Gravitation Locked-in Range (abbr. GLR) is the trading range in which the volume of open “buy & sell” positions accumulates with no significant imbalance, and it is profitable for the market maker to return the price back to the range after the range breakout if there are not enough prevailing loss-making positions to continue price movement in the same direction.
Figure. Averaged graphical representation of the gravitation range
With an increase of a futures liquidity, a probability of strong imbalances in the locked-in ranges decreases, while a probability of an appearance of the gravitation ranges increases. In the future, the gravitation ranges either “lose” open positions and “are canceled”, or turn into the locked-in ranges.
The market has a trend structure when the unidirectional locked-in ranges prevail, and vice versa, the market has a flat structure when the gravitation ranges prevail.
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