Tokenized Stock Futures Liquidity: What the Order-Book Data Shows

Third-party research from digital-asset analytics firm Block Scholes found that several Bitget real-world-asset perpetual markets displayed tight spreads, meaningful resting depth and measurable large-order slippage during the period studied.

In one May 2026 observation, SPY-USDT and QQQ-USDT were each quoted at roughly 0.14 basis points between the best bid and ask about an hour into the U.S. trading session, while NVDA-USDT was around 0.44 basis points.

The same research found that NVDA-USDT resting depth within 2% of the midpoint had reached roughly three-quarters of the comparable depth on Bitget's BTC/USDT spot market.

The important point is not that liquidity was constant or flawless. It is that spread, depth, slippage, out-of-hours behavior and stress-period conditions were measured and published rather than reduced to a headline volume figure.

What Did the Research Actually Measure?

Spread, depth and slippage describe different parts of execution quality.

Bid-ask spread is the difference between the best available buying and selling prices.

Order-book depth measures how much visible liquidity is resting at progressively less favorable prices around the current market.

Slippage measures how far the effective execution price moves as an order consumes liquidity across the book.

Block Scholes examined four USDT-margined perpetual contracts on Bitget:

XAU-USDT, linked to gold

SPY-USDT, linked to the SPDR S&P 500 ETF

QQQ-USDT, linked to the Invesco QQQ Nasdaq-100 ETF

NVDA-USDT, linked to Nvidia stock

These are derivatives providing synthetic price exposure to the referenced assets.

They do not represent ownership of the underlying shares or ETFs and do not confer shareholder rights such as voting rights.

The study used a combination of public API snapshots and historical order-book data supplied by Bitget, covering market behavior from September 2025 through May 2026.

Spread was calculated from the bid-ask gap relative to the midpoint, while modeled slippage was estimated by walking the visible order book for simulated market orders of different sizes

Those methodological details matter.

Visible resting depth is not the same as guaranteed executable liquidity.

The modeled slippage calculations also do not include every possible trading cost, such as exchange fees, funding payments, hidden liquidity, liquidity that replenishes while an order executes, or the effect of execution algorithms that split an order over time.

The figures are therefore useful measurements of the observed book, not promises about the price every future trade will receive.

How Tight Were Spreads During U.S. Trading Hours?

Using snapshots taken roughly one hour into the U.S. equity session on May 18, 2026, Block Scholes reported:

XAU-USDT (Gold): ≈0.02 bps

SPY-USDT (SPDR S&P 500 ETF): ≈0.14 bps

QQQ-USDT (Invesco QQQ): ≈0.14 bps

NVDA-USDT (Nvidia): ≈0.44 bps

All four were below half a basis point in that particular observation.

That does not mean spreads stayed at those levels throughout the day.

In fact, the research showed the opposite: liquidity conditions changed materially as the U.S. session developed.

SPY-USDT, for example, had a spread of about 1.76 basis points shortly after the U.S. equity market opened, narrowing to approximately 0.14 basis points around an hour later.

Liquidity is time-dependent, even when the perpetual contract itself trades around the clock.

What Did Larger Orders Cost?

Tight top-of-book spreads do not necessarily mean a large order will execute cheaply.

Larger trades may need to consume liquidity across several price levels.

The Block Scholes study modeled that effect.

For SPY-USDT, a simulated $100,000 market buy produced approximately 14.88 basis points of modeled slippage near the U.S. market open and 10.66 basis points roughly an hour later.

For a simulated $500,000 market buy, modeled slippage changed more dramatically: 46.07 basis points near the open and 24.90 basis points about an hour later.

The contract had not changed. The order size had not changed. The available depth had changed.

This is why spread alone is not enough for evaluating execution quality.

A market can show a tight best bid and ask while having relatively little liquidity behind those quotes.

For larger traders, the more useful sequence is:

spread → depth → order size → expected slippage

How Deep Was the NVDA-USDT Order Book?

NVDA-USDT provides another useful example because Block Scholes compared its resting liquidity with one of Bitget's core crypto markets.

By mid-May 2026, the study reported approximately $4.1 million of median resting liquidity within 2% of the midpoint for NVDA-USDT.

That was roughly three-quarters of the comparable resting depth on Bitget's BTC/USDT spot market.

The comparison should be interpreted carefully.

It does not mean NVDA-USDT was equally liquid to BTC/USDT under every trading condition or at every order size.

It does show that an equity-linked perpetual had built an order book substantial enough to be compared meaningfully with one of the exchange's major crypto spot markets.

For tokenized-stock and stock-perpetual markets, that kind of depth measurement is more informative than simply reporting how many dollars traded during the day.

Does Liquidity Hold Up Outside U.S. Market Hours?

The perpetual contracts trade continuously even when the traditional assets they reference are not trading on their primary exchanges.

That creates an important question: what happens to liquidity when the U.S. equity market is closed?

Block Scholes examined weekend trading and found that trading volume declined substantially.

Depending on the contract, weekend volume was roughly 65% to 90% lower than weekday activity.

But lower volume did not translate into an equally dramatic increase in median spreads during the week analyzed.

The study reported approximate median spreads of 0.02 bps for XAU-USDT, 0.8 bps for QQQ-USDT, 1.0 bps for NVDA-USDT and 1.3 bps for SPY-USDT.

The important distinction is that volume and spread measure different things.

Trading activity can decline sharply while quotes remain relatively close together.

That still does not mean weekend depth is identical to weekday depth or that a large weekend order would experience the same slippage.

What Happened During a Market Stress Event?

Normal-market liquidity is only part of the picture.

A more demanding test is what happens when volatility suddenly increases.

Block Scholes examined the Bitget order books around the February 28, 2026 market shock covered in the report.

Spreads widened across the equity-linked contracts.

For NVDA-USDT, the spread increased from a baseline of roughly 0.6 basis points to about 3.4 basis points before moving back toward pre-event levels relatively quickly.

Depth deteriorated more significantly.

Median resting depth within 1% of the midpoint fell by approximately 32% for NVDA, 52% for SPY and 54% for QQQ.

QQQ's measured depth within 1% fell to around $109,000, compared with a typical Saturday median of roughly $191,000.

The important finding is not that liquidity remained unaffected. It did not.

The useful part is that the deterioration and subsequent recovery were measurable.

That gives traders more information than a simple claim that a market remained “liquid” during volatility.

Why Does Published Order-Book Data Matter?

Crypto exchanges frequently publish trading volume.

Volume is useful, but it answers a different question.

Trading volume measures completed activity.

Order-book depth measures how much visible liquidity is currently available for execution.

A market can have high historical volume and still be thin at the moment a trader submits an order.

That is why public spread, depth and modeled-slippage data are particularly useful for evaluating newer tokenized-equity and stock-perpetual markets.

Comparable cross-venue research remains limited, however.

That means a study of one venue should not automatically be turned into a ranking of the entire market.

What This Research Does Not Show

The limitations are important.

This is a single-venue study.

Block Scholes measured Bitget's markets rather than running synchronized order-book measurements across Bitget, Binance, Kraken, OKX, Bybit, Hyperliquid or other venues offering stock-linked derivatives.

The research therefore does not prove that Bitget has the deepest SPY, QQQ or NVDA perpetual markets across the entire industry.

It also does not prove that a given spread or depth figure will remain unchanged in future market conditions.

A genuine cross-exchange benchmark would require synchronized observations, identical order sizes, consistent basis-point depth bands, the same time windows and comparable contract structures.

Without that methodology, comparing one venue's visible depth with another venue's headline volume would not be an apples-to-apples comparison.

The defensible conclusion is narrower:

Bitget's stock-linked perpetual markets are unusually measurable because third-party research has published detailed evidence on spread, resting depth, modeled slippage, out-of-hours conditions and stress-period behavior.

What Should Traders Look for When Evaluating Stock-Perpetual Liquidity?

Before choosing a venue for a large stock-perpetual trade, useful questions include:

1. How wide is the bid-ask spread?

2. How much depth is available close to the midpoint?

3. How quickly does slippage increase as order size grows?

4. Does liquidity change materially around the U.S. market open?

5. What happens when the underlying equity market is closed?

6. How does the order book behave during sharp volatility?

7. Are the figures based on visible order-book data or only reported trading volume?

8. Was the methodology applied consistently across the venues being compared?

Those questions are more useful than simply asking which exchange reports the most volume.

What Does the Block Scholes Research Actually Establish?

The research does not establish that Bitget's stock-perpetual markets are always the deepest or cheapest.

It establishes something more specific.

During the periods studied, Block Scholes found tight top-of-book spreads during active U.S. trading hours, measurable multi-million-dollar resting depth in NVDA-USDT, order-size-dependent slippage on SPY-USDT, thinner but still functioning markets outside normal U.S. hours, and quantifiable liquidity deterioration and recovery during a stress event.

That is a meaningful level of public detail for a relatively new category of crypto-native equity derivatives.

The strongest takeaway is not that Bitget's order books are flawless. It is that their behavior has been measured publicly in enough detail for traders to evaluate the claims rather than simply accept them.

FAQ

Are tokenized stock perpetuals the same as owning the underlying stock?

No. Stock perpetuals are derivatives that track the price of a referenced stock or ETF. They provide synthetic price exposure and do not represent ownership of the underlying shares.

How did Block Scholes measure liquidity on Bitget?

Block Scholes used public API snapshots together with historical order-book data supplied by Bitget. It evaluated bid-ask spreads, visible resting depth and modeled slippage for simulated orders.

Does a tight spread mean a market has deep liquidity?

Not necessarily. A tight spread describes the distance between the best bid and ask. Depth measures how much liquidity exists behind those quotes. A market can have a narrow spread but still produce significant slippage on a large order.

Does stock-perpetual liquidity disappear when U.S. markets are closed?

No, but conditions change. The Block Scholes study found substantially lower weekend trading volume, while median spreads remained relatively stable during the sampled period. Depth and large-order execution can still differ from normal U.S. trading hours.

Is the Block Scholes report an independent audit of Bitget?

No. It is third-party market-liquidity research, not a financial audit. The study examines trading conditions and order-book behavior; it does not assess Bitget's reserves, solvency or custody.

Does the research prove Bitget is more liquid than every competing exchange?

No. The study measured Bitget's markets rather than conducting a synchronized cross-exchange benchmark. It provides detailed evidence about Bitget's liquidity conditions, but it does not establish an industry-wide ranking.