{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T18:30:46Z","timestamp":1786732246342,"version":"build-2736575974"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We examine whether REST API based order book measurements adequately capture phantom liquidity in cryptocurrency markets. Using identical trades from Binance BTCUSDT, we compare phantom liquidity rates measured via REST snapshots at approximately 2 second intervals against WebSocket partial book updates at approximately 100 millisecond intervals. REST based measurements capture only 32.76 percent phantom liquidity compared to 66.90 percent measured using high frequency data, a systematic underestimation of approximately 51 percent. A 50 millisecond buffer test yields virtually identical results (66.97 percent), confirming that the gap reflects genuine high frequency phantom behavior occurring between REST snapshots rather than a measurement artifact from post trade book updates. Decomposing phantom liquidity into genuine, stale, and truncated components shows that genuine phantom rates remain stable at approximately 2.4 percent across all three methodologies, while the measurement gap is driven almost entirely by stale phantom liquidity (27.06 percent for REST versus 64.34 percent for WebSocket). These findings suggest that conventional REST based phantom liquidity assessments may understate the prevalence of fleeting liquidity dynamics in modern electronic markets, with implications for market quality measurement and regulatory analysis.<\/jats:p>","DOI":"10.2139\/ssrn.6732245","type":"posted-content","created":{"date-parts":[[2026,5,8]],"date-time":"2026-05-08T01:48:37Z","timestamp":1778204917000},"source":"Crossref","is-referenced-by-count":0,"title":["High-Frequency Phantom Liquidity: Evidence that REST API Measurements Severely Underestimate Market Quality Issues"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T17:45:10Z","timestamp":1786729510000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6732245"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6732245","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}