Liquidity and Slippage Guide

Liquidity is how much you can buy or sell near the current price without moving it. Slippage is what happens when your order is bigger than the depth at the best level, so you fill at a worse average price.

• Liquidity is depth available near the current price.
• Slippage is the difference between expected and actual fill.
• Small edges are the first to be erased by slippage.

The best bid and ask only cover a small amount. A larger order eats through several levels and receives a worse average, so VWAP and depth describe reality better than the top of the book.

• Best bid/ask is only the first slice of the book.
• Large orders fill across multiple price levels.
• VWAP shows the realistic average for your size.

A 1% spread with only 200 USDT of depth is useless for a 5,000 USDT order. The available size at the good price decides whether the opportunity is real for you specifically.

• The spread at the top may not exist for your size.
• Both exchanges must handle the same size.
• Size the trade to the thinner of the two books.

Treat liquidity as a filter, not an afterthought. Check 24h volume, depth around your target price and spread stability before deciding. If it cannot be executed with size at a reasonable average, it is not a real opportunity.

• Filter out low-volume coins early.
• Confirm depth on both legs at your size.
• Prefer stable spreads over flickering ones.