I'm not sure what exactly you mean by block (in terms of size), but let's say you have a stock and the average number of shares at the inside (best) price is X. If you are trying to trade 10X shares, you aren't just going to aggressively trade through multiple price levels all at once to get the trade done, and if you just place an order for 10X shares into the book you will find that the price starts moving away from your order price pretty quickly. For a high volume ETF like SPY, X can be thousands of shares, but for low volume mid/small caps it may be only a few hundred shares, which is not something I'd consider "incredibly liquid."