Market Depth and Order Books: Read Size Beyond the Best Price

What the columns mean

An order book groups buying interest on the bid side and selling interest on the ask side. Each row associates a price with a quantity. The best bid and ask form the top of the book; additional rows show deeper levels. Spotware documents depth views and volume-weighted average prices, but the available view depends on the platform and the underlying data source.

Read the quantity unit before using a row. Four contracts, four lots and four units are not interchangeable. Also identify whether the display is an exchange book, aggregated liquidity available through a broker, or a simulated feed. A broker's visible depth is not a consolidated inventory of all buying and selling interest worldwide.

A four-contract order through two levels

Imagine an instrument with the following ask prices. This deliberately simple example assumes that displayed quantities remain available and there are no extra execution restrictions:

Hypothetical ask-side depth

Ask price	Available contracts	Used by a market buy of four
100.10	2	2
100.20	3	2
100.30	5	0

The average entry price is (2 × 100.10 + 2 × 100.20) ÷ 4 = 100.15. The best ask was 100.10, but it covered only half the order. The 0.05 average difference is a price distance. To express it in money, multiply by four contracts and the instrument's currency value per price unit.

A buy limit of 100.10 would restrict the acceptable execution price. Under these assumptions it could immediately obtain at most two contracts at that level. What happens to the other two depends on the order's lifetime and filling policy. See time in force and partial quantities before assuming the remainder stays active.

What depth leaves unknown

The screen and the order do not arrive at the matching system simultaneously. Orders ahead of yours may consume visible liquidity; resting interest may be canceled; additional interest may appear. Some markets also permit forms of undisplayed quantity. A screenshot therefore cannot prove that a later order should have filled at its displayed price.

A limit order resting at a traded price is not automatically first in the queue. The market's matching rules, earlier orders and the actual aggressing quantity all matter. This is why a candle touching a limit price is weaker evidence than the relevant order and transaction records.

Reconcile the result rather than the screenshot

Keep the requested quantity, order acknowledgment, every partial deal, any cancellation and the final position. Add filled quantities before calculating their weighted average. For example, two deals of two contracts each are one four-contract result; averaging their prices without quantity weighting works here only because their sizes are equal.

Across copied accounts, compare each account's own fills and available instrument. Different books, arrival times or requested sizes can create different results even from the same source instruction. The existing partial-fill guide extends that reconciliation task. None of these observations establishes a universal fill guarantee or platform compatibility.