Market Depth Within 1%: Calculate Each Side and Estimate Execution

Define the reference and the one-percent boundaries

For this educational example, fix a reference at 100. Include asks priced up to 101 and bids down to 99, including levels exactly on those boundaries. Buyers use asks, while sellers use bids. The combined total can describe both sides but is not available entirely for either direction.

Another service might use the midpoint, last trade or a different reference, and it might report a two-percent band instead. A reference change can alter which levels qualify even if the book itself has not changed. Read the field definition before comparing two depth numbers.

The Kraken order-book API reference describes price-level book data. Aggregated quantity at a level does not establish how many individual users supplied it, nor guarantee that every unit will remain available until processing.

Calculate the ask side level by level

Assume the following hypothetical offers remain unchanged during a written calculation. The first three levels are inside the defined upper boundary of 101. The last level at 101.2 is outside. Prices are quote-currency units per asset unit, and no commissions are included.

Ask quantity within the band is 2 + 3 + 4 = nine units. Quote-currency value is 200.2 + 301.5 + 404 = 905.7. Multiplying all nine by the best ask would understate the value of consuming those levels because they have different prices.

A purchase of three units needs only two at 100.1 and one at 100.5. Its raw value is 300.7 and its average price approximately 100.2333. Total band depth describes coverage, whereas estimating a particular order requires only the portions of levels that its quantity uses.

Calculate bids separately for a sale

Assume bids offer to buy one unit at 99.9, two at 99.5 and three at 99. All fall within the lower boundary. Bid depth is six units, worth 99.9 + 199 + 297 = 595.9 quote units. Those are buying instructions a seller can match under the unchanged-book assumptions.

Selling three units uses one at 99.9 and two at 99.5, producing gross proceeds of 298.9 and an average of approximately 99.6333. Ask depth of nine cannot establish capacity to sell nine because those asks belong to other sellers rather than buyers for your units.

The combined fifteen units can be a legitimate descriptive total when explicitly labeled. It does not mean fifteen can be bought or sold within the band. Keep the directional details alongside any combined indicator so its operational meaning remains visible.

Do not add cumulative columns as separate levels

A display may show level quantity, level value and cumulative quantity. In our ask example, cumulative quantities are two, five and nine. Adding those cumulative values gives sixteen, which repeatedly counts earlier levels. Nine is the actual total quantity within the selected band.

Likewise, 905.7 is cumulative quote value and nine is asset quantity. Comparing a spending request of 500 directly with the number nine mixes units. First identify whether the request fixes money or asset units, then use the price levels for the appropriate calculation.

Visual grouping can also combine multiple original prices into one row. Check whether its displayed price is a group boundary, average or another label. Do not assume every grouped unit is executable at that one displayed number without the interface’s definition.

An order can exceed the band while its average stays inside

Buying ten units requires the nine inside our band plus one at 101.2. Total hypothetical value is 905.7 + 101.2 = 1,006.9, averaging 100.69 before fees. One fill is outside the one-percent upper boundary even though the overall average is below 101.

Therefore band depth is not the same as a rule that any larger order’s average must exceed one percent. Nor is it a slippage limit enforced by the product. It is a sum based on individual displayed level prices under your chosen definition.

A buy limit of 101 would not accept the extra unit at 101.2. It might fill nine and leave or cancel the remainder according to time in force. Separate the snapshot arithmetic from the instruction’s price conditions and lifetime. The IOC and FOK guide explains different remainder outcomes.

Historical volume and scores answer other questions

Twenty-four-hour volume accumulates earlier trades, possibly involving the same units repeatedly. It does not add capacity to the current nine-unit ask example. Activity aggregated across venues is also not interchangeable with depth for one pair where your balance is held.

The CoinMarketCap liquidity-score explanation describes a modeled comparison rather than this exact unit sum. Do not treat a score as the quantity inside your band or a commitment to fill an unexamined order size.

Liquidity at another venue can require funding, transfers, time and fees before it becomes relevant to your route. Keep the venue and pair attached to each snapshot instead of placing a whole-asset volume total beside a local book and assuming matching scope.

Check completeness and freshness of the data

Orders can be canceled, added or consumed before yours arrives. State the stable-book assumption in the educational calculation and separate it from the changing live market. A snapshot does not reserve offers.

For API data, confirm the requested number of levels and the update time. A response ending before the one-percent boundary may cover only part of the intended range. Mark incomplete coverage rather than presenting the retrieved portion as all liquidity in the band.

An automated pool also needs a route-and-size pricing model rather than direct reuse of a level-two book sum. Before comparing markets, align asset, quote currency, band, reference and side. Keep fees separate and use the transfer calculator for a distinct later transport stage. These checks make the depth figure reproducible without turning it into a promised execution.

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