Liquidity
Liquidity in market microstructure is the ease with which a security can be traded in current market conditions, and how little price disruption accompanies the trade. It is commonly observed through metrics like the depth of the order book, the bid-ask spread, and the price impact of trades.
Example: In a session with ample depth and a narrow bid-ask spread, a large market order may be executed with minimal price movement; in a less liquid period, the same order could cause a larger price shift.
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