Liquidity is how much you can trade right now without moving the price. It is the most under-read number on a market page, and it decides two things a copier cares about: what your entry actually costs, and whether you can get out later. A thin market charges you on the way in and can trap you on the way out.
The order book holds a stack of resting orders at different prices. Liquidity is the size of that stack near the current price. A deep book has thousands of shares within a cent or two of the last trade. A thin book might have forty shares at the best price and then nothing until three cents away. Both markets can display the same price. They are not the same market.
Volume is a different number entirely. Volume is history. A market that traded heavily last month and is quiet today has high volume and low liquidity. When you are about to place an order, liquidity is the number that governs what happens to it. Volume only tells you the market was interesting at some point.
You buy at the ask, and your position immediately marks at the bid, because the bid is what somebody will actually pay you. The difference is the spread, and you have already paid it. On a market with a 1¢ spread at 50¢ that is a 2% hole. On a 6¢ spread at 50¢ it is a 12% hole. Nothing has gone wrong. That is simply what it costs to be in a market where the two sides disagree by six cents.
Entry is optional and exit is not. When you want to sell you need a buyer at a price you will accept, and in a thin market that buyer may only want a fraction of your position. You either sell part of it, accept a much worse price, or wait for resolution, which can be months away. That is the real cost of a thin market, and none of it appears on the entry ticket.
It is also why copying a trader who exits well does not automatically mean you exit well. Their sell used the buyers who were there. Your sell arrives afterwards.
Two floors interact badly with thin markets. A position under 5 shares cannot be sold at any price and can only resolve. Polycopy targets at least 8 shares on new bot positions so you keep a sellable position with room to spare, and Auto Copy bot orders carry a $5 minimum.
The trap is expensive shares. At 90¢ a $5 order would buy only about 5.5 shares, sitting right on the exchange floor, and a partial exit from there would leave a remainder that cannot be sold at all. That is exactly why bots ask for 8 shares rather than 5. Nothing does that for you on a manual copy, so on a high-priced contract check the share count before you confirm, not just the dollar amount.