Glossary: crypto market structure terms

These definitions explain how Regime Weather uses each term. Some have broader meanings in other contexts.

Basis

The price difference between a futures contract and the underlying spot market. A widening basis usually reflects funding pressure or forward-leverage demand; a collapsing basis usually reflects deleveraging.

Crowdedness

A condition where positioning becomes one-sided across venues. High crowdedness often precedes liquidation cascades when the market moves against the dominant side.

Depth

The volume available at and near the top of the order book. Thin depth means small orders can move price; deep depth means the market can absorb size without slippage.

Drift

A change in the statistical properties of inputs over time. In the Model Health section, drift refers to whether features are still arriving in a distribution similar to the one the model was trained on.

Freshness

How recent the inputs to the letter are. A degraded freshness badge means some sources arrived late or were missing for the observation window.

Funding rate

A periodic payment between long and short holders of a perpetual futures contract. Persistently positive funding indicates crowded longs; persistently negative funding indicates crowded shorts.

Imbalance

The asymmetry between bid-side and ask-side liquidity in the order book. A strong imbalance is a short-term pressure signal; a sustained imbalance can mark regime shifts.

Liquidation

The forced closure of a leveraged position when collateral falls below maintenance margin. Liquidation cascades occur when forced closures push price further against remaining leveraged holders.

Microstructure

The combination of spread, depth, imbalance, and order book stability. Microstructure tells you whether the market is functioning normally or becoming fragile.

Open interest

The total notional value of outstanding derivatives contracts. Rising open interest with rising price typically signals new leverage entering; rising open interest with falling price signals fresh shorts.

Regime

The dominant set of pressures shaping the market over the observation window. In Regime Weather, regime is read from raw observable features and named in plain language, not by a model verdict.

Spread

The gap between the best bid and best ask in the order book. A widening spread is a fragility signal; a tightening spread indicates competitive liquidity provision.

Venue concordance

Whether different exchanges agree on direction and magnitude. High concordance suggests a system-wide move; divergence suggests venue-specific flow or arbitrage friction.