Liquidity Is Thinner Than the Order Books Suggest, Data Desk Finds
Depth at the top of book has recovered to pre-drawdown levels. Executable size at two percent from mid has not.
MyBunnyFarm's data desk sampled order books across nine venues every fifteen seconds for six weeks. The headline finding: the widely quoted recovery in market depth is concentrated within a few basis points of the mid price, where quotes are cheapest to post and fastest to pull.
Measured instead as the notional that could be executed within two percent of mid, aggregate depth remains roughly a third below its level before the last major drawdown. That gap is the number that matters to anyone moving institutional size.
Fragmentation compounds the problem. The same market maker frequently quotes the same inventory across multiple venues, so summing venue-level depth overstates the capital genuinely standing behind the market.
Our full methodology, including venue selection, sampling cadence and the deduplication approach used for cross-venue quoting, is published alongside this article and open to challenge. Where our figures diverge from exchange-reported statistics, we have said so explicitly.
- liquidity
- market structure
- order books
- data
About the author
Alistair Kwan — Alistair Kwan runs MyBunnyFarm's data desk, building the datasets behind the newsroom's charts and stress-testing the numbers other people publish. He writes the methodology notes attached to our analytical pieces and holds a master's in statistics.
Data Editor · London, United Kingdom · More from Alistair Kwan
Corrections to this report: corrections desk. Nothing in this article is investment advice.