{"slug":"order-book-data-quality","reviewed":"2026-10-20","observationPeriod":"2023-01/2025-11","kind":"empirical","sourceFingerprints":[{"label":"m6_depth_audit.csv","sha256":"844bbe08ba28586c57bc377b483fb4f3a026da42423d48379002de8ea43636e2"},{"label":"m6_depth_summary.csv","sha256":"d291e2ee6eb8113516e73600b7792dad5d6da63b261111ded0966dc537c16db3"},{"label":"HYPOTHESES_VALIDATION.zh-CN.md","sha256":"498c5afa068ca7a2a64194365a26b1efcb0e0b980dd8faab4afad64c1626861c"}],"title":["Crypto liquidity and order book depth: a historical data audit","加密货币流动性与盘口深度：315 个币日的数据审计"],"summary":["An audit of 315 Binance perpetual order-book asset-days retained 297. Learn why complete-looking depth data can mislead crypto liquidity research.","审计 315 个 Binance 永续盘口币日，保留 297 个；解释为何看似完整的订单簿深度，也可能误导加密货币流动性研究。"],"relatedCoins":[],"relatedTopics":["market"],"table":{"caption":["Archived USDⓈ-M perpetual book-depth audit: BTC, SOL and LINK","BTC、SOL、LINK 的 USDⓈ-M 永续历史盘口审计"],"columns":[["Quality outcome","质量结果"],["Asset-days","币日数"]],"rows":[["Requested / 请求检查","315"],["Incomplete or read error / 不完整或读取错误","6"],["Static-data anomaly / 静态数据异常","12"],["Retained / 保留","297"]]},"figures":[],"methods":[{"heading":["What went wrong in the archive","归档中出现了什么问题"],"paragraphs":[["The underlying research sampled BTC, SOL and LINK book-depth archives from January 2023 through November 2025, comparing matched weekdays within each month. A first completeness screen retained 309 of 315 asset-days. A later quality audit found 12 additional asset-days with implausibly static bid or ask depth, leaving 297. Completeness alone had not caught the problem.","原研究抽取 2023 年 1 月至 2025 年 11 月 BTC、SOL、LINK 的盘口归档，在每月相同星期几之间配对比较。初次完整性筛选从 315 个币日保留 309 个；后续质量审计又发现 12 个买盘或卖盘深度异常静止的币日，最终保留 297 个。只检查数据量没有发现全部问题。"],["Some affected days repeated identical values throughout the day and across separate dates. Other days had a frozen bid side while asks continued changing. A file can therefore contain many timestamps without containing many genuine market updates. The older interpretation based on the contaminated sample was withdrawn.","部分异常币日全天重复相同值，且不同日期之间也完全重复；另一些币日买盘冻结而卖盘继续更新。因此，文件有很多时间戳，不代表有很多真实行情更新。基于污染样本的旧解释已撤回。"]]},{"heading":["Coverage, variation and units are separate checks","覆盖、变化与单位需要分别检查"],"paragraphs":[["The audit checks key uniqueness, hour coverage, valid positive depth and price-band availability, then inspects each side for static patterns and cross-date repetition. A highly one-sided book is a review flag, not automatic proof of corruption: genuine stress can also produce imbalance. If a matched event or comparison day is invalid, the whole asset-month comparison is excluded.","审计先检查主键唯一性、小时覆盖、正深度与价格档位，再逐侧检查静态模式及跨日重复。极度单边的盘口需要复核，但不能自动视为损坏，因为真实压力也可能产生失衡。如果配对的观察日或对照日无效，则整个币月比较一起排除。"],["The available historical bands measure bid depth within 1% below and ask depth within 1% above the reference price. They do not measure the narrow spread or depth closest to execution. A result about a 1% band cannot establish what happened to tighter bands or to the fill price of a specific order.","可用历史档位测量参考价格下方 1% 的买盘和上方 1% 的卖盘，并不测量最贴近成交价的窄盘口价差或深度。1% 档位结果不能证明更窄档位发生了什么，也不能确定某笔订单的成交价格。"]]},{"heading":["What survives the correction","修订后能保留哪些结论"],"paragraphs":[["For the later comparison period, 17 valid matched months remain. Full-day geometric bid-depth ratios are 1.037 for BTC, 1.076 for SOL and 1.028 for LINK. These are within-sample ratios against the matched reference days, not percentage shares of market liquidity. They do not support a general statement that month-end bids were thinner in the measured band.","后段比较保留 17 个有效配对月份，全天买盘深度几何平均比值分别为 BTC 1.037、SOL 1.076、LINK 1.028。这是相对配对对照日的样本内比值，不是市场流动性份额；它们不支持所测档位月底买盘普遍变薄的说法。"],["SOL retains an unadjusted positive bid-depth difference, but its ask side also rises. That is not evidence of a bid-only improvement. Multiple comparisons were not adjusted. Failing to find thinner bids does not prove equal liquidity, and these observations cannot be extrapolated to all assets, spot markets or every month-end date.","SOL 买盘仍有未经多重比较校正的名义正差异，但其卖盘也增加，因此不能视为买盘独有改善。研究没有校正多重比较。没有发现买盘变薄不等于证明流动性相同，也不能外推到全部币种、现货市场或每个月底日期。"]]},{"heading":["Volume does not identify the cause of a price move","成交量不能识别涨跌原因"],"paragraphs":[["Executed volume and resting depth describe different parts of the market. Lower turnover need not mean fewer bids, and a price decline can itself change reported volume and depth. To argue that liquidity caused a move, the relevant deterioration should precede the price change and survive controls for volatility, time of day and asset selection.","已成交量与未成交挂单深度描述市场的不同部分。成交减少不必然代表买单减少，价格下跌本身也会改变成交量与深度。若主张流动性导致涨跌，应观察相关恶化先于价格变化，并检查波动、时段与选币因素。"],["Data revisions belong in the research record. Publishing the retained sample, exclusion categories and corrected conclusion is more informative than retaining a stronger story supported by invalid observations. This article reports the existing corrected audit; it does not claim a new raw-file download or an independent replication of every snapshot.","数据修订应当保留在研究记录中。公布保留样本、排除类别与修订结论，比保留一个依赖无效观测的强叙事更有价值。本文整理既有修订审计，不声称重新下载原档或独立复算了每个快照。"]]},{"heading":["What does crypto order book depth measure?","加密货币订单簿深度衡量什么？"],"paragraphs":[["Depth describes displayed buying or selling interest within a stated price band on a specified venue. It is different from trading volume, and it does not guarantee the execution price or available size of a future order.","盘口深度描述某交易所在明确价格范围内展示的买卖挂单，与成交量不同，也不能保证未来订单的成交价格或可成交规模。"]]},{"heading":["Does a complete historical order book file prove good liquidity data?","历史盘口文件完整，就说明流动性数据可靠吗？"],"paragraphs":[["No. This audit found additional static-data anomalies after an initial completeness check. Repeated timestamps with frozen values can create an appearance of coverage without genuine market updates.","不能。本次审计在完整性筛选后，仍发现额外的静态数据异常。时间戳齐全而数值冻结，可能只有覆盖的表象，没有真实行情更新。"]]}],"limitations":["Three representative assets, selected weekdays and coarse depth bands limit generalisation. Monthly observations across assets are correlated. This exploratory comparison does not identify order flow, participant intent or a causal calendar effect.","三个代表币、选定星期几与较粗的深度档位限制了外推。同月份跨币观测存在相关性。这项探索性比较不识别订单流、参与者意图或日历因果效应。"],"sources":[{"title":["Binance public data and archive formats","Binance 公开数据与归档格式"],"url":"https://github.com/binance/binance-public-data"}]}