A $1.0M market order in $BTC barely moved the price on Oct 23, costing an estimated 0.6 bps when the books were measured at 14:00 UTC. Pushed through $LINK , the same order cost an estimated 22.7 bps, the most of the eight books we track.
Slippage is the gap between the quoted price and the average fill. Ether came in at 1.1 bps, Solana at 3.5 bps and XRP at 5.9 bps. At the thin end, Cardano cost 20.4 bps, Dogecoin 9.9 bps and BNB 8.3 bps.
A thin book has less resting liquidity to absorb a wave of forced closures, so each one moves the price further, whichever side gets hit.
Slippage is the gap between the quoted price and the average fill. Ether came in at 1.1 bps, Solana at 3.5 bps and XRP at 5.9 bps. At the thin end, Cardano cost 20.4 bps, Dogecoin 9.9 bps and BNB 8.3 bps.
A thin book has less resting liquidity to absorb a wave of forced closures, so each one moves the price further, whichever side gets hit.