Exchanges should publish a set of transparent, comparable metrics that together demonstrate genuine market depth, not just superficial liquidity. Key categories are order book depth, execution quality, price impact, time-to-execution, and order-flow composition. Academic and regulatory work by Maureen O'Hara Cornell University emphasizes that liquidity has multiple dimensions including depth and resilience, so a single headline figure is insufficient. Joel Hasbrouck New York University Stern argues that information on realized and permanent price impact helps distinguish between shallow markets and robust trading venues.
Order book and execution metrics
Publish full aggregated snapshots of the visible order book at standardized increments such as top five price levels, along with cumulative volume by side to show order book depth and imbalance. Include anonymized historical sequences of executed trades with execution price and reported size so researchers can compute effective spread and slippage. Lawrence Harris University of Southern California has long advocated for standardized disclosure of order book data to allow cross-exchange comparisons. These disclosures help institutional traders assess the likelihood that large orders will move prices.Market impact and resilience
Provide estimates of short- and medium-term price impact for typical trade sizes using realized-impact methodology, and report recovery dynamics after large trades to capture resilience. Hasbrouck has shown that separating temporary from permanent price effects reveals whether liquidity providers are willing to absorb shocks or simply step back. Exchanges should also publish cancellation and amendment rates because high cancellation activity can erode displayed depth and signal fleeting liquidity.Regulatory and public interest considerations make these metrics consequential. For retail investors, transparent depth reduces execution costs and susceptibility to adverse fills. For institutional investors and market makers, comparability across jurisdictions informs routing and capacity decisions. In emerging or territorial markets where participant composition is different, cultural patterns of order placement and regulatory constraints often produce lower displayed depth and higher volatility; publishing standardized depth metrics supports cross-border capital flows while exposing vulnerabilities to manipulation and flash events.
Finally, include contextual metadata such as timestamp granularity, tick size regime, and whether hidden or midpoint orders are allowed. Without that context raw depth numbers can mislead. Well-documented metrics aligned with academic best practice enable independent verification, reduce information asymmetry, and strengthen overall market integrity.