Beyond the Spread - Understanding Market Impact and Execution [Report]

This analysis examines 50,526 minutes of orderbook data from Binance’s BTC/ FDUSD market between July 1 and August 12, 2025, focusing on execution dynamics for orders from $1 million to $15 million. The dataset reveals correlations between depth, quality scores, and market impact, while testing whether imbalances predict price movements. This research provides quantitative frameworks for large order execution in modern electronic markets.

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