I only know the walls are a bunch of a large amount that is placed at the buy and sell order as the image below:
From that image, you see the red line in the sell order, and that is a big wall to hold the price to not get up to high, so traders place a big amount of bitcoin. It could a group of whales that don't want the price increase in a fast, or it could be a single or double trader.
Meanwhile, there is also a big wall in the buy order that show with the white line, it holds the price not to get down deeper, and you can see that there are two big walls in the order buy. This mean trader or some whales want to prevent the price not to get down too deep.
But if the supply and demand from the market are increasing or decreasing, the walls will move to the other price, and you will see that there are many walls will appear in many places of the order.
Perhaps, I don't have much information to explain more details, so you need to find more about the walls itself.