Depth Chart

Cumulative order book liquidity visualized as a step function by price.

The depth chart renders the cumulative liquidity on both sides of the order book as a continuous step function. Unlike the raw order book table — which shows quantity at each discrete price level — the depth chart accumulates quantities as you move away from the mid-price. This makes it easy to answer questions like: how much ETH can I buy before the price moves by $50?

• X axis: Price. The center is the mid-price (midpoint of best bid and best ask). The left side extends into the bid prices; the right side extends into the ask prices.
• Y axis: Cumulative quantity. For bids, this is the total quantity you could sell at that price or better. For asks, the total quantity you could buy at that price or better.
• Bid curve (left, green): Steps down from the best bid outward. Each step represents a price level in the book.
• Ask curve (right, red): Steps up from the best ask outward. Each step represents a price level in the book.

To estimate the slippage of a buy order of size Q, find Q on the Y axis of the ask curve and read the corresponding X value. That X value is the price at which the Q-th unit of your order would fill. The difference between that price and the current best ask is the slippage for the marginal unit.

For the average fill price across the entire order, integrate across the step function from the best ask to the price at quantity Q. The depth chart tooltip (hover over the chart) shows this estimate as you move your mouse.

Hovering over either side of the depth chart shows:

• The cumulative quantity available up to that price
• The price at that point
• The estimated average fill price for an order of that size