Every market event is not equally urgent. A regime shift from ranging to trending develops over minutes. A funding rate spike builds over hours. But a liquidation cluster arming within cascade range of the current price requires attention right now.
Glass classifies events into three priority tiers to separate what needs immediate action from what needs monitoring. P0 is the tier where seconds matter.
The three tiers
P0: Critical. Delivery under 100 milliseconds. Time to live: 30 seconds. These events fire when structural conditions are loaded and the trigger is imminent. Miss a P0, and you may be on the wrong side of the resulting move.
P1: Context. Delivery under 500 milliseconds. Time to live: 2 minutes. The context around your position just changed. A whale shifted, CVD diverged from price, or a market maker hunting pattern appeared. Not immediate danger, but the environment shifted.
P2: Monitor. Delivery under 2 seconds. Time to live: 5 minutes. Worth tracking: regime shifts, funding extremes, correlation breaks, large single liquidations. Background conditions that inform sizing and bias over the next hours.
What makes a P0
Three event types carry P0 classification.
LIQUIDATION_CLUSTER_ARMED fires when price approaches a zone where concentrated liquidation positions have accumulated across multiple exchanges. The event carries the zone price, estimated exposed USD, number of contributing exchanges, and a confidence score. This tells you a cascade is structurally loaded and within range.
LEVERAGE_SPIKE_DETECTED fires when average leverage across tracked positions exceeds the baseline by 200% or more. Crowded leverage means elevated liquidation risk regardless of direction. The event includes the symbol, current average leverage, baseline, and the percentage change.
PENDING_EXCHANGE_INFLOW fires when a large BTC transfer is detected in the mempool heading to a known exchange wallet before it confirms on-chain. Glass runs a full Bitcoin node with Mempool ZMQ monitoring. The event includes the transaction hash, BTC amount, destination exchange, and estimated confirmation time.
Why priority classification matters
A derivatives trader who receives 50 unclassified alerts per hour will eventually ignore all of them. Signal fatigue is a real operational problem. Priority classification solves it by separating the three events per hour that require immediate attention from the 15 that provide context and the 30 that are worth logging.
Routing by tier
P0 events can trigger audio alerts, push notifications, or automated risk checks. P1 events update context dashboards. P2 events populate monitoring feeds. Each tier serves a different operational purpose.
For algo builders, the priority tier is a first-class field in every WebSocket event payload. A trading system can filter for P0 events only, apply automated risk logic on P1 context shifts, and log P2 events for backtesting. The classification is part of the data, not a presentation layer choice.
100 milliseconds, end to end
P0 delivery under 100ms means the entire pipeline from exchange event to classified alert must complete in that window. Raw data arrives from the exchange WebSocket. The Heatmap Engine evaluates the zone. The intelligence layer classifies the event. The Fast Feed delivers it to the client. Direct exchange connections make this possible. An aggregated data architecture cannot.