Amihud Illiquidity — Signal Playbook

What it detects

The Amihud measure: absolute candle return in bps per $1M of quote volume traded. A high reading means small flow moved price a lot this candle — the classic price-impact-per-volume read, computed live.

How Amihud Illiquidity paints across a heatmap row — the colour language it speaks on the live map.

How VYX surfaces it

VYX evaluates Amihud Illiquidity live on every candle across 300+ Hyperliquid markets and paints it onto the heatmap, so an unusual impact reading stands out at a glance instead of hiding in a watchlist. That is the job it does in the workflow: it is a scan filter and a piece of context, not an automatic entry. Scan the map for where Amihud Illiquidity is firing, focus that market to read the signal against price and the confirmation cues below, and let the next candle or two resolve before acting on it.

How to play it

Use it as scanner context, not an automatic entry:

• Use it to compare how expensive it is to move each market — and to spot a pair turning fragile versus its own norm.
• High readings flag markets where modest orders cause outsized moves; expect slippage to match.
• Rising Amihud on a pair you trade is an early warning that its liquidity is draining.
• It is interval-dependent — compare within one timeframe, not across them.

Confirmation

What strengthens the read:

• Spread and book-depth reads agree (thin, wide, or front-loaded book).
• The reading stays elevated across candles rather than one quiet-candle blip.

Invalidation

What kills it:

• Volume returns and the ratio drops back — the illiquidity was transient.
• One near-zero-volume candle produced the spike (a denominator artifact).

Risk & honest evidence

Respect the limits:

• Quiet candles make the ratio jumpy — read runs of elevated candles, not single prints.
• Illiquidity raises both opportunity and cost: moves are bigger and exits are worse.
• Evidence: grounded in market-microstructure research; on Amihud (2002), the standard illiquidity proxy in the microstructure literature. VYX's own live backtest is still accruing — treat this as scanner context, not a proven edge.