How to read market depth
Depth is the queue behind the quote: how many shares are resting at each price on each side. It answers the question the price cannot, which is how much you can trade before you move it.
The top of the book is the least informative row. A market showing 200 shares at $0.61 and nothing until $0.68 is quoted at $0.61 and is effectively unquoted for any real position.
Resting orders can disappear
Resting orders can be cancelled, and they are cancelled fastest exactly when you want them, which is when news moves the market. Depth measured a second ago is an estimate of depth now, not a guarantee.
Large orders sitting far from the touch deserve particular suspicion. A block that has never been anywhere near executable may be there to shape what other traders think the market believes.
Where 0xinsider uses market depth
0xinsider records the book depth on the side each large trade hit, and the trade's page shows how much of it the fill consumed: size against the book, rather than a raw dollar figure that means different things in different markets.
