Market Depth Calculation

Market Depth formula:

Fillp=
(  Lv1*Lp1 )  +  ( Lv2 * Lp2)
RV

Where

Fillp = Executed Price
Lv = Layer Volume
Lp = Layer Price
RV = Requested Volume


Example


Requested Volume 6 Lots Buy (entering the Market)

Market Depth Buy Side
LayersBuy VolumePrice
359905
239903
119902
Fillp=
(1*9902) + (3*9903) + (2*9905)
6
Fillp=
(9902) + (29,709) + (19,810)
6
Fillp=
59,421
6
Fillp = 9,903.5

Requested Volume 6 Lots Sell (exiting the Market)

Market Depth Sell Side
LayersBuy VolumePrice
369904
23.59903
10.89901
Fillp=
(0.8*9902) + (3.5*9903) + (1.7*9905)
6
Fillp=
(7921.6) + (34660.5) + (16,836.8)
6
Fillp=
59,418.9
6
Fillp = 9,903.15

IMPORTANT NOTES

  • With traditional Crypto Exchanges, the order book (Market Depth) reflects clients’ limit orders (By and Sell Interest at specified prices), and there is always the possibility that these will not be executed. CryptoGT, on the other hand, uses its aggregation engine to absorb market and trade data from various counterparties (liquidity providers that are willing to accept orders at different sizes with no rejections) in real time, thus providing 100% executable prices.
  • MT5 limit orders do not add liquidity into the order book and are treated only as pending orders to buy or sell a financial instrument at a specified future price. The price specified represents the top of the book price or the lower band of the book price (highest bid and lowest ask prices).  Once a limit order is triggered, it becomes a normal market order and it is transmitted through the order book for execution. The final price depends on the size of the order. This means that if the size is greater than the lower band, the order will be executed at a different price than the one specified when placing the pending order using the formula explained above.

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