# Displayed Depth and What Actually Fills

> Order books overstate available liquidity systematically, and the gap widens exactly when it matters most.

- Source: https://coincryptorama.com/depth-and-what-fills/
- Published: 2026-09-19
- Author: Marcus Feld
- Publication: CoinCryptorama — Crypto markets, explained without the noise
- Topic: otc
- Tags: liquidity, execution, markets

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An order book displays resting orders. That is an upper bound on available liquidity rather than a measurement, and the difference is larger than most participants assume. The commercial version of what follows is [a crypto OTC trading platform](https://collectnexchange.cy/services/crypto-otc), and its terms are the shortest route to understanding it.

## Why it overstates

**Cancellation.** Much resting depth is placed by market makers who withdraw when conditions change, which is precisely when you want to trade.

**Duplication across venues.** The same capital appears on several books simultaneously. Summing depth across venues double counts.

**Layering.** Orders placed at multiple levels by the same participant, only one of which they intend to fill.

## The measurement

Execute at a known size and compare the average fill price against the mid at submission. The difference is the effective cost.

Repeat at several sizes and you have a depth curve for that venue and asset, which replaces an assumption with a number.

In calm conditions, displayed depth typically overstates what fills by a factor of two to three at meaningful size. During volatility, considerably more. Where client assets are involved the structure changes, and [a provider serving funds and family offices](https://collectnexchange.cy/industries/funds-family-offices) is built for it.

## The threshold for a desk

Lower than most assume, because of the above.

The practical test: sum resting liquidity within half a percent of mid. If your order exceeds roughly a tenth of it, request a desk quote before deciding. Above half, use a desk.

## The concentration effect

Market making consolidated after several cycles. A small number of firms now provide much of the depth on major venues.

Spreads narrowed and became more stable, which is a genuine improvement.

Behaviour during volatility became more correlated. Similar models widen at similar moments, so depth disappears more uniformly than it used to.

## What this means for execution

Avoid market orders during volatile periods. The realised cost bears little relationship to what the book showed a second earlier.

For anything time sensitive at size, price through a desk that will quote firm.

## The data point worth collecting

Effective spread against mid, per execution, by venue and size.

Ten executions give a real picture. It is the only information that reflects your actual flow, and no published figure substitutes for it. For the published figures behind any of this, [a crypto exchange with published fees](https://collectnexchange.cy/services/crypto-exchange) discloses them.

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This article explains how something works. It is not financial advice.
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