Order Book, Order Depth, and Order Depth Chart – perpvia

Understanding these three concepts is fundamental to grasping market liquidity and the supply-demand relationship. This article starts with the basics of the order book, then introduces order depth and its visual chart.

1. Order Book

The order book is a tool that records all outstanding buy and sell orders in the market in real time. It displays information such as the price, quantity, and cumulative volume of buy and sell orders. The order book is usually divided into Bids and Asks, arranged from high to low price and low to high price respectively.

Bids: Orders from traders wishing to buy, arranged from highest to lowest price.
Asks: Orders from traders wishing to sell, arranged from lowest to highest price.

The red area above represents the sell orders (Asks), which are sell limit orders above the market price, arranged from lowest to highest price from bottom to top.

The green area below represents the buy orders (Bids), which are buy limit orders below the market price, arranged from highest to lowest price from top to bottom.

The middle 66,300.01 is the current latest transaction price. The "Total" column in each row shows the cumulative volume of orders starting from the market price level.

The order book helps traders understand the current market supply and demand. By observing the orders on both buy and sell sides, one can gauge market sentiment and identify support and resistance levels.

2. Order Depth

Building on the order book, order depth further measures the cumulative volume of buy and sell orders at different price levels. It reflects market liquidity — the more orders at a price level, the better the depth, meaning that larger volumes can be absorbed without causing sharp price fluctuations.

Order depth reflects the market’s supply and demand structure:

Bid depth: The cumulative volume of buy orders below the market price, representing market demand and support.
Ask depth: The cumulative volume of sell orders above the market price, representing market supply and resistance.

When there is a significantly large number of orders near a certain price level, it usually indicates strong support or resistance at that level, causing the price to pause or fluctuate repeatedly.

3. Order Depth Chart

The order depth chart is a graphical representation of order depth, plotting the cumulative buy and sell order volumes from the order book as stepped filled curves, allowing you to quickly see market liquidity and the distribution of support/resistance. It is two ways of visualizing the same data from the order book.

订单深度图说明_英文.png — Order Depth Chart Illustration

On the PerpVia platform, the order depth chart is presented with a left-right expansion:

Left green area: The cumulative quantity of buy orders (Bids). The further left (lower price), the larger the cumulative orders, representing market demand.
Right red area: The cumulative quantity of sell orders (Asks). The further right (higher price), the larger the cumulative orders, representing market supply.
Middle dashed line: The current market price. The gap on either side represents the spread between the best bid and best ask prices. A smaller spread indicates better liquidity.

Tip: The order book (Figure 1) and the depth chart (Figure 2) describe the same thing — the order book lists orders vertically with sells on top and buys below, while the depth chart shows cumulative volumes horizontally with buys on the left and sells on the right. You can use whichever you prefer.

How to interpret the depth chart:

The steeper the curve, the denser the orders in that price range, indicating better liquidity and that the price is less likely to move easily.
The flatter the curve, the sparser the orders, meaning a large market order could cause significant price slippage.
Sharp vertical steps indicate large orders at certain price levels (commonly called "order walls"), which often form clear support or resistance levels.