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.

Order book entropyMeasures how evenly displayed depth is distributed across the visible levels. Higher normalized entropy generally means liquidity is spread more evenly and the displayed book is more resilient. Lower entropy means size is clumped at fewer levels, which is usually a more fragile structure even if total depth still looks acceptable.

FragilityA simple interpretation layer on top of entropy. Low fragility is generally better because displayed liquidity is more evenly distributed. High fragility usually means the book depends on a few levels or a few visible orders, making immediate liquidity easier to disrupt.

Depth HHIHerfindahl-Hirschman Index of displayed depth concentration across visible levels. Higher normalized HHI means depth is concentrated at fewer price levels, which is usually more fragile. Lower HHI means liquidity is spread more broadly across levels. It complements entropy by measuring concentration directly rather than evenness.

ConcentrationSimple interpretation of HHI. Low concentration is generally better because the displayed book is less dependent on a few price levels. High concentration usually means liquidity is clumped and easier to disturb even if total displayed size still looks reasonable.

Roll implied carryCompares cash and 3M outrights to estimate the quality of trading the carry rather than only the outright legs. Lower carry spread cost is generally better because the calendar relationship can be traded more efficiently. High carry spread cost means the roll structure itself is expensive, even if one outright leg still looks acceptable.

StructureShows whether the cash versus 3M relationship implies contango, backwardation, or flat structure. The sign of the carry matters for interpretation, but the key quality question on this page is how expensive the spread is relative to the carry value itself.

Healthiest prompt

Widest prompt

Thinnest prompt

Most imbalanced prompt

Most improved prompt

Most deteriorated prompt

Depth recovering

Skew worsening

Rows analysed

Tightest spread

Median spread

Avg spread % of mid

Cumulative depth imbalance

Thin-book prompts

Spread by prompt

Ask minus bid. Smaller is generally better because it means a tighter market. Wider spreads usually signal worse immediate liquidity, although what counts as good still depends on product, prompt, and venue context.

Spread

Visible depth by prompt

Displayed size across the fetched levels. Higher depth is generally better because more visible liquidity is available, but displayed size can still move or disappear quickly. Large bid-ask imbalance can matter as much as the total size.

Bid size

Ask size

Spread % of mid by prompt

Spread scaled by midpoint price. Lower is generally better. This helps compare relative tightness across prompts, especially when outright price levels differ enough that raw spread alone is misleading.

Spread % of mid

Execution quality

Estimated cost of walking the displayed book. Better execution quality means more size can trade before slippage rises materially. Poor execution quality means the market becomes expensive quickly even if top-of-book still looks acceptable.

Max buy within 1 bps

Max buy within 2 bps

Max sell within 1 bps

Max sell within 2 bps

Book shape

Shows how quickly displayed liquidity builds away from the best bid and ask. Steeper, steadier build usually suggests healthier displayed book shape, while weak slope means liquidity stays thin beyond the top levels. Asymmetry adds directional context but is not a standalone trading signal.

Steepest bid slope

Steepest ask slope

Strongest slope asymmetry

Current lean

Depth distribution

Shows how evenly displayed depth is distributed across visible levels. Higher entropy usually means a more resilient book; lower entropy usually means liquidity is concentrated and more fragile.

Highest combined entropy

Highest normalized entropy

Lowest fragility

Bid vs ask balance

Depth concentration

Shows how concentrated displayed liquidity is across visible levels. Lower concentration is usually better because the book depends less on a few price points. Higher concentration usually means a more fragile displayed structure.

Lowest combined HHI

Lowest normalized HHI

Best concentration

Bid vs ask concentration gap

Prompt structure quality

Shows how expensive it is to trade the carry structure rather than only the outright legs. Lower carry spread cost is generally better because the cash-versus-3M relationship can be traded more efficiently.

Carry pair

Carry spread

Roll cost %

Structure

Prompt quality table

Detailed prompt-level view of bid, ask, spread, normalized spread, cumulative visible depth, imbalance, and thin-book state. 15s

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