Markets · Asset class

Liquidity & microstructure

Funding (SOFR)

3.87

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

No depth feed is wired, so the equity ladder is unobserved rather than intact or degraded. The usable distinction is whether displayed orders remain available beyond the first quoted level when a larger order arrives, or vanish and force the order to search for the next buyer or seller.

What it precedes

If displayed orders keep withdrawing behind the first level, ordinary institutional flow will travel farther before finding the other side.

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

Small orders can meet displayed interest; larger orders are typically worked through time or across counterparties rather than assumed to print as a single visible trade.

Through the session

Depth is usually most available around major market opens and closes, while the quieter middle of a session leaves less displayed interest to meet an urgent order.

Cross-asset comparisonOne read per book, same session

BookRead

EquitiesThe question is whether interest remains behind the first displayed level when an order grows.

RatesThe weak point is likely to appear first away from the most actively traded maturities.

CreditA visible level matters less than a dealer’s willingness to carry the bond when real size arrives.

FXSession handoffs matter because a currency order can lose its natural counterparty before its price changes.

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

Trade sizeSlippage (bp)Time to fillBlocks worked

Small———

Medium———

Large———

Block———

The execution-consequence table shows which orders would be most exposed to a thinning book when the slippage figures cannot yet be measured.

Recorded on this book

The desk records no direct depth observation because no market-depth feed is connected.

Displayed quotes and executable size are treated as different facts.

Block activity is read as a search for counterparties, not proof that displayed liquidity is abundant.

Slippage remains withheld until the desk can measure the book an order actually meets.

Also in Markets

CreditA refinancing wall the index average conceals PositioningConcentration, not direction, is the reading Session ledgerWhat the desk recorded, and what it declined