{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T14:12:49Z","timestamp":1785334369321,"version":"3.55.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>I study hidden liquidity in Bitcoin perpetual futures during a liquidation cascade, using a complete trade tape and fifty-level order book from the Bybit BTCUSDT contract over a thirtynine-hour window containing a nine percent decline, with four additional stress events for robustness. The raw tape of 7.16 million sub-fills is aggregated into 14,704 parent market orders. For each parent order I compare the slippage implied by walking the visible book against realized slippage to detect hidden depth and estimate its size relative to displayed inside depth. Hidden liquidity is detected more often during the cascade than in calmer events, and the estimated hidden-depth ratio is larger; the cascade effect survives controls for order size, direction, and snapshot lag. Displayed depth is a biased and incomplete proxy for executable liquidity precisely when execution risk is greatest.<\/jats:p>","DOI":"10.2139\/ssrn.6891658","type":"posted-content","created":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T13:47:36Z","timestamp":1785332856000},"source":"Crossref","is-referenced-by-count":0,"title":["Hidden Liquidity, Displayed Depth, and Execution Risk During a Bitcoin Perpetual Futures Liquidation Cascade"],"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":[[2026,7,29]],"date-time":"2026-07-29T13:47:36Z","timestamp":1785332856000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6891658"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6891658","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}