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.

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