liquidity band on the symbol row

Bands rather than a precise number is the right call. Precision here implies a confidence the estimate doesn't have.

This would have saved me the entire lesson in my market-orders post.

Noted, and the banding approach is the version we'd consider first. A precise number would be stale the moment it's rendered. The honest limit is that any band we show is built from recent average depth/spread, so it can be wrong on a name that just got news. Would you want it static on the row, or only on the order ticket where the decision actually happens?

the band idea works fine for crypto too but the hours thing matters a lot — same pair can be a totally different beast at 4am my time vs when the US is awake. would need it to reflect recent, not some all-day average

honestly half my bad fills came from assuming a thin name behaves like the big ones. a band would at least make me pause before i size up like an idiot. bonus if it goes red or whatever on the ones i should just skip

One thing worth adding to Mike's framing: the band matters more the bigger your position relative to your account, because slippage is a fixed tax on entry that you never earn back. If you're sizing at some fraction of a Kelly-style edge estimate, cost per trade eats directly into the edge term, and on thin names it can flip a marginally positive setup to negative before you've done anything wrong. So a rough band is enough — you're not optimising, you're just checking whether the trade survives its own costs.