Liquidity

Liquidity is the ability to trade a meaningful size quickly without moving the price much. It is not a single number: it combines the spread, the depth at each price, and how fast the book replenishes after a trade.

market microstructure · updated 2026-09-08

See also

• Depth — Depth is the total quantity available at each price level in the order book. Deep books absorb large orders with little price move…
• Market impact — Market impact is the price movement caused by one's own trading. Managing it is the central problem of institutional execution, an…
• Phantom liquidity — Phantom liquidity is displayed depth that disappears the moment anyone tries to trade against it. Some of it is innocent — market …

Terms that refer here

Depth · Market impact · Market maker

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