Begin with the intended action
This is a hypothetical execution review. Define whether the task is entry, reduction, hedge, or full exit, and the time available. The same market produces different liquidity answers for each objective.
The order book is a snapshot
Displayed depth can disappear and omits hidden and cross-venue liquidity. Add historical trades, spreads by time of day, impact estimates, and stressed-session behavior.
Put venue constraints in the model
Withdrawal, settlement, margin, API limits, account limits, and counterparty credit affect execution. Market depth is not fully available to every account.
- Eligible venues and access status.
- Location of collateral and cash.
- Order and daily limits.
- Settlement, custody, and transfer time.
Liquidity correlation changes under stress
Depth that appears diversified across venues may contract together. A stress review should use lower depth, wider spreads, and longer completion times rather than extrapolating daily averages.