Many advisors gauge ETF liquidity by looking at exchange order books, which provide a listing of open bid and ask orders, including price and size, for securities. (hartfordfunds.com)
Staff has also used this data to compare the speed at which exchange orders are cancelled to the speed at which orders are executed. (sec.gov)
As trading velocity spiked, the total amount of volume hitting exchange order books grew to a high of 183,000 BTC (roughly $ 36.6 m). (coindesk.com)