TradeStack Back
Glossary / Market structure

Liquidity

Definition

How much size a market can absorb without moving price.

Why it matters

Thin liquidity widens spreads and increases slippage, which is why the same strategy performs differently at the open and at lunch.

Example

ES futures absorb hundreds of contracts at the touch; a small-cap stock may move several percent on 5,000 shares, so identical position sizes carry very different real risk.

How to track it in a journal

TradeStack calculates the core performance numbers — win rate, average win and loss, profit factor, expectancy, drawdown and consistency — automatically from imported trades, so liquidity stops being something you estimate and becomes something you read.

Related terms

Slippage
The difference between your expected fill price and the price you actually get.
Spread
The gap between the best bid and the best ask.
Volatility
How much price moves over a given period.
ATR (Average True Range)
The average size of a bar's full range over a lookback period.

Keep reading

Trading journal guides
Expectancy, profit factor, drawdown, backtesting and the PDT rule.
Free trading calculators
Position size, risk-reward, expectancy and options profit.
Expectancy calculator
Expected profit per trade from your own numbers.
Broker CSV export guides
Step-by-step exports for Tradovate, NinjaTrader, IBKR and more.
Stop estimating your numbers

TradeStack is a free trading journal that calculates them from your own trades.

Start free