Liquidity Crisis

What happened

A 200-tick synthetic scenario where price drifts -2% over the run while

orderbook depth thins out at t=80, modeled via a higher slippage impact

coefficient. The lesson: large market orders into a thin book pay

ferocious prices.

What this tests

• Position sizing relative to available depth
• Scaling out earlier rather than dumping into a thin book
• Waiting for depth to return before adding risk