The Microstructure
of Onchain Liquidity
How latency, oracle staleness, and transaction ordering shape market quality.
Blockchain markets make execution mechanics unusually visible. This research investigates how delays and ordering in the path from information to settlement relate to liquidity and the quality of prices. The project is a framework for measurement; it does not report empirical findings.
Research question
How do latency, oracle staleness, and transaction ordering shape the conditions under which liquidity is supplied, consumed, and repriced in onchain markets?
Research framework
- Latency
- Oracle staleness
- Transaction ordering
- Spread & depth
- Slippage & price impact
- Markout & adverse selection
- Maker PnL
Preliminary methodology
We will align market-state observations, oracle updates, transaction submission and inclusion events, and execution outcomes. Measurements will be evaluated at event and interval levels, with attention to the distinction between quoted conditions and realized execution.
Measurement vocabulary
- Quoted spread
- Displayed cost of immediacy before execution.
- Effective spread
- Execution cost relative to a contemporaneous benchmark.
- Realized spread
- Compensation remaining after subsequent price movement.
- Markout
- Post-trade price movement assessed from the maker's perspective.
- Oracle age
- Time elapsed since the relevant reference-price update.
- Inclusion latency
- Time from transaction submission to block inclusion.
- Transaction position
- Ordering of an execution within its inclusion context.
- Depth
- Available quantity across specified price distances.
Work in progress.
This paper is being developed as a research framework. Results, if published, will distinguish descriptive observations from causal claims and document their measurement choices.