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Learning Path00 Start Here01 Big Picture
IntroductionWhat Is an Order BookBids and AsksSpread and Mid PriceLimit OrdersMarket OrdersDepth and Liquidity
Matching Engine Basics02 Core Domain03 Matching Flow05 Guided Exercises06 Visual Guide07 Why This Design08 Performance Bridge
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DocsMarket Structure

Depth and Liquidity

How to interpret size, cumulative totals, and the depth profile.

Depth and Liquidity

Depth is about how much liquidity is available as you move away from the touch.

Size vs total

In the ladder:

  • **size** = quantity resting at one exact price level
  • **total** = cumulative quantity up to that level

Example:

LevelSizeTotal
171.9842.1842.18
171.9538.7280.90
171.9234.61115.51

Why totals matter

Totals make it easier to see how much liquidity is stacked in aggregate.

That is often more useful than one isolated level when thinking about price impact.

Why the depth chart matters

The depth view turns the ladder into a shape:

  • left side = cumulative bids
  • right side = cumulative asks

That shape helps you see:

  • imbalance
  • thick vs thin regions
  • whether liquidity is concentrated near the touch

Reading the chart correctly

The chart is not trade history. It is not a candlestick chart.

It is a visual summary of current cumulative liquidity.

Practical use

For learning, switch between:

  • split view
  • depth view
  • totals on/off

That comparison builds intuition quickly.

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Size vs totalWhy totals matterWhy the depth chart mattersReading the chart correctlyPractical use