Why liquidity can disappear during stress
Displayed depth, trading intentions, and executable capacity are not the same thing.
Liquidity is conditional
A displayed order book is a snapshot of quoted interest. Orders can change before a transaction arrives. The visible spread and retained depth can help describe that snapshot, but they do not guarantee the price or quantity available at execution.
Shared urgency changes participation
The FMH framework emphasizes coexistence among different time horizons. In a stressed market, participants may become more focused on near-term constraints. That provides one way to think about reduced willingness to supply liquidity; it is not a complete causal model of every episode.
Separate measurements from claims
The source engine retains quote and book measurements, compares Coinbase and Kraken quotes within a receipt-bounded policy, and supports bounded sampling. It does not certify synchronized source events or calibrated capacity. Fee assumptions remain declared assumptions. A liquidity-health score qualified for regime use is future work.
Sources and context
Edgar E. Peters, Fractal Market Analysis (Wiley, 1994). External references provide methodological context; implementation statements are based on the application’s retained technical documentation reviewed September 6, 2026.
Product interpretation and limitations are described in the implementation overview and internal API overview.