One Exchange's Order Book Lies: Merging 25 Exchanges (and Gold) into One
I kept getting stopped out by walls I couldn't see, so I merged 20 order books into one For a long time my routine looked like this: Binance order book in one tab, Bybit in another, OKX in a third, and Hyperliquid on my phone because I ran out of screen. I'd spot a big bid on Binance, feel brave, go long, and then watch price slice through it like it wasn't there. It took me embarrassingly long…
A trader once discovered the limitations of relying on a single exchange's order book when making trading decisions. They were constantly losing positions due to unseen market walls on various platforms. After merging 25 order books into one, they realized that what appeared as significant barriers on one exchange were often insignificant when viewed collectively.
This revelation led them to sum the order books accurately, converting contract sizes and aligning USDT vs. USD pairs. The result was a clearer picture of the market landscape. Certain price levels that seemed negligible on one exchange were revealed to be substantial when all exchanges were considered. Conversely, levels that seemed uniform across multiple exchanges could actually be concentrated in just a few venues.
The trader also noted that some walls would appear and disappear without any trades being executed. This phenomenon is difficult to detect when analyzing data from a single exchange. They acknowledged the complexity of the task, as contract sizes vary between platforms, and price discrepancies exist between venues. Keeping track of real-time data across numerous exchanges proved to be a significant challenge.
Despite the difficulty, the trader now focuses on three main aspects before executing a trade: the total amount of capital available between their stop-loss and entry price, aggregated across all exchanges; potential liquidation clusters; and significant price barriers between their entry and target. If they encounter a wall that is only prominent in a single exchange's order book, they refrain from relying on it.
The trader even went on to create a website called AggPro (aggpro.xyz), providing free access to the order book, screener, and coin pages for others to explore.
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