๐ Order Book
Multi-exchange aggregated order book with liquidity analysis, slippage estimation, and arbitrage detection.
๐ก Understanding Liquidity
Spread: Difference between best bid and ask. Tighter = more liquid.
Depth: Total volume available at each price level.
Slippage: Price movement caused by your order size.
Imbalance: Ratio of buy vs sell pressure in the book.