KNOWLEDGE / LIQUIDITY AND MICROSTRUCTURE
Order Book L2, spoofing, spread, slippage, liquidations and liquidity sweet.
Level 2 generally aggregates resting quantity by price rather than identifying each individual order. It can reveal how displayed depth is distributed, but cannot fully reconstruct queue position or trader identity. A usable live book combines a starting…
A displayed order can disappear for many reasons. Spoofing involves intent, which a public snapshot generally cannot establish. Analyse observable behaviour first: repeated placement, withdrawal as price approaches, activity on the opposite side and the…
The spread is the difference between the best ask and bid; slippage compares an actual or estimated fill with a specified reference. State that reference before adding costs. If entry and exit are already simulated by walking the ask and bid sides of the…
A leveraged position may be liquidated when the venue's margin conditions are breached; the relevant reference can be mark price rather than the last trade shown on a chart. Rules differ by product and margin mode. Forced closing can add directional pressure,…
A sweep interpretation usually starts with price moving beyond an obvious prior extreme and then examining what happens next. Stops are generally not fully visible in a public book, so the chart alone cannot prove how much hidden stop liquidity existed or who…
A common imbalance measure compares displayed bid and ask quantities, but its meaning depends on which levels are included. Ten levels can span very different price distances across pairs with different tick sizes. A fixed basis-point band around a reference…