What does historical BTC order book depth measure?
It records the resting bid and ask liquidity, spread, and modeled price impact available in past BTC book snapshots rather than using current volume as a proxy for executable liquidity.
Order Book Depth
Exchange | Latest | Avg ↑ | P95 | Max | Fill | Best Venue | Samples |
|---|
 Binance | - | - | - | - | - | - | 0 |
 Bybit | - | - | - | - | - | - | 0 |
 Hyperliquid | - | - | - | - | - | - | 0 |
 Lighter | - | - | - | - | - | - | 0 |
 Coinbase | - | - | - | - | - | - | 0 |
 Kalshi | - | - | - | - | - | - | 0 |
 Extended | - | - | - | - | - | - | 0 |
FAQs
BTC historical order book depth questions
Historical BTC buy-side liquidity shows how modeled execution costs and available book depth changed across venues over time.
How is historical BTC buy slippage calculated?
For each snapshot and USD order-size tier, the book is walked from the best available quote until the requested buy notional is filled. The resulting volume-weighted average price is compared with the starting mid price.
What is the difference between slippage and total execution cost?
Slippage measures book impact only. Total execution cost adds the venue's configured taker fee, which can change the cheapest exchange even when another venue shows a tighter raw book.
Why can BTC buy and sell liquidity differ?
Bid and ask books contain different resting orders. During directional markets, one side can thin out much faster, so an equal-sized buy and sell can have materially different price impact.
How should historical depth be used for venue selection?
Compare the same side, symbol, and USD size across venues and time. A venue that is consistently inexpensive is more dependable than one that only leads a single snapshot; also account for fees, book failures, and insufficient-depth periods.