Description

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. /spot-analytics-information-order-book-depth /spot-analytics-order-book-depth /spot-analytics-order-book-depth-average

Availability

We cover major tokens such as BTC, ETH, XRP, SOL, and USDT for exchanges with limited Depth order count, while all pairs for exchanges with Full Depth. Please use the information endpoint to find all coverage and exact trading pairs.
ExchangeHistoryGranularityDepth Order Count
Binance2025-01-011min5000
Binance.us2025-01-011min5000
Bitstamp2025-01-011minFull
Bybit2025-01-011min200
GDAX (Coinbase)2025-01-011minFull
Gemini2025-01-011minFull
OKEx (OKX)2025-01-011min1000
itBit2025-01-011minFull
Huobi2025-01-011min100
Bullish2025-01-011minFull
Deribit2025-01-011min1000
kraken2025-01-011min100

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.