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Order Book Depth shows how much liquidity is available at varying distances from the best-bid/best-ask price, measured in basis points (bps). This provides a snapshot of market robustness and order book structure.
Details
This metric analyzes both bid and ask side liquidity within configurable percentage ranges from the best-bid/best-ask price. By aggregating depth across tranches like 10bps, 50bps, or 100bps, it becomes easier to identify where meaningful liquidity resides.
Liquidity concentration (e.g., most bids sitting within 20bps) can help assess potential slippage and execution quality, especially during large trades or volatility spikes.
/depth
Availability
We cover all instruments on major exchanges like Binance, Deribit, Coinbase (GDAX) and more.
Please use the information endpoint to find all coverage and exact instruments.
| Exchange | History | Depth Order Count |
|---|
| Binance | 2025-01-01 | 5000 |
| Binance.us | 2025-01-01 | 5000 |
| Bitstamp | 2025-01-01 | Full |
| Bullish | 2025-01-01 | Full |
| GDAX (Coinbase) | 2025-01-01 | Full |
| Gemini | 2025-01-01 | Full |
| OKEx (OKX) | 2025-01-01 | 1000 |
| itBit | 2025-01-01 | Full |
| Deribit | 2025-01-01 | Full |
Frequently Asked Questions
What are basis points in this context?
- One basis point is 0.01%. So 100bps means 1% away from the best-bid/best-ask price. The endpoint tracks liquidity depth at various bps levels.
Why is this useful during volatile periods?
- Order book depth gives a more complete view of where liquidity sits, allowing traders to anticipate price impact or dislocation.
What unit is the liquidity expressed in?
- Depth at the different basis point levels is expressed in the unit of a particular exchange/instrument.
