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What is Liquidity Analysis and What are the Available Charts

2022-05-03 11:14
The Liquidity Analysis section can be visualized by eligible high-frequency trading users who enrolled in the Futures Liquidity Provider Program. The new tool displays customized charts (Cost To Trade, Bid-Ask Spread, Book Depth) for selected USDⓈ-M Futures and COIN-M Futures trading pairs available on Binance Futures.

How to access Liquidity Analysis?

You can access the Liquidity Analysis section in Binance Futures by clicking [Derivatives] - [Derivatives Portal] - [Analytics] - [Market Liquidity].

What are the key features?

Cost To Trade

Cost To Trade is the difference between the expected price of a trade and the price at which the trade is fully executed. It can result from two events such as a change in the Bid-Ask Spread between the time a trade is placed and when the trade is filled, or when the order Book Depth is insufficient and cannot support large market orders.
Simulating Cost To Trade before executing a trade is important in cryptocurrency markets and should be incorporated into strategy backtesting. It is worth noting that Cost To Trade is measured in the quote asset of the contract.
Cost To Buy[(Ask Price1 - Bid Price1) * Ask Quantity1 + (Ask Price2 - Bid Price1) * (Lot Quantity - Ask Quantity1) + ...] / Lot Quantity
Cost To Sell(Ask Price1 - Bid Price1) * Bid Quantity1 + (Ask Price1 - Bid Price2) * (Lot Quantity - Bid Quantity1) + ...]/ Lot Quantity
Cost To Trade average(Cost To Buy, Cost To Sell)
  • For USDⓈ-M Futures Contracts, Cost To Trade is defined in terms of the multiples of symbols' stepsize.
  • For COIN-M Futures Contracts, Cost To Trade is defined in terms of the multiples of contracts.
The Cost To Trade is not calculated if there is an insufficient number of orders in the Order Book.
At 04-18 12:57, the Cost To Trade 1 BTCUSDT USD-Margined contract (short) was 0.95 USDT (Quote Asset) (daily view)
At 04-18 12:56, the Cost To Trade 1 AVAXUSD Coin-M contract (long) was 0.011125 USD (Quote Asset) (daily view)

Bid-Ask Spread

A Bid-Ask Spread is the amount by which the Ask Price exceeds the Bid Price. It is calculated for all levels of the Order Book (from 1 to 10), where the Spread is measured in ticks and bps.
  • Spread in ticks = (Ask Price - Bid Price)/tick size
  • Spread in bps = (Ask Price - Bid Price)/((Ask Price + Bid Price)/2)
If either the Ask Price or the Bid Price is not available at any level of the Order Book, the Spread will not be calculated.
The Bid-Ask Spread chart can be adjusted to see levels ranging from the Top of the Books to the Top 10 Levels depending on your visualization preference.
At 04-19 12:28, the Bid-Ask Spread for BTCUSDT UM contract was 1 Tick at the Top of the Book, 11,67 Ticks at Level 2 of the Order Book, and 57,78 at Level 10 of the Order Book (daily view, base unit in Ticks, Top 10 Levels adjusted View)
At 04-19 12:01, the Bid-Ask Spread for the ETHUSD CM contract was 0,00000082 bps at the Top of the Book, 0,00000884 bps at Level 2 of the Order Book, and 0,00002205 bps at Level 4 of the Order Book (daily view, base unit in bps, Top 4 Levels adjusted View)

Book Depth

Market Depth is the cumulative sum of all bids and asks on an Order Book snapshot at different intervals from the mid price. Aggregated Market Depth is derived directly from raw Order Book snapshots. The deeper an Order Book, the larger the quantity of bids and asks on either side of the mid price.
Generally, deeper Order Books indicate that a market is more liquid and can support bigger market orders.
Binance Futures currently provides aggregated depth for both the bid side and the ask side at the following ranges from the mid price: 1%, 2%, 3%, 4%, and 5%.
  • For USDⓈ-M Futures Contracts, Book Depth data is available in base asset quantity or notional amount.
  • For COIN-M Futures Contracts, Book Depth data is available in contract quantity or notional amount.
At 04-18 14:25, the Book Depth for the BTCBUSD UM contract was Bid 324 / Ask 298 at the top of the Order Book (weekly view, base asset quantity, Top 1% Levels adjusted View)
At 04-18 03:31, an overview of the Book Depth for ETHUSD CM contract at the top 5 Levels of the Order Book (weekly view, notional amount)