Market Depth Bands: A Standard for Comparing Liquidity
Depth at ten levels means different things on different books. A case for measuring liquidity within fixed basis-point bands of the mid.
Liquidity reports often quote the quantity available in the top five or ten levels of a book. Because tick sizes and quoting behaviour differ, those levels can span very different price ranges. The resulting numbers look comparable but are not.
Fixed price bands
A band-based measure fixes the price distance instead. Depth at ±10 basis points is the total quantity resting within 0.1% of the mid on each side. The question it answers is concrete: how much can be bought or sold while conceding no more than a set amount of price?
Figure 1Cumulative depth around the mid, live
Live data- ±10 bps: near-touch liquidity for small and medium orders.
- ±50 bps: meaningful size without extreme concession.
- ±100 bps and beyond: capacity under stress and for very large orders.
This publication is provided for informational purposes only and does not constitute investment, legal, or tax advice, or an offer or solicitation to buy or sell any asset. Live figures are computed from third-party public market data and may be delayed, incomplete, or inaccurate.
