Using Order Book Depth and Coverage to Plan Crypto Execution
Summary
The analysis examines execution conditions in Binance’s BTC/FDUSD market using 50,526 minutes of order book observations from July 1 to August 12, 2025. It argues that displayed depth grows nonlinearly with distance from the mid-price, so large orders may cause substantial repricing even when the book appears to show ample liquidity. The article recommends assessing depth near the market and comparing available depth with order size through a coverage ratio when choosing between aggressive execution and time slicing.
It reports that depth at 10 basis points correlates strongly with a composite liquidity score, and that order book imbalance did not predict price direction in the studied data. The article also describes different execution conditions by order size and time of day. These findings are specific to one market and observation window; the article’s strong claims about general market structure and execution thresholds are not established beyond that sample. It also includes promotional material.
Key ideas
- Displayed order book depth can overstate the liquidity accessible to a large order.
- Depth accumulates nonlinearly as prices move farther from the mid-price.
- The article uses depth near the market and depth-to-order coverage to guide execution choices.
- In the studied sample, depth at 10 basis points closely tracked the article’s liquidity score.
- Order book imbalance did not predict price direction in the analyzed observations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.