Does high volume always mean good liquidity?
No. Historical turnover and currently executable depth are different.
The best quote is not enough
Top bid and ask may cover only a small order.
Impact changes with order size
Consuming several price levels worsens the average fill.
Read spread with depth
A narrow spread can still hide a shallow book.
- Depth at a defined notional
- Bid–ask imbalance
- Quote cancellation during volatility
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