check order liquidity before executing

[kurt-o-sys]

The docs mention slippage and possible losses, possibly due to this slippage and the stop-orders. One could check the order book liquidity before executing the actual orders?

[jskrivseth]

It would also be good to check acceleration toward buy/sell walls and factor those in - as you approach a volume wall, increase the probability of a buy/sell before you get there when it's easier to avoid slippage. Don't do any buys within X percentage of a wall Y percent in volume, likewise for sells.