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1) Some people are asking how Micro Strategy got so much sell-side liquidity.

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Sep 20, 2020

One thing that's been bugging me is that Micro Strategy bought $425 mil and price really didn't go up much. I'd honestly expect price to do anything but randomly drop/chop sideways after an event like that.

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10:58 PM · Sep 20, 2020Twitter Web App

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2) it was ~$400m. How much impact does that have? Hard to know for sure, and it obviously depends. On March 12th, ~$1b of liquidations probably had ~20% of impact. That's terrible execution at a terrible time. BitMEX has ~$20m/%, which lines up.

SBF

@SBF_FTX

Sep 20, 2020

3) what if you do it slowly during a quieter time? Well, one quick and dirty estimate: impact ~ daily vol * sqrt(size / ADV). Here, that's roughly 1% * sqrt($400m/$10b) or so; so maybe like 1% * 20% =.... ....0.20%? That's 100x lower!

SBF

@SBF_FTX

Sep 20, 2020

4) alright, how about in practice? Well, my totally bullshit instinct, based on nothing, is "idk, 5%?" So if you do something that has 5% impact over a few day period on BTC... ...if you're not looking for it, you'd miss it. If you *are* looking for it, it's obvious though.