In the world of trading, liquidity issues are crucial for any type of investor, trader, or exchange. This report aims to introduce and analyze liquidity changes from the perspective of order book depth in centralized crypto exchanges for investors. LTP, as a top-tier prime broker in the crypto industry, uses a proprietary liquidity scoring method to comprehensively evaluate the liquidity performance of exchanges.

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By comparing order book depth data for over 13 cryptocurrency pairs across 12 mainstream exchanges, we introduce LTP Liquidity Score for exchanges and coins/tokens. Meanwhile, by aggregating and normalizing historical liquidity scores of exchanges, we introduce the LTP Liquidity Index to illustrate the trend of the whole market liquidity change.

The liquidity score and liquidity index straightforwardly show how major exchanges' liquidity is volatile with the BTC price fluctuation. By comparing these indicators, this report draws the following key points:

The top four exchanges with the best liquidity are Binance, Kraken, Coinbase, and OKX, with their rankings remaining relatively stable over time.

Since March 2024, Gate and KuCoin have shown a gradual improvement in liquidity performance, while Bitfinex's liquidity has exhibited higher volatility.

Bitcoin liquidity performance: Only within the 0.1% price range does Binance consistently maintain a leading position in liquidity performance. Once the price range exceeds 0.3%, Binance's Bitcoin trading pair liquidity becomes more volatile, and Kraken's liquidity performance becomes relatively higher.

Ethereum liquidity performance: The liquidity of Ethereum on all exchanges is more volatile across five price range levels compared to Bitcoin. Conversely, Binance's Ethereum liquidity score becomes more stable only when the price range exceeds 0.3%.

Observing the LTP Liquidity Index, from January to June 2024, the LLI has steadily increased, with five liquidity peaks. The first three occurred in March when Bitcoin's price broke previous highs, and the last two occurred in early June.

The chart below displays the layered depth data of BTC order books across three exchanges. Although the actual calculations divide the BTC order book depth data into five layers (0-0.1%, 0.1%-0.2%, 0.2%-0.3%, 0.3%-0.4%, 0.4%-0.5%), for clarity, this chart only shows the first three layers. It is easy to observe that the liquidity peaks in March occurred primarily in the 0.2%-0.3% range. 

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