Liquidity is the first signal our models look at before any position is sized. Thin order books turn a good idea into a bad fill, so the engine scores depth, spread and slippage on every venue it monitors.
What the model measures
- Order book depth at multiple price bands
- Spread stability across the trading session
- Historical slippage for comparable order sizes
The result is a simple liquidity grade that decides whether an asset is tradable today, and at what size.
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