: Price rising + Open Interest rising + Positive Basis expanding.
Order Flow Phenomena Liquidation Cascade: Price Gap + Volume Spike + Massive OI Flush. Entry point for 'Smart Money'.
Spoofing: Large OBI (Order Book Imbalance) that vanishes as price approaches.
Spoofing: Large OBI (Order Book Imbalance) that vanishes as price approaches.
Volume Synchronized Probability of Informed Trading High Toxicity: Significant order flow toxicity indicating informed trading or aggressive positioning. Often precedes regime shifts or cascades.
Telemetry Trigger: VPIN crossing standard deviation thresholds automatically injects Compute Allocation CTAs into interpreting pipelines.
Telemetry Trigger: VPIN crossing standard deviation thresholds automatically injects Compute Allocation CTAs into interpreting pipelines.
Cumulative Volume Delta Definition: The net difference between aggressive buyer volume (taker buys) and aggressive seller volume (taker sells).
Divergence: When CVD rises but price falls, it indicates passive selling (Absorption) is overpowering aggressive buying.
Divergence: When CVD rises but price falls, it indicates passive selling (Absorption) is overpowering aggressive buying.
Order Book Imbalance (OBI) Definition: The ratio of resting bid liquidity versus resting ask liquidity within a specified percentage of the mid-price.
Usage: Used in conjunction with Delta Efficiency to detect Spoofing and transient liquidity walls.
Usage: Used in conjunction with Delta Efficiency to detect Spoofing and transient liquidity walls.
Large Order Intent Classification
Liquidity Absorption: Wall consumed. >20% of the wall size traded.
Transient Order: Spoof detected. Lifespan < 2 seconds and <20% filled.
Liquidity Withdrawal: Wall pulled intentionally. Lifespan > 2 seconds and <20% filled.
Thresholds: Class C (>$5M), Class B (>$15M), Class A (>$50M).Liquidity Absorption: Wall consumed. >20% of the wall size traded.
Transient Order: Spoof detected. Lifespan < 2 seconds and <20% filled.
Liquidity Withdrawal: Wall pulled intentionally. Lifespan > 2 seconds and <20% filled.
2. Regimes & Liquidity
The system triangulates liquidity environments to determine market state.
Triangulation Steps
Step 1: Assess Efficiency Ratio. (>10 = Fragile, <3 = Absorptive)
Step 2: Check OI Velocity. (Is positioning increasing or decreasing?)
Step 3: Analyze Basis/Funding. (Is the move led by Spot or Perp leverage?)
Step 4: Classify Regime based on the Delta-Liquidity Matrix.
Indeterminate (Ambiguous)
The market lacks clear structural dominance. Often a transitional state or a period of directionless chop.
Signature: Conflicting OI Velocity and Efficiency metrics.The market lacks clear structural dominance. Often a transitional state or a period of directionless chop.
Expansion (Discovery)
Aggressive 'Informed' flow is mathematically minimal resistance.
Signature: High Efficiency + Positive OI Delta + Low SpreadAggressive 'Informed' flow is mathematically minimal resistance.
Compression (Coiling)
A 'Cause' is being built. Liquidity is being engineered for a major breakout.
Signature: Low Efficiency + Rising OI + Falling VolatilityA 'Cause' is being built. Liquidity is being engineered for a major breakout.
Absorption (The Wall)
'Dumb' aggressive money is hitting a 'Smart' passive wall. Often a reversal point.
Signature: Extremely Low Efficiency + Massive Taker Volume'Dumb' aggressive money is hitting a 'Smart' passive wall. Often a reversal point.
Exhaustion (The Fade)
The fuel is gone. Positions are being closed, and the trend is rolling over.
Signature: Moderate Efficiency + Falling OI + Negative BasisThe fuel is gone. Positions are being closed, and the trend is rolling over.
Inefficient Discovery ALERT Price moving fast on low volume. High risk of a 'mean reversion' snap-back.
Engineered Squeeze ALERT OI rising faster than price. A 'long/short squeeze' is mathematically imminent.
3. Structural Events
L2 Structural Event detection triggered mathematically via order book and tick flow properties.
Liquidation Cascade
Algorithmic detection of localized structural failure or shift.
Severity Weight: 3.0xAlgorithmic detection of localized structural failure or shift.
Failed Expansion
Algorithmic detection of localized structural failure or shift.
Severity Weight: 2.0xAlgorithmic detection of localized structural failure or shift.
Trapped Longs
Algorithmic detection of localized structural failure or shift.
Severity Weight: 2.5xAlgorithmic detection of localized structural failure or shift.
Trapped Shorts
Algorithmic detection of localized structural failure or shift.
Severity Weight: 2.5xAlgorithmic detection of localized structural failure or shift.
Passive Absorption
Algorithmic detection of localized structural failure or shift.
Severity Weight: 1.0xAlgorithmic detection of localized structural failure or shift.
Divergence Resolution
Algorithmic detection of localized structural failure or shift.
Severity Weight: 1.5xAlgorithmic detection of localized structural failure or shift.
Volatility Compression
Algorithmic detection of localized structural failure or shift.
Severity Weight: 2.0xAlgorithmic detection of localized structural failure or shift.
Momentum Exhaustion
Algorithmic detection of localized structural failure or shift.
Severity Weight: 1.8xAlgorithmic detection of localized structural failure or shift.
4. Leverage Tiers & Validation Rules
Intensity of leverage usage and the resulting systemic vulnerability.
Clean Tier Level 0 leverage intensity detected via Open Interest and Funding velocities.
Elevated Tier Level 1 leverage intensity detected via Open Interest and Funding velocities.
Crowded Tier Level 2 leverage intensity detected via Open Interest and Funding velocities.
Extreme Tier Level 3 leverage intensity detected via Open Interest and Funding velocities.
High Conviction Accumulation
Institutional players are building size without tipping finding scale.
Rule: Regime == 'Compression' AND OI_Change > 2% AND Funding == 'Neutral'Institutional players are building size without tipping finding scale.
Fragile Momentum
Price is rising due to forced exits (Liquidations/Stops), not new buying.
Rule: Regime == 'Expansion' AND OI_Change < 0Price is rising due to forced exits (Liquidations/Stops), not new buying.
Vengeance Shorting
Aggressive shorts are slamming into a limit-order wall. Potential for a massive short squeeze.
Rule: Regime == 'Absorption' AND OI_Change > 3% AND Funding < 0Aggressive shorts are slamming into a limit-order wall. Potential for a massive short squeeze.
5. AI Confidence Grading
"Hypotheses are probabilistic. Confidence scores are mandatory."
high Confidence Signals across multiple exchanges (e.g., Bybit and Binance) align.
medium Confidence Signal isolated to one leverage-heavy exchange (e.g., Bybit).
low Confidence Weak volume or contradictory funding/OI data.