LiquidityTails

LiquidityTails is a built-in TypeScript strategy from @tradejs/strategy-liquidity-tails.

It detects wick/tail liquidity zones, waits for retests, and trades reactions with a stop outside the retested zone.

Visual overview

The illustrations are schematic, not market data. Exact thresholds, confirmation rules, and risk parameters come from the active strategy config.

Entry Logic

1. Replays candles through createLiquidityTailsEngine(...).
2. Reads runtimeState.signal and current runtimeState.zones.
3. Skips until a liquidity-tail retest signal exists.
4. Selects LONG or SHORT side config from signal direction.
5. Builds a stop buffer from:
   • signal.atr * LIQUIDITY_TAILS_STOP_ATR_BUFFER_MULT
   • current price percent from LIQUIDITY_TAILS_STOP_BUFFER_PCT
6. Places the stop outside the zone:
   • long: below signal.zone.bottom
   • short: above signal.zone.top
7. Computes target from LIQUIDITY_TAILS_TARGET_R_MULT.
8. Sizes quantity from MAX_LOSS_VALUE / riskDistance, using the RISK_FEE_RATE, RISK_SLIPPAGE_BPS, and RISK_MARKET_IMPACT_BPS estimates.
9. Optionally reserves part of the risk budget for later scale-ins at improved retests.
10. Returns entry with liquidity-tail figures and liquidityTailsContext.

Entry codes:

• LIQUIDITY_TAILS_BUY_PRESSURE_RETEST
• LIQUIDITY_TAILS_SELL_PRESSURE_RETEST

Exits

When a position exists:

• LIQUIDITY_TAILS_INVALIDATION_EXIT when the configured directional invalidation policy is enabled.
• LIQUIDITY_TAILS_OPPOSITE_RETEST_EXIT when LIQUIDITY_TAILS_EXIT_ON_OPPOSITE_RETEST=true and the opposite retest appears.
• LIQUIDITY_TAILS_SCALE_IN_RETEST_EXIT when an intended addition retest should close instead.
• otherwise a qualifying improved retest can produce LIQUIDITY_TAILS_*_SCALE_IN until the configured addition count or basket risk budget is exhausted.
• otherwise POSITION_EXISTS.

Configuration keys

The keys are grouped by purpose. A listed _LONG or _SHORT key overrides the unsuffixed value for that direction.

Group	Keys	Purpose
Runtime and decision services	ENV, INTERVAL, MAKE_ORDERS, CLOSE_OPPOSITE_POSITIONS, BACKTEST_PRICE_MODE, AI_ENABLED, AI_MODE, MIN_AI_QUALITY, ML_ENABLED, ML_THRESHOLD	Select the runtime mode and candle interval, control order placement, and enable optional AI or ML decisions.
Shared indicators	MA_FAST, MA_MEDIUM, MA_SLOW, OBV_SMA, ATR, ATR_PCT_SHORT, ATR_PCT_LONG, BB, BB_STD, MACD_FAST, MACD_SLOW, MACD_SIGNAL	Set the periods used to build shared market context and signal filters.
Zone origin	LIQUIDITY_TAILS_ATR_LENGTH, LIQUIDITY_TAILS_ATR_MULT, LIQUIDITY_TAILS_MIN_WICK_RATIO, LIQUIDITY_TAILS_MIN_WICK_RATIO_LONG, LIQUIDITY_TAILS_MIN_WICK_RATIO_SHORT, LIQUIDITY_TAILS_WICK_DOMINANCE, LIQUIDITY_TAILS_WICK_DOMINANCE_LONG, LIQUIDITY_TAILS_WICK_DOMINANCE_SHORT, LIQUIDITY_TAILS_MIN_GAP, LIQUIDITY_TAILS_MIN_ORIGIN_VOLUME_REL20, LIQUIDITY_TAILS_REQUIRE_ORIGIN_BODY_ALIGNED	Define a qualifying wick, its ATR scale, directional dominance, spacing, volume, and body alignment.
Zone lifetime	LIQUIDITY_TAILS_MAX_AGE, LIQUIDITY_TAILS_KEEP_BROKEN, LIQUIDITY_TAILS_MAX_ENTRY_ZONE_AGE_BARS, LIQUIDITY_TAILS_MAX_ENTRY_ZONE_AGE_BARS_LONG, LIQUIDITY_TAILS_MAX_ENTRY_ZONE_AGE_BARS_SHORT	Control how long zones remain valid and whether broken zones stay available.
Retest geometry	LIQUIDITY_TAILS_REACTION_CLOSE_BEYOND_ZONE, LIQUIDITY_TAILS_REQUIRE_REACTION_BODY, LIQUIDITY_TAILS_MAX_RETEST_DISTANCE_PCT, LIQUIDITY_TAILS_MAX_RETEST_DISTANCE_PCT_LONG, LIQUIDITY_TAILS_MAX_RETEST_DISTANCE_PCT_SHORT, LIQUIDITY_TAILS_MIN_RETEST_AGE_BARS, LIQUIDITY_TAILS_MIN_RETEST_AGE_BARS_LONG, LIQUIDITY_TAILS_MIN_RETEST_AGE_BARS_SHORT	Define where the reaction closes and how near and how late a valid retest may occur.
Retest quality	LIQUIDITY_TAILS_MIN_ZONE_TOUCHES, LIQUIDITY_TAILS_MIN_ZONE_TOUCHES_LONG, LIQUIDITY_TAILS_MIN_ZONE_TOUCHES_SHORT, LIQUIDITY_TAILS_MAX_ENTRY_RETEST_ORDINAL, LIQUIDITY_TAILS_MAX_ENTRY_RETEST_ORDINAL_LONG, LIQUIDITY_TAILS_MAX_ENTRY_RETEST_ORDINAL_SHORT, LIQUIDITY_TAILS_MIN_REJECTION_EFFICIENCY_RATIO, LIQUIDITY_TAILS_MIN_REJECTION_EFFICIENCY_RATIO_LONG, LIQUIDITY_TAILS_MIN_REJECTION_EFFICIENCY_RATIO_SHORT, LIQUIDITY_TAILS_CLOSE_HOLD_BARS, LIQUIDITY_TAILS_CLOSE_HOLD_BARS_LONG, LIQUIDITY_TAILS_CLOSE_HOLD_BARS_SHORT	Require enough touches, limit the accepted retest number, and validate rejection efficiency and close persistence.
Target, stop, and exits	LIQUIDITY_TAILS_STOP_ATR_BUFFER_MULT, LIQUIDITY_TAILS_STOP_BUFFER_PCT, LIQUIDITY_TAILS_TARGET_R_MULT, LIQUIDITY_TAILS_TARGET_R_MULT_LONG, LIQUIDITY_TAILS_TARGET_R_MULT_SHORT, LIQUIDITY_TAILS_EXIT_ON_OPPOSITE_RETEST, LIQUIDITY_TAILS_EXIT_ON_INVALIDATION, LIQUIDITY_TAILS_EXIT_ON_INVALIDATION_LONG, LIQUIDITY_TAILS_EXIT_ON_INVALIDATION_SHORT, LIQUIDITY_TAILS_EXIT_ON_SCALE_IN_RETEST	Set stop and directional target distances and choose which retest or invalidation events close a position.
Position building	LIQUIDITY_TAILS_SCALE_IN_ENABLED, LIQUIDITY_TAILS_SCALE_IN_COUNT, LIQUIDITY_TAILS_INITIAL_RISK_FRACTION, LIQUIDITY_TAILS_SCALE_IN_MIN_IMPROVEMENT_ATR	Enable staged entries, set their count and initial risk share, and require an improved scale-in price.
Figures and side policy	LIQUIDITY_TAILS_MAX_FIGURE_ZONES, MAX_LOSS_VALUE, LONG.*, SHORT.*	Limit chart zones, set the loss budget, and configure each direction.

With deterministic AI_MODE: "gate", the current local gate requires broad participation among the five largest market assets and a low negative directional indicator reading. Missing required context rejects the entry.

Signal Payload

The strategy stores:

• additionalIndicators.liquidityTailsContext
• zone/entry/stop/target figures from buildLiquidityTailsFigures(...)
• one take-profit at the computed target

Common Skip Reasons

• NO_LIQUIDITY_TAIL_RETEST
• POSITION_EXISTS
• DEV_TRADE_COOLDOWN
• STRATEGY_DISABLED
• INVALID_STOP
• INVALID_QTY
• RISK_RATIO:<value>

Validation Notes

Check zone age, broken-zone behavior, and retest distance before comparing results. Candle wick quality and provider differences can change the result. When scale-ins are enabled, evaluate basket-level maximum loss and confirm that the connector can increase an existing position.