Crypto order books lose 15% of their depth during large moves
1,324 days of Binance order-book depth, 3,733,943 snapshots, zero missing days. In quiet markets the book is unchanged to four decimal places.
Every liquidation heatmap models cluster impact against a static book: forced selling meets whatever depth is showing, and price moves by however much that absorbs.
We measured what the book actually does, over three and a half years of free public data.
Near book, ±0.2–1% of mid
| Horizon | Quiet market | Largest moves | Worst quarter | Distinct days |
|---|---|---|---|---|
| 1 min | 1.0003 | 0.9773 | 0.8700 | 313 |
| 5 min | 1.0015 | 0.8462 | 0.6573 | 160 |
| 15 min | 1.0030 | 0.8586 | 0.6646 | 85 |
In quiet markets the book is unchanged to four decimal places, across 1,320 distinct days. That is the control working: the effect appears only where it is claimed to.
Withdrawal takes minutes, not seconds
At one minute the book barely flinches. By five minutes it has fallen to 0.846. Liquidity does not vanish on impact — it leaves over the following minutes.
The consequence is direct and nobody models it: a fast cascade meets a nearly full book, a slow grinding one meets a book that is leaving. Identical forced flow, different outcome depending on how long the move takes.
Withdrawal is also concentrated near the touch — at five minutes the near book falls to 0.846 while the far book holds at 0.887. The liquidity disappears exactly where the first forced flow lands.
What it does not show
Not causation. Depth falling during a move is equally consistent with makers withdrawing quotes and with quotes being consumed. And not prediction: it is a conditional description — given a move of this size, the book was this much thinner.
Method note
Snapshots are 30 seconds apart against horizons of 1–15 minutes, so raw rows share most of their window. An earlier version of this analysis reported 0.726 for the largest bucket — the most dramatic number in the table — and that bucket vanished entirely once overlapping observations were removed. It was 26 views of the same few minutes.