Measure liquidity in the book, not in daily volume

Daily volume tells you how much trading happened, not how much money the market will take right now. The difference can be several times over.

Why volume misleads

Daily volume is the sum of everything that went through in a day. It's built from thousands of small trades, from money shuffled back and forth, and from activity anyone can manufacture cheaply.

The main thing: volume is the past. It says nothing about what happens to the price if you put a large order in right now.

Hence the classic mistake: a coin with respectable daily volume turns out to be one where a medium-sized order moves the price by whole percent.

What to measure instead

Look into the book itself: how much money is sitting in orders near the current price. Not across the whole depth — inside the band where you're willing to get filled.

Second, the flow in the trade tape: how often trades actually happen and how big they are. A coin with sparse trades is dangerous no matter what its daily volume says.

Third, express your own size as a share of the book inside that band. That's the real answer to "how much fits in here".

What usually comes out

That the most attractive gaps sit on the emptiest books, and that's not a coincidence but a rule: a gap survives where there's nobody to close it.

And that book depth is often reported approximately. Even a careful estimate from the venue's own data can differ from what you actually get filled at — so you always keep slack.

What this does not tell you

The book is a snapshot, not a promise. Orders disappear in seconds, especially once somebody starts eating them.