We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of limit and market orders are functions of the market liquidity process which reflects the balance of the demand and supply of liquidity. Limit and market orders mutually excite each other so that liquidity is mean reverting. We use the theory of Meyer-$\sigma$-fields to introduce a short-term signal process from which a trader learns about imminent changes in order flow. Her trades impact the market through the same mechanism as other orders. A novel version of Marcus-type SDEs allows us to efficiently describe the intricate timing of market dynamics at moments when her orders concur with others. In this setting, we examine an optimal execution problem and derive the Hamilton--Jacobi--Bellman (HJB) equation for the value function. It identifies the problem as one of singular/impulse control type and can thus be viewed as a series of optimal stopping times with strategic interventions. The HJB equation is solved numerically and we illustrate how the trader uses the signal to enhance the performance of execution problems and to execute speculative strategies. This is joint work with Alvaro Cartea and Laura Körber.