Liquidity Regime
DEEP / NORMAL / THIN / FRAGILE classification of current crypto market liquidity. Five signals — funding rates, open interest, basis spread, liquidation flow, and orderbook imbalance — combined into a single signed regime. $0.10. 60s cache.
What It Does
Tells agents whether market depth is supportive or fragile right now. In DEEP conditions, large entries execute without meaningful slippage and liquidation cascades are unlikely. In FRAGILE conditions, thin books and extreme funding create conditions for rapid price dislocation.
Distinct from MSSI (which measures stress) — Liquidity Regime measures depth and execution conditions specifically.
Inputs
| Input | Source | Signal direction |
|---|---|---|
| Funding rates | MSFR oracle (10 exchanges) | Extreme funding = leverage crowding = fragility |
| Open interest | MSFR oracle | OI growth without price = overleveraged = fragility |
| Basis spread | MSFR oracle | Wide basis = market fragmentation = thin |
| Liquidation flow | DEXT (liquidation_events.csv) | High liq volume = cascades underway = fragile |
| Orderbook imbalance | DEXT (orderbook_imbalance.csv) | Extreme bid/ask imbalance = fragile depth |
Regimes
| Regime | Interpretation | Implication |
|---|---|---|
DEEP | Strong depth, balanced books, normal funding and OI | Supportive for large entries — low slippage risk |
NORMAL | Adequate depth, no extreme signals | Standard conditions — no liquidity discount needed |
THIN | Reduced depth, widening basis, or elevated funding | Elevated slippage — size down or wait for improvement |
FRAGILE | Extreme funding, overleveraged OI, or active liquidation cascades | High gap risk — liquidation events can move price 2–5% in seconds |
Endpoint
| Endpoint | Description | Price | Cache | Preview |
|---|---|---|---|---|
/oracle/regime/liquidity | Liquidity regime with stress score and dominant signal | $0.10 | 60s | /preview ↗ |
Response Format
{
"regime": "NORMAL",
"stress_score": -2.0,
"dominant_signal": "balanced",
"signed": true,
"fetched_at": 1781100000
}Preview Endpoint
Returns regime, stress_score, and dominant_signal — unsigned, up to 24h stale.
curl https://api.myceliasignal.com/oracle/regime/liquidity/preview
Agent Use Patterns
Execution gate: Before entering a large position, check Liquidity Regime. If FRAGILE, delay or reduce size — slippage will eat into any edge.
Stop placement: In THIN or FRAGILE conditions, place stops wider to account for gap risk from liquidation cascades.
Pair with Perp Setup: A STRONG Perp Setup in FRAGILE liquidity is a lower-quality signal than the same setup in DEEP liquidity — the entry may not be executable at the implied price.