Merging Order Books Across 25 Exchanges Reveals Walls Single Venues Hide

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A trader describes repeatedly losing trades to price levels that looked strong on one exchange but were minor across the market. By summing order books from roughly 20 to 25 venues, including gold markets, after normalizing contract sizes and price grids, they found that a single exchange often held only a fraction of total liquidity. The process proved technically demanding due to inconsistent contract units, slightly different prices across platforms, and constant WebSocket maintenance. The trader now checks aggregated depth between entry and stop or target levels, and watches liquidation clusters before trading. The author also promotes their own aggregation site, AggPro.

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