Page History

...

Qty	Bid	OrderDepth	Offer	Qty
1	1.20011	1	1.20020	3
2	1.20000	2	1.20020	1
1	1.20000	3	1.20023	3
2	1.19997	4	1.20029	1
2	1.19997	5	1.20037	4
5	1.19995	6	1.20042	1
2	1.19987	7	1.20042	3
1	1.19974	8	1.20042	1
1	1.19961	9	1.20056	1
5	1.19961	10	1.20063	1
7	1.19910	11
		12
		13
		14
		15

Price Depth

An Order Depth book, where multiple orders at a given price/side are aggregated together. Depending on the Venue, order count may also be provided.

		Count	Qty	Bid	PriceDepth	Offer	Qty	Count	Order Depth
	1	1	1	1.20011	1	1.20020	4	2	3	1
1	2	2	3	1.20000	2	1.20023	3	1	3
2	2	2	4	1.19997	3	1.20029	1	1	1
	5	1	5	1.19995	4	1.20037	4	1	4
	2	1	2	1.19987	5	1.20042	5	3	1	3	1
	1	1	1	1.19974	6	1.20056	1	1	1
5	1	2	6	1.19961	7	1.20063	1	1	1
	7	1	7	1.19910	8
					9
					10

Spread

This is not Bid/Offer spread, 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.

Count	Qty	Bid	Spread	Offer	Qty	Count
1	1	1.20011	0.0000	1.20020	4	2
1	1	1.20001	0.0001	1.20030	8	4
6	13	1.19991	0.0002	1.20040	12	5
7	15	1.19981	0.0003	1.20050	17	8
10	22	1.19961	0.0005	1.20070	19	10
10	22	1.19911	0.0010
11	29	1.19811	0.0020

Amount

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

...

Qty	Bid	FullAmount	Offer	Qty
1	1.20011	1	1.20020	1
2	1.20000	2	1.20020	2
5	1.19995	5
		10
		20
		50

...

Qty	Bid	PriceDepth	Offer	Qty
1	1.20009	1	1.20020	5
2	1.20000	2	1.20023	3
2	1.19997	3	1.20029	1
5	1.19995	4	1.20037	4
5	1.19987	5	1.20042	1
5	1.19974	6	1.20056	1
10	1.19961	7	1.20063	1
10	1.19910	8
20	1.19900	9
		10
		11
		12
		13
		14
		15

...

Qty	Bid	FullAmount	Offer	Qty
1	1.20009	1	1.20020	1
2	1.20005	2	1.20020	2
5	1.20001	5	1.20020	5
10	1.19998	10	1.20024	10
20	1.19989	20
5050	1.19950	50

Versions Compared

Old Version 14

New Version 15

Key

Price Depth

Spread

Amount