Order Book Depth

Depth is always measured relative to a threshold: within half a percent of mid, within one percent, within two percent. The threshold changes the number completely. A book can look shallow at half a percent and substantial at two percent, and a firm reporting only the more flattering threshold is not misreporting so much as choosing the frame. Comparisons are only valid at the same threshold. Sided measurement matters as much as the threshold. Depth is reported per side because bid depth and ask depth are frequently asymmetric, and the asymmetry is informative. A book with strong bid depth and thin ask depth behaves very differently from a balanced one, particularly around an unlock or another supply event. Averaging the two sides into a single figure discards that. Depth is also a snapshot of resting orders, not a promise. Orders can be cancelled, and depth measured at one instant can evaporate before an order arrives. This is why depth is most useful measured over time rather than at a point, why it is read alongside uptime, and why it is paired with spread. Depth answers how much can trade, spread answers at what cost, and neither answers the other's question.