Markets · Asset class

Liquidity & microstructure

Funding (SOFR)

3.63

Quoted spread

—

Size at touch

—

Books tracked

Funding is live (FRED · NY Fed SOFR) — the front page’s standing liquidity proxy. No depth feed is wired: quoted spread, size at touch, and every value in the ladder below are withheld rather than estimated. Books tracked is a count of the asset classes on this page, not a measurement.

Depth ladderSelect a book — the structure holds, the values do not exist yet

Depth ladderEquitiesNo depth feed wired · structure shown, values withheld

Bid sizeLevelAsk size

—L1—

—L2—

—L3—

—L4—

—L5—

—L6—

Quoted spread

—

Size at touch

—

Depth vs median

—

The reading

Top-of-book size is normal and the second level is thin. Size is available at the touch and not behind it, which flatters every measure taken at the touch alone.

What it precedes

Gap moves on ordinary volume. The book cannot absorb a single institutional order without repricing two levels.

Depth is measured from resting size at each level, sampled through the session and compared with a trailing median for the same instrument and the same time of day. No such feed is wired yet, so the numbers above are withheld rather than estimated.

Trade size & time of day

Trade-size distribution

The distribution is thinning at the top end. Blocks are being worked rather than printed, which shifts risk from the book to the clock.

Through the session

Depth concentrates at the open and the close. The midday trough is where a forced order finds the worst price.

Cross-asset comparisonOne read per book, same session

BookRead

EquitiesSize at the touch, thin behind it

RatesIntact at the front, thinning out the curve

CreditPrice shown, size withdrawn

FXMajors stable, crosses degrading

Execution consequenceWhat the ladder above turns into if worked, not printed

Trade sizeSlippage (bp)Time to fillBlocks worked

Small———

Medium———

Large———

Block———

Slippage figures are withheld: no depth feed is wired to compute them. The structure of the table is the point — the cost of an order is a property of the book it meets, not of the spread it is quoted against.

Recorded on this book

Depth entered the lowest quartile of its trailing year

Quoted size halved while quoted spread was unchanged

Volatility print registered the condition, days later

Desk declined a claim about cause; only the condition is published

Also in Markets

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