Depth & liquidity quality
Depth and liquidity quality view with spread, visible depth, and order-book balance metrics.
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How to read this page
Compare prompt-by-prompt liquidity quality under the selected filters. Tighter spreads usually mean better immediate tradability; larger visible size suggests more displayed liquidity; imbalance shows whether visible interest leans toward bids or asks. This is still a directional first-cut view, not a full-depth liquidity model.
Metric glossary
SpreadAsk minus bid. Smaller is generally better because it means a tighter market. Wider spreads are usually a warning sign for worse immediate liquidity, although what counts as ?good? still depends on product, prompt, and venue context.
Spread % of midSpread divided by midpoint, expressed as a percentage, where
mid = (bid + ask) / 2 and spread % of mid = ((ask - bid) / mid) * 100. Lower is generally better. This matters because the same raw spread can mean very different relative tightness at different price levels: a 1-point spread around 100 is much wider in relative terms than a 1-point spread around 1000. This makes cross-prompt comparison fairer than raw spread alone.Visible bid / ask depthDisplayed size on each side. In this upgraded view we use cumulative visible depth across the fetched levels, not only the best level. Higher visible size is generally better, but displayed depth can still disappear quickly and does not equal total executable liquidity.
Imbalance(Bid depth - ask depth) / (bid depth + ask depth). Values near 0 are more balanced. Strongly positive values mean bid-heavy visible interest; strongly negative values mean ask-heavy visible interest. This is a skew signal, not a standalone quality score.
Tight vs wide spreadTight spread means the prompt is trading with a relatively small gap between bid and ask, which is usually healthier. Wide spread means the prompt is trading with a relatively larger gap, which is usually a caution sign. On this page those states are judged relative to the other prompts currently shown, not by a universal market threshold.
Deep vs thin bookDeep book means relatively more cumulative visible size is available across the fetched levels. Thin book means very little visible size and/or very few visible levels are present. Thin books are easier to move and usually offer worse immediate liquidity.
Bid-heavy / ask-heavy / balancedBalanced means visible bid and ask depth are close to each other. Bid-heavy means visible size is skewed toward bids; ask-heavy means it is skewed toward asks. These are directional skew labels, not automatic good/bad judgments.
Trend labelsTrend chips compare the current prompt state against a recent prior snapshot. Tightening / widening refers to spread changing better or worse. Depth up / down refers to cumulative visible depth increasing or decreasing. Skew easing / worsening refers to the imbalance moving closer to balance or further away from it.
Most improved / deterioratedThese callouts are first-pass relative signals based on recent spread and depth changes. They help surface prompts whose quality appears to be improving or worsening fastest in the recent comparison window.
Sweep cost curveSimulates walking the visible book for different order sizes and reports the estimated slippage versus mid. It is useful because it turns displayed liquidity into a trading-cost view: not just whether size exists, but how expensive it becomes as you trade more size. Good means flatter curves, lower slippage, and more size executable within 1 / 2 / 5 bps. Bad means steep curves, partial fills at modest size, or strong buy/sell asymmetry. This is still a displayed-liquidity metric, not a full execution guarantee, because hidden liquidity and order cancellations are not captured.
Executable lots within X bpsConvenience readout from the sweep curve showing the largest fully executable displayed size within a slippage budget such as 1, 2, or 5 bps. It is valuable because it makes the book immediately comparable across prompts: larger numbers generally mean better immediate tradability. Lower numbers mean the book becomes expensive quickly.
LOB slopeFits a simple line to cumulative visible depth against distance from the best bid or ask. It measures how quickly liquidity builds as you move away from the top of book. Higher slope means displayed depth builds more quickly; lower slope means the book stays thinner as you move away from the best price. This is useful because it describes book shape, not just top-level size. Good is context-dependent, but a steeper and more stable build generally suggests healthier displayed depth. Very weak slope means liquidity does not build much beyond the top levels.
Slope asymmetry / leanCompares bid-side slope with ask-side slope. Positive asymmetry means depth is building faster on the bid side; negative asymmetry means it is building faster on the ask side. This brings directional context to the book shape, but it is not automatically bullish or bearish on its own because displayed depth can still move or disappear quickly.
Healthiest prompt
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Widest prompt
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Thinnest prompt
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Most imbalanced prompt
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Most improved prompt
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Most deteriorated prompt
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Depth recovering
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Skew worsening
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Rows analysed
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Tightest spread
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Median spread
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Avg spread % of mid
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Cumulative depth imbalance
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Thin-book prompts
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Spread by prompt
Blue bars show absolute spread only. Spread % of midpoint is broken out below so the smaller values are readable.Spread
Visible depth by prompt
Green bars show cumulative visible bid depth; orange bars show cumulative visible ask depth across fetched levels.Bid size
Ask size
Spread % of mid by prompt
Separate chart so relative tightness stays readable instead of being flattened by the absolute spread scale.Spread % of mid
Execution quality
Max buy within 1 bps
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Max buy within 2 bps
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Max sell within 1 bps
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Max sell within 2 bps
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Book shape
Steepest bid slope
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Steepest ask slope
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Strongest slope asymmetry
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Current lean
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Prompt quality table
| Prompt / Leg 1 | Leg 2 | Venue | Bid | Ask | Spread | Spread % mid | Cum bid depth | Cum ask depth | Imbalance | Levels | Thin book | Signals / flags | Trends | Time |
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