Order book depth
Updated
Depth is the number people reach for to judge how much a market can absorb, and it is one of the easiest to misread: it describes what is sitting on the book right now, which can be cancelled, not what is going to trade. This page defines it plainly and then shows the actual percentage bands BlackForge measures on a real book.
What is order book depth?
Order book depth is the total resting order size posted near the current price, measured band by band away from the top of book. It shows how much size the market is holding, not how much will trade, because resting orders can be cancelled at any moment. A deeper book can absorb a larger order with less price movement.
How depth is measured
The order book has two sides: bids, the prices buyers are willing to pay, and asks, the prices sellers are willing to accept. Depth is the money resting within a set distance of the price, added up separately for each side. You pick a distance, for example everything within 5% below the best bid, and sum the value of every resting order inside it.
BlackForge measures depth in fixed percentage bands rather than a single number, because the shape matters as much as the total. On the buy side it reports resting liquidity from the best bid down to 5%, 10%, 15%, 20% below it, and the whole book. On the sell side it reports from the best ask up to 30%, 60%, 100% and beyond. Each band is the value resting within that distance of the price, bid and ask counted independently.
Two honest caveats travel with every depth number. The first is that it is resting size, not executed size: an order posted 3% below the price can be cancelled a second later and never trades. The second is reach. The book a venue streams does not extend infinitely, so BlackForge also reports how far the maintained book actually reaches on each side. A band wider than the reach is only the part of the book that was held, not a claim about the rest.
What depth looks like in real data
Here is the top of book and the two nearest depth bands for BTCUSDT on binance, in the most recent closed five-minute window. The bid and ask depth are in quote value; the best bid and best ask are prices. These are measured, not illustrative.
BTCUSDT on binance
- Best bid
- 76,268.5
- Best ask
- 76,268.51
- Bid depth to -5%
- $48.1M
- Ask depth to +30%
- $139.7M
What depth tells you, and what it does not
Depth is a measure of how much size the market is holding close to the price. A book with large near bands can take a bigger order before the price has to move to find the next resting order; a thin book moves further on the same order. That is a structural property of the pair and the venue at that moment, and it is what depth measures.
What depth does not tell you is direction. A large bid band is not a promise that price will rise, and a large ask band is not a promise it will fall, because the size resting there can be pulled before anyone trades against it. Depth is one measurable component of liquidity, not liquidity itself and not a forecast. It sits alongside the trade tape and the book behaviour columns, which measure what actually happened rather than what is posted.
Related columns
The depth-band columns live in the bookWalls family: the buy-side bands (downDepth5 through downDepthFull) and the sell-side bands (upDepth30 through upDepthFull), plus the reach columns (bidDepthReachPct, askDepthReachPct) that qualify them. The best bid and best ask sit in the book-micro family. All are measured per pair per closed five-minute window across nine spot venues.
See the full metric reference, or browse the glossary.
Does order book depth mean guaranteed liquidity?
No. Depth is resting order size, and a resting order can be cancelled at any time before it trades. It tells you what the book is holding at the moment it was measured, not what will actually execute. Real liquidity is the size that stays long enough to trade against, which is why depth is best read alongside the trade tape and the liquidity added and removed columns.
What is the difference between market depth and liquidity?
Depth is one measurable input to liquidity, not the whole of it. Liquidity is the broader idea of how easily you can trade size without moving the price, which also depends on how fast resting orders are replaced and how much actually trades. Depth captures the posted-size part of that picture, band by band, at a point in time.
How is depth measured?
By summing the value of every resting order within a set distance of the top of book, on each side separately. BlackForge reports fixed bands, for example bid liquidity to 5% below the best bid and ask liquidity to 30% above the best ask, per pair per closed five-minute window. The value is in the quote currency of the pair.
Can I compare depth across exchanges?
Not by raw value. The order book each venue streams reaches a different distance and updates at a different granularity, so the same band means slightly different things on different exchanges. BlackForge reports the reach of the maintained book so you can see this, but the honest comparison is within one venue over time, or across pairs on the same venue.