A long-form study of where market depth actually sits, and what happens to it under stress.
Method
We sampled order books across nine venues every fifteen seconds for ninety days, then reconstructed depth at each price level.
| Venue | Median depth | Stress depth |
|---|---|---|
| Venue A | $4.2m | $0.9m |
| Venue B | $3.1m | $1.4m |
| Venue C | $1.8m | $0.3m |
Findings
Depth is far more concentrated than headline volume suggests, and it evaporates in the direction of the move.