The market as a system of participants, not a price.

Who was forced

Every position below was closed by the exchange, not by the person who opened it. Forced exits are the one moment a participant has no choice and no discretion — which makes them the cleanest record the market produces of who was actually offside.

Longs accounted for $18.52M across 6,430 events on 323 instruments; shorts $7.37M across 2,953 events on 163 instruments. The single largest forced exit was $950,431 in ETH-USDT (a long).

87 of these events cannot be valued in dollars — they are delisted instruments with no contract multiplier on record. They are counted in the event totals above and excluded from every dollar figure. We would rather show you the hole than quietly close it.

Where there was no crowd

An order book looks like a crowd: many levels, many sizes, apparent depth. Sometimes it is not a crowd at all. When most levels on a side carry the same clip size, you are not looking at many participants — you are looking at one market maker's ladder wearing the costume of a market.

We apply a deliberately conservative rule: a side counts as a quoting grid only when the single most common clip size accounts for 60% or more of its levels, across at least six priced levels. Genuine multi-participant books sit far below that line — the largest instruments in this sample typically show around 10%.

The sample is stratified, drawn evenly across the activity range of the 233 spot instruments we track, rather than taken from the busiest names only. That matters: the most heavily traded books are the ones most likely to contain a genuine crowd, so sampling those alone would answer an easier question than the one asked.

This is a point-in-time reading, taken once when this report was built — not a full-day statistic. The detector runs against the live ladder and its output is not retained, so we can honestly report what the books looked like at that moment and nothing more.

Quotes versus fills

Quotes are an advertisement. Fills are a receipt. The gap between them is the most under-reported number in this market.

For the median instrument, the book displays about $14K of resting size within one percent of the mid price, while roughly $67 changes hands in a typical minute. These measure different things on purpose — depth is a stock standing at an instant, volume is a flow over a minute — and we are not claiming they should match. The point is the order of magnitude between them. Displayed liquidity is overwhelmingly liquidity that never trades.

The cost to participate

Participation is not free, and the fee is not the interesting part — the interesting part is how the fee compares to the movement available to pay it.

In 66.0% of all traded minutes, the distance from the high to the low — the entire range, perfectly timed, bought at the bottom and sold at the top — was smaller than the 0.12% it costs to go in and out once on futures. On spot, at 0.20% the round trip, that rises to 82.4%.

This is not because the market is quiet. Over the same window the median instrument travelled 6.1% from its high to its low across the day, and not one of the 388 instruments we measured had a daily range smaller than the round trip. The movement is there. It is simply not there at the timescale most participants trade. Shorten the holding period far enough and the rake stops being a cost of doing business and becomes the business.

Fee tiers are the ones we are actually charged on the venues we record: 6 bp per side taker on futures (2 bp maker), 10 bp per side on spot. Fees vary by venue and volume tier; yours may differ.

What was worth saying

Unusual events picked out of the streams we record, scored against their own history. Each one was reviewed before publication. Nothing here concerns our own trading.