Depth Delta

Depth delta measures the net change in orderbook depth over an interval — not a snapshot of depth at a point in time, but the difference between liquidity added and removed. It captures liquidity-provider behaviour: where market makers replenish and where they withdraw.

The signal value lies in directional withdrawal of liquidity. Market makers shrink quotes when they expect one-way flow, which shows up as sustained net depth reduction on one side — often preceding a volatility expansion and therefore an earlier warning than price itself. Conversely, depth being replenished on both sides usually means makers see falling volatility risk. Distinguish the normal intraday liquidity cycle (Asian-session depth is naturally thinner) from genuine abnormal withdrawal.

Volume and market-structure metrics describe the size and distribution of trading activity. Methodologies differ sharply between venues (wash-trading filters, USD conversion), so confirm the accounting basis before comparing platforms side by side.

Interval choice defines the series: one-minute deltas capture quote management, hourly deltas capture regime shifts, and mixing the two on one chart hides both. Units are USD notional added or removed within the band, split by side, so the natural presentation is a paired series of bid delta and ask delta rather than a single net line. Symmetric withdrawal, with both sides shrinking, reads as risk-off behaviour by market makers, while asymmetric withdrawal reads as directional expectation. A crucial disambiguation against volume: depth can fall because orders were cancelled or because they were consumed by trades, and only pairing with executed volume in the same window tells which. Consumed depth accompanied by heavy prints is aggressive flow eating the book; cancelled depth on quiet tape is makers stepping away, historically the better leading indicator of volatility expansion. Snapshot-based collection systematically undercounts fleeting quotes, so treat absolute magnitudes as venue-specific and focus on within-venue changes over time.

The live chart for this metric is still being wired up. Global volume, venue share and perp-vs-spot pages already carry real data.