Reading liquidity

Volume tells you a market exists. Depth tells you what your size costs. Thin books produce spreads that are not there.

24h quote volume

The first liquidity number on every ARBHUB row is 24-hour volume in quote currency (USD), per venue. For a pair, the binding number is the smaller leg’s volume — a spread is only as tradable as its thinnest side, which is why the matrix row shows the minimum across the pair’s two venues.

Rules of thumb, not laws: below roughly $500k/24h a perp market is mostly market-maker quotes with occasional flow; $1M-$10M supports small size with real slippage; above $10M execution stops being the main problem.

The MIN VOL filter

The toolbar’s MIN VOL presets (All / $1M / $10M / $50M) apply that floor to the whole grid. Watch what happens to the ranking when you raise it: huge spreads concentrate in the thinnest markets, and most of the top rows at “All” disappear at $1M. That disappearance is information. A spread that only exists below the volume floor is usually the cost of trading there, not free money.

Volume is not depth

Volume is yesterday’s turnover. Depth is what is on the book right now — and it is depth that prices your order. A market can print $5M of daily volume and still hold only $2k within 0.5% of mid at the moment you enter.

The Spread page shows both venues’ live order books with cumulative size at each level, and computes VWAP for your notional against them. That number — not the mid, not the last price — is what you would actually pay.

Why thin books fake spreads

Screener prices come from tickers: best bid/ask or last trade. On a thin book:

• The last trade may be hours old while mid drifted — a phantom gap against a fresher venue.
• One small market order moves mid several percent — the “spread” is one fill’s slippage.
• Wide bid-ask means the quoted mid is a fiction; crossing it in both directions costs more than the displayed gap.

The practical test is always the same: would the spread survive your size going through both books? The order books panel answers it in one look.