Liquidity

Assess the global liquidity of a single normalized asset, or the entire liquidity landscape of multiple crypto markets, to inform price forecasts and execution models.

Global Liquidity

Coming Soon

This subscription shows the normalized liquidity of an asset (e.g. BTCUSD Spot) across all exchanges. This allows you to understand trends in overall liquidity, for example, the relative liquidity of perpetuals over spot, or geographic liquidity trends.

You can subscribe to the liquidity summary at a single level, or cumulative liquidity at a number of price levels (up to 25).

Some example subscriptions are given below:

# Subscribe to deribit's BTC-PERPETUAL liquidity at the touch (Best Bid, Best Ask)
channel = ['deribit.BTC-PERPETUAL.liquidity.1']
# Subscribe to bitmex's XBTUSD liquidity for all 25 levels
channel = ['bitmex.XBTUSD.liquidity.25']
# Subscribe to the liquidity of BTCUSD spot across all exchanges
channel = ['BTCUSD spot.liquidity.25']

The response will be in the format:

# Cumulative liquidity for the top 5 levels of Bitflyer's BCHBTC pair
{
"type":"bitflyer.BCH_BTC.liquidity.5",
"exchange":"bitflyer",
"symbol":"BCH_BTC",
"bids":12.0642467,
"asks":18.111545,
"level":5
}

Net Liquidity / Global Liquidity mismatch

Please see Orderbook Imbalance

Fragmentation

Coming Soon

Liquidity fragmentation is a possible predictor of price jumps. This measure uses a Herfindahl-Hirschman (HHI) based on:

Khan, Saad and Riordan, Ryan, Intraday Jump Dynamics: What Predicts Price Jumps? (October 2, 2019). Available at SSRN: https://ssrn.com/abstract=3463429 or http://dx.doi.org/10.2139/ssrn.3463429

This measure only works on normalized asset pairs across multiple exchanges, see Combined Orderbook.

Some example subscriptions are given below

# Subscribe to fragmentation of BTCUSD spot market
channel = ['BTCUSD spot.fragmentation']
# Subscribe to fragmentation of XRPUSD perpetual market
channel = ['XRPUSD perpetual.fragmentation']
# Subscribe to the fragmentation of the DOGEUSD perpetual market
channel = ['DOGEUSD perpetual.fragmentation']

Execution Plan

See Optimal Execution

Bid Size

Coming Soon

Subscribe to the prevailing best bid size for a given instrument or normalized asset across all exchanges.

# Subscribe to best bid size for fee-adjusted BTC Spot across all exchanges
channel = ['BTCUSD spot.bidsize']
# Subscribe to best bid size for deribit's BTC-PERPETUAL instrument
channel = ['deribit.BTC-PERPETUAL.bidsize']
# Subscribe to best bid size for bitmex's XBTUSD instrument
channel = ['bitmex.XBTUSD.bidsize']

Ask Size

Coming Soon

Subscribe to the prevailing best ask size for a given instrument or normalized asset across all exchanges.

# Subscribe to best ask size for fee-adjusted BTC Spot across all exchanges
channel = ['BTCUSD spot.asksize']
# Subscribe to best ask size for deribit's BTC-PERPETUAL instrument
channel = ['deribit.BTC-PERPETUAL.asksize']
# Subscribe to best ask size for bitmex's XBTUSD instrument
channel = ['bitmex.XBTUSD.asksize']