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How do you decide which walls get signaled? What are the filters?

Answer:

We have a dynamic filter by amount: a wall most be X or higher in dollars in order to be notified. This value varies from $150,000 to $250,000 depending on the exchange.

Another filter is the proximity of the wall placed from the top bid/ask. A wall must be at least 5% close to the top offers in order to be notified. Here is an example:


Bids (Buy Orders) - RateRate -Asks (Sell Orders)
100101 
99102
98103
97104
96105

In order for a buy wall to get signaled, it must be above 95. So any wall that meets the minimum thresholds and is above 95 will get signaled.

For a sell wall to get signaled, it must be below 105, since anything below 105 is 5% close to the top ask (which is 100)