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.

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