Book depth (levels per side)
Book depth is the number of price levels on each side of the order book for which a data feed publishes resting size, counted from the best bid downward and from the best ask upward. It is a property of the feed and the exchange product, not of the charting software, and it caps what any DOM or heatmap can display.
Senzoukria · Glossary · Updated September 2026
Levels, not size
Depth counts prices, not quantity. A feed publishing ten levels per side gives the resting size at the best bid and the nine prices below it, and at the best ask and the nine prices above it, whatever the sizes are. Anything beyond the tenth level exists on the exchange but is invisible to the subscriber. Different products and subscription tiers deliver different depth: exchange full-book feeds, broker feeds with a fixed number of levels, and crypto venues that publish a chosen number of levels per snapshot. The DOM software guide on this site advises asking a data vendor how many levels are delivered for the instrument and whether the depth is aggregated per price or order-by-order.
What truncation does to the picture
- A wall pushed beyond the last published level by new orders closer to the market vanishes from the display without being cancelled.
- When price moves, levels enter and leave the published window; a level that 'appears' may have been resting for an hour outside it.
- Cumulative depth summed over the published levels is bounded by the window; comparing it across feeds with different depth is meaningless.
- On a heatmap, the visible band of colour is only as tall as the published window around the current price; blank rows beyond it are unobserved, not empty.
Display settings are a separate matter
A ladder can be configured to show fewer levels than the feed delivers, for screen space, or to aggregate several ticks into one row. Neither changes the data. The reverse is impossible: no setting can show levels the feed did not publish. Keeping the two apart avoids a common misreading, where a ladder set to show five rows is taken as a five-level feed, or a twenty-row ladder on a ten-level feed shows ten rows that are silently empty.
In Senzoukria
The DOM panel has a Levels per side setting with an All option, and the heatmap's DOM ladder has its own Levels / side control; both are display choices. Separately, the ladder header shows Depth received, described in the application as how many levels the feed actually publishes on each side, and explicitly not a display setting. For crypto history, the Historical order book view states its coverage as Bybit, 200 levels per side, one-second samples, with blank columns meaning no observations. On CME, depth comes through the connected broker or Databento feed, billed by the provider per dataset.
Common mistakes
- Reading the last published level as the edge of the market.
- Judging a vendor's depth from the ladder's row count.
- Treating rows beyond the feed's depth as zero liquidity in any calculation.
- Comparing book depth between a futures contract and a crypto pair without noting tick size and aggregation.
Related
This page in other languages
Frequently asked questions
- Is more depth always better?
- More published levels reveal more of the book, which matters for cumulative depth and for seeing walls before they enter a narrow window. It also costs more bandwidth and, on most feeds, more money, and levels far from the market are pulled and replaced constantly. The right depth depends on whether the reading is about the best few levels or about size waiting several points away.
- Why does the number of levels change during the session?
- Some feeds publish a fixed window; others publish every level with resting size, so the count varies as orders arrive and leave. A crossed or empty book during a halt or a fast move can also shrink the count temporarily. The value shown as depth received reflects the feed at that instant.