Aggregated Depth Delta

Aggregated depth delta combines orderbook depth changes across multiple exchanges, filtering out venue-specific idiosyncrasies to show liquidity provision shifts at the whole-market level.

The advantage of aggregation is filtering noise from single-venue inventory shifts — one exchange's depth collapsing may just mean a market maker moved venues, whereas simultaneous market-wide contraction reflects a genuine drop in risk appetite. Check the weighting method: notional-weighted aggregation lets the largest venue dominate, while equal weighting amplifies noise from small ones. Cross-venue depth also double-counts, since the same market maker quoting on several exchanges is tallied more than once.

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.

Venue coverage and weighting deserve explicit statement, because they drive every conclusion drawn from an aggregate. Summing raw notional lets the deepest venue dominate, which is often desirable since that is where marginal liquidity actually lives, while equal weighting treats a small exchange's book as being as informative as the largest's, which mostly imports noise. A middle path weights by traded volume rather than book depth, anchoring the aggregate to venues where quotes convert into fills. Double-counting is structural: global market makers quote the same inventory on many venues simultaneously, so aggregate depth overstates the capital genuinely committed, and the overstatement grows exactly when many venues share the same few makers. The aggregate earns its place when read against single-venue panels. Market-wide symmetric contraction appearing simultaneously across venues is one of the more reliable pre-volatility signatures, while contraction isolated to one exchange usually reflects idiosyncratic inventory or connectivity events rather than any market opinion.

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