Quant MM Footprint: Reading Market Maker Order Book Depth

The Quant MM Footprint measures the imbalance between resting bid depth and resting ask depth in the top of the order book, averaged across exchanges. A positive imbalance means there's meaningfully more buy-side depth sitting on the book than sell-side depth (and vice versa for negative). Why it's different from a trade-based signal: this reads passive, resting orders - not executed trades. Deep, persistent bid walls can reflect market makers (or large players acting like one) willing to absorb sell pressure, while heavy ask walls suggest supply capping any rally. Because resting orders can be pulled before they fill, this is a positioning signal, not a guarantee - which is why BTCWEAPON.COM also shows a toxicity index (built from spread and imbalance together) to flag when the book looks unusually one-sided or thin. BTCWEAPON.COM averages this across the recent window (not a single snapshot) so a single large order being placed and pulled a second later doesn't get mistaken for a sustained wall.