In plain language
To sweep the book is to execute rapidly against available liquidity, consuming all quantity at the best price and, if that is insufficient, at subsequent levels.
How it happens
It may be one marketable order larger than displayed depth or a rapid sequence of orders. The observable result is a set of fills at several prices, with market impact and possible slippage from the arrival price.
What depends on the feed
Reconstruction needs venue, sufficiently precise timestamps, identifiers where available, order-book levels, and prints. Aggregated data may not distinguish one parent order from several participants or separate orders.
What it does not prove
A book sweep alone does not prove a whale, manipulation, informed urgency, or price continuation. It describes how liquidity was consumed; identity, cause, and consequences require additional evidence.
Sources
- CME Group, Understanding the CME Liquidity Tool Methodology — Explains how an order uses later levels when quantity at the top of book is insufficient.
- CME Group, Market by Order (MBO) — Distinguishes order-by-order data, full depth, and price-level aggregation.
- CME Group, Assessing liquidity — Relates flow speed, level depletion, and dispersion of execution prices.