Market-Depth Analytics

8 algorithms in Market Microstructure.

In this family#

1. Cumulative Bid/Ask Depth contract

   Running total of quantity available as you walk out from the touch on each side — the basis of every question about how much can be traded before price moves.

   cumulativeDepth(bidsRaw, asksRaw, tickRaw)
2. Top-N Depth Imbalance contract

   Depth imbalance restricted to the top N levels — the same idea as queue imbalance, bounded to the part of the book that is realistically accessible.

   topNDepthImbalance(bidsRaw, asksRaw, nRaw, thresholdRaw)
3. Depth-at-Distance Profile contract

   Depth bucketed by distance from the touch, in ticks. Shows where liquidity actually sits rather than reducing the book to a single number.

   depthAtDistanceProfile(bidsRaw, asksRaw, tickRaw, maxRaw)
4. Expected Market-Order Fill Price contract

   Walks a market order through the book and returns the volume-weighted price it would pay. The honest answer to 'what will this cost' — and it can be a partial fill, which a naive estimate silently ignores.

   expectedFillPrice(bids, asks, side, quantity, limitPrice)
5. Multi-Level Sweep Cost and Slippage contract

   The cost of sweeping multiple levels, measured against a chosen benchmark. Slippage is only meaningful relative to a benchmark, so which one is a parameter rather than an assumption.

   sweepCostAndSlippage(bids, asks, side, quantity, benchmarkRaw, benchmarkPriceRaw, limitPrice)
6. Liquidity-Wall and Concentration Detection contract

   Finds levels holding disproportionate size — the 'walls' that act as short-term barriers. Worth treating with suspicion: a wall that disappears the moment price approaches it was never liquidity.

   liquidityWallConcentration(levelsRaw, multipleRaw, minShareRaw, thresholdRaw)
7. Depth Depletion and Replenishment contract

   Tracks depth being consumed and refilled over a sequence of snapshots. The pairing matters: depletion without replenishment is a book emptying out, which is the condition preceding a dislocation.

   depthDepletionReplenishment(seriesRaw)
8. Market-Depth Heatmap Aggregation contract

   Aggregates a sequence of book snapshots into a time-by-price grid — the data behind a depth heatmap, where persistent liquidity and fleeting quotes look completely different.

   marketDepthHeatmap(snapshotsRaw, tickRaw, binRaw, maxRaw)

What they share#

Every topic here is a record-transform, so once you have called one the rest follow the same shape. Import paths differ only in the final segment:

import { cumulativeDepth } from "fintech-algorithms/market-microstructure/market-depth-analytics/cumulative-bid-ask-depth";
import { topNDepthImbalance } from "fintech-algorithms/market-microstructure/market-depth-analytics/top-n-depth-imbalance";

Read them in the order above — the sequence is pedagogical, not alphabetical.

Where this sits#

Market Microstructure collects 29 algorithms across 5 families. For the concept behind this family rather than the call signatures, see the concept guides.