I had this idea to monitor the live order book on an exchange to see if we could glean some price action by observing how much money is on the table on the buy and sell sides and how much it would take to move the market 1%, 5%, etc. Additionally, I wanted to calculate how much the price would move if all the bitcoin on the exchange was dumped, and how much it could go up if all the bitcoin on the exchange was purchased in a big market order.

This is mostly vibe coded (especially the Dreamworks inspired She-Ra + Voltron theme), and it's uncertain if this metric is meaningful, but it's been running for a few weeks and it's at least interesting to watch even if it's not presenting actionable information...

It's also interesting to see that someone managed to get a sell order for BTC to USD at $10M on coinbase:

And it's interesting to watch the buy and sell walls move. You can do this on the main exchange interfaces, but by recording it locally, some additional analysis can be run on the historical states vs price action:

I haven't published this to github yet. Does this seem interesting? It's not running as a deployed webservice so if you run it, you have to build your own historical data over time (though I could publish it with my current snapshot of data since it just writes to a tsv file...)