Depth is meaningful only when the side, quote unit, midpoint, price band, venue, and snapshot time are specified.
Define depth by side and distance
Order-book depth is quantity or notional across price levels. Bid depth may absorb sells; ask depth may supply buys. A total without a distance rule misleads because an order 50% from the midpoint is less relevant to ordinary execution than one 0.5% away.
A price band makes comparisons explicit. With midpoint m and band b, include bids at or above m × (1 − b) and asks at or below m × (1 + b). Report ±1%, ±2%, or another chosen band consistently. Separate bid and ask values before calculating their ratio, and retain the number of levels or base quantities when possible.
Understand the application's aggregation
The pool endpoint uses the summary's last price, falling back to the best-quote average. It includes levels from one-fifth through five times a nonzero reference and sums price × quantity. This broad sanity band is not standard near-market depth and must not be called depth within 1% or another narrow interval.
The SUI/USDC summary calculation uses returned order-book levels and separately totals bid and ask quote notionals. Response labels do not change their economic meaning: they are not long and short positions. Historical changes show changes in displayed depth snapshots, not confirmed capital inflows or outflows, because execution, cancellation, and replacement can all alter totals.
- State the reference price and percentage band.
- Use price × base quantity to express quote notional.
- Compare snapshots only when scope and units match.
Normalize quote currencies carefully
USDC-quoted notional remains in USDC. For DEEP/SUI, SUI-per-DEEP price times DEEP quantity produces SUI, not USD, regardless of display formatting. A dollar estimate needs a separately sourced, timestamped SUI/USD rate.
Conversion introduces another moving input. If book data and the conversion price come from different times, the normalized comparison can be distorted. Whenever possible, compare depth within the same quote asset first. Report native quote depth alongside any converted estimate so readers can reproduce the calculation.
Use depth as a scenario, not a promise
Static depth estimates a hypothetical immediate order by walking levels. It cannot guarantee that orders remain or that matching follows the same sequence. Cancellations and competing takers can change the book. Depth is not 24-hour volume or TVL: these describe resting liquidity, completed trading, and protocol value under different definitions.
Illustrative ±2% depth band
Assume a DEEP/SUI midpoint of 0.050 SUI per DEEP. A ±2% band runs from 0.049 to 0.051 SUI. The rows are hypothetical.
- Included bid
- 100,000 DEEP × 0.0495 SUI = 4,950 SUI
- Excluded bid
- 200,000 DEEP × 0.0470 SUI; outside −2%
- Included ask
- 80,000 DEEP × 0.0505 SUI = 4,040 SUI
- Band ratio
- 4,950 / 4,040 = 1.23 bid-to-ask
Depth inside the stated band is modestly bid-heavy and denominated in SUI. Converting it to USD requires a timestamped SUI/USD price, and none of the resting depth is guaranteed to remain.
Common interpretation traps
- Reporting all-book totals without stating a price band or distance from midpoint.
- Displaying DEEP/SUI depth as USD even though its native quote notional is SUI.
- Interpreting a depth increase as confirmed inflow rather than possible order placement or replacement.
Frequently asked questions
Which depth band should I use?+
Choose one that matches the expected order size and volatility, then keep it consistent. Narrow bands describe immediate liquidity; wider bands describe more distant capacity.
Why exclude distant orders?+
They can dominate totals while offering little protection near the current market. Exclusion makes the measure more relevant, provided the chosen band is disclosed.
Can depth predict support or resistance?+
It can identify visible liquidity concentrations, but orders may move or cancel. Confirm persistence and actual trading behavior; no level guarantees a reversal or fill.