Last Friday night, in a moment of impulse, I tried to enter on-chain to grab a newly listed coin from a deep pool—only to have slippage teach me a lesson. The pool looked pretty deep, but turns out the orders on it were all placed by bots. When I manually adjusted the slippage tolerance to 1.5%, the execution price was pushed up by nearly 3% anyway. After reviewing later, I realized that real liquidity and order-book depth are completely different things. Especially in the early-morning hours, there are big orders sitting there, but they’re all “fake liquidity”—you just eat it and the whole thing collapses. Looking back, my smaller position still managed to run; if I’d gone in with a larger bag, I’d probably have been trapped halfway.

Anyway, before placing an order now, I check the pool’s trade “fragments” over the last hour and the frequency of order placements and cancellations. The tempo really matters more than the price.

Recently I’ve been seeing a lot of people discussing RWA—those bundles of US Treasuries and on-chain yield comparisons. Honestly, liquidity and depth are even more troublesome in on-chain interest products. Sometimes the yield looks high, but because capital in and out is too slow, you end up losing to time-cost instead.