Classify per-coin perpetual liquidity depth as thin, adequate, or deep, based on open interest across venues
Answers how tradable each coin's perpetual market is across major venues before you rely on it. It reads per-coin liquidity data covering open interest, average funding, and a reliability status for Binance, Bybit, and OKX across your tracked assets. It surfaces the precomputed thin, adequate, or deep liquidity label per coin (or unavailable when no venue reports usable data), based on how much open interest the deepest venue carries and how many venues are reporting reliably. Use it to judge how far each coin's derivatives data can be trusted; it matters because low-liquidity perps produce noisy funding and OI reads that can mislead other analyses.
Venue liquidity for perpetuals - a screening check whose main lesson is that open interest is not depth.
WHAT IT READS. Per-coin open interest, average funding and a reliability status across Binance, Bybit and OKX, producing a thin, adequate or deep label - or unavailable when no venue reports usable data.
WHY THIS CHECK EXISTS BEFORE ANY OTHER. Several analyses in this suite read perpetual data: funding regimes, liquidation estimates, positioning. All of them are computed from venue data, and a market where almost nothing trades produces figures that look identical in format to a deep market's and mean far less. Establishing whether the market is worth reading is logically prior to reading it.
OPEN INTEREST IS A STOCK, NOT A DEPTH MEASURE. It counts contracts outstanding - positions opened and not yet closed. That is a proxy for the size of outstanding position INVENTORY - not for capital committed, since margin depends on leverage, cross-margining, collateral and contract design, and not for executable liquidity. Liquidity is about the cost of transacting: the bid-ask spread, the size resting on the book near the touch, how quickly the book refills after being consumed (resilience), and how far your own order moves the price. A market can carry large open interest in positions nobody is currently willing to trade against, and a market with modest open interest and tight continuous quoting can be far easier to trade. The direct measures would be spread, book depth at several distances from mid, and realised slippage.
WHY VENUE COUNT MATTERS INDEPENDENTLY. A coin quoted reliably on three venues is more robust than one quoted on a single venue at the same aggregate open interest, for reasons that are about failure rather than about depth: a single venue is a single point of failure for outage, for delisting, for withdrawal suspension, and for a price that can diverge without an arbitrage path. Counting reporting venues is therefore a distinct check from measuring size, and both belong in the label.
FUNDING APPEARS HERE AS A QUALITY SIGNAL, which is a different use from the funding-regime analysis. Persistently extreme or erratic funding on a thin market is often a symptom of an unarbitraged market rather than of positioning - if the cash-and-carry trade were easy, funding would not stay extreme. Persistent extreme funding is therefore consistent with limits to arbitrage - and equally with borrow scarcity, inventory risk, balance-sheet cost, or simply persistent directional demand. It flags that something is binding without identifying what.
'UNAVAILABLE' IS A RESULT, and treating it as one is correct: reporting that no venue provides usable data is honest, whereas computing a label from nothing would not be.
The thin/adequate/deep thresholds and the reliability criteria are our own convention.
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