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This is not Bid/Offer spread, rather but the liquidity available at a pre-defined price offset from top of book. Usually issued in snapshot form, since the entire view changes with each change of top of book price in the base OrderDepth book.
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Presents VWAP prices for pre-defined volume rungs. Because the view aggregates multiple resting orders, a single aggressing order may well result in multiple partial fills, since you are effectively trading through the base Order Depth book.
| Qty | Bid | Amount | Offer | Qty | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | 1.20011 | 1 | 1.20020 | 1 | ||||||||||||
| 2 | 1.20006 | 2 | 1.20020 | 2 | ||||||||||||
| 5 | 1.20002 | 5 | 1.20021 | 5 | ||||||||||||
| 10 | 1.19999 | 10 | 1.20025 | 10 | ||||||||||||
| 20 | 1.19988 | 20 | ||||||||||||||
| 50 | ||||||||||||||||
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