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Another thing is sometimes you will fins liquidity disappearing in front of your orders so it’s not a real test just to look at book depth for slippage — you need to see if you can actually execute against it in practice.

6:03 AM · Feb 27, 2019Twitter for iPhone

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Jesse Powell

@jespow

Feb 27, 2019

Doesn’t have to be ‘market’ but should cross the spread (i.e. be a taker). But yes, the real test is whether the liquidity is still there when you go to take it. Some exchanges give a ‘last look’ (option to cancel) to their market makers before matching their resting orders.

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exactly, we have found numerous exchanges with fake books as well. DigiFinex is a good example.

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To measure without manipulating...that is the trick. Easy to measure avg b/o spread and depth at high frequency, but how do you measure market resilience without interfering? And for clarity, volume is an ex-post *indicator* of liquidity, not a measurement of it.