MARKET MAKERS & PROP
Inspect observed depth before sizing a comparison
For market-making and proprietary research desks: estimate how a defined size compares with the visible book on an authorized source. The result is a research calculation, not an executable quote or promised fill.
Liquidity research workflow
For market-making and proprietary research desks: how does a defined research size compare with the depth visible in an eligible, timestamped book snapshot?
- Select the contract, source, observation time, direction and size unit. Check source rights and the observation's freshness before using its depth.
- Inspect the relevant side of the captured book, cumulative depth and price-at-size estimate. Keep any partial depth or unavailable size visible.
- Compare the estimate with the reference price and record the input snapshot, calculation version and excluded fees or later market changes.
Research output
A direction-specific liquidity research note with covered size, shortfall, price estimate and source context, rather than an order or reserved quote.
Limitations to carry forward
Observed depth can change before a later order. The calculation does not model every fee, queue priority, hidden liquidity or latency, and cannot guarantee execution. The table below is a separate hand-authored illustration.
Worked example
A hand-authored display illustration at six configured sizes. It has no underlying level-by-level book, observation time or fee inputs, so it is not a reproducible venue walk.
Policy rate decision, December meeting — cut of 25 bp or more
Executable liquidity
Direction: Buy YES
Headline probability
63.6%
Price at executable size
66.1%
at $250,000 · +2.5 pp vs headline
No further executable depth
Price at each ladder size, compared with the headline probability. $10,000: 63.8% · $50,000: 64.2% · $100,000: 64.9% · $250,000: 66.1% · $500,000: Insufficient visible depth — not extrapolated · $1,000,000: Insufficient visible depth — not extrapolated
| Size | Price at size | Slippage |
|---|---|---|
| $10,000 | 63.8% | +0.2 pp |
| $50,000 | 64.2% | +0.6 pp |
| $100,000 | 64.9% | +1.3 pp |
| $250,000 | 66.1% | +2.5 pp |
| $500,000 | Insufficient visible depth — not extrapolated | — |
| $1,000,000 | Insufficient visible depth — not extrapolated | — |
Execution model intel-execution-r1@1
The last two sizes display insufficient visible depth instead of an extrapolated price. The example omits source levels, a source timestamp and fees, so it cannot be independently replayed or treated as a quote or fill. A product result depends on the input snapshot, source availability and organization rights; the public terminal uses synthetic data.
What you get
Top-of-book describes one displayed level. A size-specific calculation walks the depth included in its input snapshot; it cannot guarantee what a later order would execute.
| Capability | Status | Explore | Delivery |
|---|---|---|---|
| Price at size at every ladder notional, from $10,000 to $1,000,000 | Available | Limited | Event workstation |
| Slippage against the reference mid, in probability points | Available | Limited | Event workstation |
| Capacity bands at ±1 · ±2 · ±5 probability points | Available | Limited | Event workstation |
| Liquidity-shock and probability-move signals on your watchlist | Available | Not included | Alerts |
| Review the ladder and its documented data contract | Available | Not included | Production API |
| Cross-source comparison only when rights and a reviewed mapping permit it | Implemented; eligibility conditional | — | Not delivered today |
Your evaluation
Three steps, and no commercial conversation until you have seen it against your own events.
Request access
Tell us your desk and your event set. We aim to reply within one business day.Scoping call
Thirty minutes on the events you actually cover and what a useful answer looks like.Institutional Evaluation
You evaluate Monitor against that event set before any commercial terms are discussed.
WORKING SAMPLE · SYNTHETIC DATA
Follow the research from observation to evidence.
Open Monitor, screen the universe, inspect contract terms, compare eligible outcomes and retain a research brief. Watchlists, saved views and adjustable workspaces keep the same event in context.
No account required for the sample. Its fictional records, local alerts and research stay separate from organization data. Portfolio scenarios are a bounded private beta; organization access still requires sign-in, plan and source permissions.
Review a liquidity research workflow
Discuss the event set, source permissions and sizing question an institutional evaluation would need to cover.