The Quote Activity Ratio is a metric that quantifies the rate at which quotes (bids and offers) are submitted, modified, or canceled relative to the rate of actual trades executed within a market. In crypto markets, it serves as an indicator of market maker aggressiveness, liquidity provision strategies, and the presence of potential manipulative order book activity. A high ratio often suggests active market making or, conversely, order book spoofing.
Mechanism
This ratio is calculated by dividing the total number of quote-related events (insertions, modifications, deletions) by the number of executed trades over a specific time interval. It reflects the efficiency of quote conversion into actual transactions. Automated trading systems constantly generate and adjust quotes, influencing this ratio; a high rate of non-executed quotes may indicate probing for liquidity or attempts to induce price movements.
Methodology
Analysis of the Quote Activity Ratio involves monitoring real-time order book data and trade feeds to track quote life cycles. Statistical profiling of trading entities can help differentiate between legitimate liquidity provision and manipulative behaviors. For example, an unusually high ratio for a particular entity, especially when coupled with minimal trade execution, might signal spoofing. This metric contributes to market surveillance frameworks designed to maintain fair and orderly trading conditions.
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