The Pulled Wall signal sounds backwards the first time you hear it. A big bid disappears, and BookPilot sells. A big offer disappears, and it buys. The logic makes sense once you ask what the wall was doing there in the first place.

The idea behind the fade

A large resting bid near price looks like support. It tells other traders that buyers are waiting, which can make sellers hesitate and encourage buyers to step in ahead of it. If that bid was never meant to trade, it has been propping price up with nothing behind it.

When the wall is pulled without trading, that prop is gone. Traders who leaned on it are exposed, and the side the wall was holding back often gets its turn. So BookPilot fades the wall: a pulled bid wall is a sell signal, and a pulled ask wall is a buy signal.

A worked example

Picture an ES book where the levels around price each hold between 150 and 250 contracts. Three levels below the best bid, a 600-lot appears. That is well over 2.2 times the baseline, so the scanner starts tracking it as a wall.

Price drifts down to within 2 ticks of it, so the wall counts as approached. Then, about three seconds after it appeared, 450 of its 600 contracts disappear with no trades printed at that price. That is 75% of the peak size, above the 0.6 Pull Fraction, so it counts as a pull.

The score: 0.35 base, plus 0.20 for being approached, plus 0.15 for a life under 5 seconds, gives 0.70. That clears the default Fire Probability of 0.6, and the scanner fires a sell signal.

From signal to order

The signal then goes through the same gates as any BookPilot signal. The strategy must be armed and flat, inside its trading hours, allowed by its Rules of Engagement and under the hourly trade cap. If Pressure Break fires the opposite way at the same moment, nothing is traded.

With Forecast Confirm on, the micro-forecast has to agree with the sell at the Confirm Threshold. With it off, every signal that passes the Rules of Engagement is traded, and the guide notes that Pulled Wall can then fade the book pressure directly.

The entry is a limit order 1 tick behind the best ask for a short (the Pulled Wall Limit Offset). It is cancelled after the 3-second Entry Timeout, or if price runs 3 ticks away. Once filled, the default $150 / $100 bracket per contract applies, which is 12 and 8 ticks on ES. The scanner then rests for 5 seconds.

The settings that shape it

  • Pulled Wall Ratio (2.2): how big a level must be against the baseline to be tracked. Higher means fewer, more meaningful walls.
  • Pull Fraction (0.6): how much of the peak must vanish without trading. Lower lets ordinary order management count.
  • Fire Probability (0.6): the minimum score to trade. At 0.55 or lower, any approached pull qualifies.
  • Approach (2 ticks): how close price must come for the +0.20 bonus.
  • Max Wall Age (30,000 ms): walls older than this are dropped. Raising it catches slower spoofs.

The guide's Conservative profile uses a ratio of 3.0 and a Fire Probability of 0.70. Active uses 2.0 and 0.55.

When the fade goes wrong

Not every pulled order was a spoof. A trader may simply change their mind, or a liquidity provider may step back before scheduled news. Sometimes a wall is pulled and price runs through where it was anyway. The score is a probability, and some trades will be on the wrong side of it. That is why the bracket is fixed and the daily max loss locks the session.

A spoof probability is also not a legal judgement. It describes how spoof-like a pull looked, nothing more.

See it before you trade it

The BookScope indicator, included with Vantedge BookPilot, draws tracked walls as boxes with pull marks, so you can watch the scanner's view in Market Replay before letting the strategy trade. The BookPilot user guide has every scanner setting, and the comparison page shows how this differs from FlowPilot's footprint approach.

Fading a pulled wall is still a bet against the crowd, and it will sometimes lose quickly. Run it in Market Replay and on SIM first, then decide whether it belongs on an evaluation, funded or live account.