Order book depth analysis

Consideration of Decred’s order books in comparison to other projects

Considering the market maker proposals currently under discussion, some of the big differences between proposals are in regard to the level of liquidity being offered and how far it would be positioned from the price (how tight the spread is).

I have collected order book data for DCR and a number of other cryptoassets, by pulling data from the public APIs of the exchanges every 15 minutes. The aim is to quantify how deep the DCR order books are now, how much of a difference the MM liquidity would make, and how this compares to the liquidity of other selected cryptoassets.

To process this data, I have aggregated the open orders which are 1 to 5% away from the current price, in either direction. In this aggregated data-set, at each snapshot you can see how much DCR (or other asset) was wanted in bids to buy, at -1%, -2%, -3%, -4%, -5% of the current price - and the same on the other side with asks to sell DCR at up to 1-5% over current price.

To enable comparisons between assets, I have converted them to USD equivalent (by manually entering the price on Aug 24, this is rough work).

Data collection has only been up and running for a few days (less for some exchanges/pairs), so this should be considered a preliminary analysis and over a longer timeframe the average liquidity for these pairs may be quite different.

Order book depth for a selection of assets

The red line on the bar charts indicates $50k, which is the maximum amount of liquidity that would be provided per pair (by i2, at a 5% spread). Grapefruit is proposing $30k at 1-2% spread. You can see in the graph that this kind of additional availability would make a dramatic difference to the order books for DCR. Other assets considered here have mostly already got that level of availability, on both sides and usually within 1% of the price. The sell side on DCR markets looks particularly weak over this short observation period.

XTZ also has relatively light order books, particularly on the sell side. This may be a reflection of the fact that (delegated) staking is available to Tezos holders and they can earn a share of rewards for doing so.

DCR’s order books for some markets are barely visible on this graph (there are also some where it’s not listed), so here’s a DCR only version:

Order book depth for DCR

DCR has the smallest market cap of the considered assets, so it is not reasonable to make a straight comparison with their order books. To make a fairer comparison, I have expressed the order book values as a percentage of the asset’s total market cap.

Order book depth for a selection of assets - expressed as % of market cap

DCR order books still look thin relative to other assets, but after taking market cap into account the disparity is not as great.

The table below shows the mean observed size of orders up to 5% from the current price on each side (-5% is buy side). If you wanted or were willing to move the price by 5% to get (rid of) some of the asset, this is how much you would need (in USD). The formatting is rough because it’s dumped directly from a script, but this allows it to be easily updated (the [csv file]() this is based on is more likely to be updated).

Pair binance_-5 binance_5 bitfinex_-5 bitfinex_5 bittrex_-5 bittrex_5 huobi_-5 huobi_5 kraken_-5 kraken_5
ADABTC 409000 270000 NA NA 203000 98400 165000 93100 101000 34000
ADAUSD 329000 139000 NA NA 44100 30100 115000 76200 106000 82600
DASHBTC 138000 85500 338000 364000 141000 88900 193000 103000 84500 31800
DASHUSD 49400 27900 376000 385000 NA NA 186000 154000 42500 73000
DCRBTC 36100 23800 NA NA 50500 20000 20300 5710 NA NA
DCRUSD NA NA NA NA NA NA 15600 6690 NA NA
EOSBTC 340000 265000 979000 887000 63600 34600 434000 220000 177000 129000
EOSUSD 344000 264000 1540000 1500000 23100 16200 345000 282000 217000 234000
LTCBTC 795000 1340000 1030000 1020000 292000 122000 305000 249000 233000 143000
LTCUSD 495000 385000 907000 1100000 107000 83000 957000 680000 349000 329000
XMRBTC 466000 303000 757000 694000 161000 94200 189000 139000 260000 219000
XMRUSD 92700 70100 674000 622000 NA NA 188000 123000 233000 206000
XTZBTC NA NA 96600 66300 NA NA 25700 17800 139000 69200
XTZUSD NA NA 76300 74200 NA NA 26300 3180 71100 52400
ZECBTC 141000 107000 140000 124000 89400 64500 180000 95500 63400 25000
ZECUSD 70600 34300 416000 402000 20500 13700 258000 112000 71700 62600

For DCR there are typically more orders on the buy side ($36k at Binance, $50k at Bittrex, $36k at Huobi across both BTC and USD pairs) than the sell side ($24k Binance, $20k Bittrex, $13k Huobi).

Fluctuations in order book depth over time

This section is about establishing whether order book depth is relatively stable or not, and deciding what an appropriate delay is between data snapshots.

Order book depth over time (5% from price)

The lines show how the size of orders on the books (in USD) on each side, data recorded at 15 minute intervals. The sell side varies quite significantly over this observation period, between $10k and $30k at Bittrex, $10k-$20k at Binance, and steadily under $10k at Huobi, except for short periods where more DCR appears for sale.

I have produced equivalent graphs for all of the assets being tracked, they are in this folder (and at the end of this document).

I’m planning to drop the temporal resolution to hourly snapshots and leave some version of these scripts running longer term.

The raw data is in a MySQL database and too large to share easily, but if you want access let me know and I can set you up. The aggregated data-set is here.

Order book depth over time (5% from price) Order book depth over time (5% from price) Order book depth over time (5% from price) Order book depth over time (5% from price) Order book depth over time (5% from price) Order book depth over time (5% from price) Order book depth over time (5% from price)

Richard Red

Social data scientist. Likes peer production, public blockchains, decentralized credits, and DAOs.