Order Book Depth

Definition

Depth refers to the volume of orders submitted on either side of the book.

Name	MetricID	Unit	Interval
Liquidity Depth 0.1 Percent Ask Volume (Units)	liquidity_depth_0_1_percent_ask_volume_units	Native Units	1h
Liquidity Depth 1 Percent Ask Volume (Units)	liquidity_depth_1_percent_ask_volume_units	Native Units	1h
Liquidity Depth 2 Percent Ask Volume (Units)	liquidity_depth_2_percent_ask_volume_units	Native Units	1h
Liquidity Depth 5 Percent Ask Volume (Units)	liquidity_depth_5_percent_ask_volume_units	Native Units	1h
Liquidity Depth 10 Percent Ask Volume (Units)	liquidity_depth_10_percent_ask_volume_units	Native Units	1h
Liquidity Depth 0.1 Percent Ask Volume (USD)	liquidity_depth_0_1_percent_ask_volume_usd	USD	1h
Liquidity Depth 1 Percent Ask Volume (USD)	liquidity_depth_1_percent_ask_volume_usd	USD	1h
Liquidity Depth 2 Percent Ask Volume (USD)	liquidity_depth_2_percent_ask_volume_usd	USD	1h
Liquidity Depth 5 Percent Ask Volume (USD)	liquidity_depth_5_percent_ask_volume_usd	USD	1h
Liquidity Depth 10 Percent Ask Volume (USD)	liquidity_depth_10_percent_ask_volume_usd	USD	1h
Liquidity Depth 0.1 Percent Bid Volume (Units)	liquidity_depth_0_1_percent_bid_volume_units	Native Units	1h
Liquidity Depth 1 Percent Bid Volume (Units)	liquidity_depth_1_percent_bid_volume_units	Native Units	1h
Liquidity Depth 2 Percent Bid Volume (Units)	liquidity_depth_2_percent_bid_volume_units	Native Units	1h
Liquidity Depth 5 Percent Bid Volume (Units)	liquidity_depth_5_percent_bid_volume_units	Native Units	1h
Liquidity Depth 10 Percent Bid Volume (Units)	liquidity_depth_10_percent_bid_volume_units	Native Units	1h
Liquidity Depth 0.1 Percent Bid Volume (USD)	liquidity_depth_0_1_percent_bid_volume_usd	USD	1h
Liquidity Depth 1 Percent Bid Volume (USD)	liquidity_depth_1_percent_bid_volume_usd	USD	1h
Liquidity Depth 2 Percent Bid Volume (USD)	liquidity_depth_2_percent_bid_volume_usd	USD	1h
Liquidity Depth 5 Percent Bid Volume (USD)	liquidity_depth_5_percent_bid_volume_usd	USD	1h
Liquidity Depth 10 Percent Bid Volume (USD)	liquidity_depth_10_percent_bid_volume_usd	USD	1h

Details

Depth refers to the volume of orders submitted on either side of the book. While full orderbook depth is always of interest, this number can often be skewed by large buy/sell orders at price levels far away from the current trading price. An example of this is institutions placing large limit orders to buy BTC at deep support prices. A more relevant measure of depth, then, is the volume in the orderbook within a certain percentage of a reference price. This shows the quantity of orders surrounding an actionable price range.

For example, let’s say Bitcoin is currently trading at $25,000 on exchange X. Large institutions may fill the book with large orders to buy at $20,000 just in case bitcoin hits that level. But this obscures the active, interested trading at the current price level. So instead, we calculate the 2% Depth, or the depth of the orderbook within 2% of $25,000. This would be the total volume of buy side of the orderbook from the top down to $24,500, and the total volume of the sell side of the orderbook from the top up to $25,500.

API Endpoints

Liquidity order book depth metrics can be accessed using the following endpoints:

• timeseries/market-metrics

Market metrics

Returns metrics for specified markets. Results are ordered by tuple (market, time). To fetch the next page of results use next_page_url JSON response field.

GEThttps://api.coinmetrics.io/v4/timeseries/market-metrics

Authorization

api_key

Query parameters

Response

200400401403414

Time series of market metrics.

Body

application/json

data*any

next_page_tokenNextPageToken (string)

Token of the next page results for a given request.

next_page_urlNextPageUrl (string)

URL of the next page results for a given request.

Request

ShellPython

curl --compressed "https://api.coinmetrics.io/v4/timeseries/market-metrics?markets=binance-BTCUSDT-future&metrics=liquidations_reported_future_buy_usd_5m&frequency=5m&pretty=true&api_key=<your_key>"

Response

{
  "next_page_token": "text",
  "next_page_url": "text"
}

Examples

A sample of the 2 percent liquidity ask depth (Units) for the Coinbase BTC-USD spot market is shown below:

{
  "data" : [ {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-04T20:00:00.000000000Z",
    "liquidity_depth_2_percent_ask_volume_units" : "9866859.984315595"
  }, {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-04T21:00:00.000000000Z",
    "liquidity_depth_2_percent_ask_volume_units" : "10170729.085314134"
  }, {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-04T22:00:00.000000000Z",
    "liquidity_depth_2_percent_ask_volume_units" : "10909944.294472648"
  }, {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-04T23:00:00.000000000Z",
    "liquidity_depth_2_percent_ask_volume_units" : "10983104.902848331"
  }, {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-05T00:00:00.000000000Z",
    "liquidity_depth_2_percent_ask_volume_units" : "11103789.859471431"
  } ]
}

• market: The id of the markets.\

• time: The time in ISO 8601 date-time format.\

• liquidity_depth_2_percent_bid_volume_usd: The USD depth of orderbook asks within 2 percent of the mid price.

Frequently Asked Questions

How often are the metrics calculated?

The depth metrics are calculated once an hour.

Release History

• Release Version. Market Data Feed v2.8 on May 2023.