Definition. How much resting liquidity sits on one side of the book within a chosen price band around mid, in quote currency (e.g. USD/USDT). Depth is the total size of waiting limit orders - buy orders below the market (bid side) or sell orders above it (ask side).

Interpretation. More depth means the market can absorb larger trades with less price movement. The core liquidity measure - use it to size orders and track liquidity over time or across venues. Thinning depth often precedes wider spreads and higher price impact.

Technical. Time-weighted total resting volume in quote currency on the selected side, within the chosen bps band around mid-price, over the resolution bucket. Coinbase publishes its full book, so the figure is complete at any depth. Binance publishes only the levels nearest the mid and then changes to the book, so on Binance the figure beyond roughly 500bps reflects orders observed since tracking began and should be read as a minimum rather than a total.

Note: Second intervals and tick-level data can be made available as a bespoke request. Please reach out via Contact Us to learn more.