Market Structure Model

The Market Structure Model focuses on microstructure-level market executability analysis, used to assess liquidity depth, spread distribution, impact cost changes, and order book shapes.

Key functionalities include:

• Liquidity & Impact Assessment: By analyzing order book depth, order placement density, transaction rhythm, and spread structures, the model can identify the adequacy of market liquidity and potential impact costs.

• Cross-Chain Liquidity Evaluation: Detects capital migration between assets on different chains, providing references for multi-chain arbitrage and high-frequency strategies.

• Shock & Slippage Prediction: In scenarios of market shocks or sudden liquidity drops, the model can predict potential slippage and execution costs in advance, assisting the Execution Layer in adjusting order-splitting strategies and order placement density.

Application Example: when the depth of a trading pair declines significantly and cross-chain capital flows out rapidly, the system reduces execution size to avoid excessive market impact.