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Jesse Powell
@jespow
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.
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Jesse Powell
@jespow
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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