It was something my boss did and I wasn't really involved in. As I understand it, though, it involved looking at NASDAQ Level 3 quotes (Level 3 basically gives you the full orderbook, so you have access to all limit orders placed on a certain security) and figuring out which stocks had the largest quantity for sale at a price near the current quote. It may also have had a statistical part to it too - that liquidity technically isn't hidden because it's visible for anyone who pays for L3 quotes, but you can then compare that to actual price movements after a certain quantity is traded, and then estimate what fraction of shares are visible in the order book as limit orders vs. what's sitting in computer algorithms ready to be placed as market orders if the price changes.