What the depth of market window actually shows

[Fairman]

What the depth of market window actually shows

Some platforms offer a depth of market window with stacked bids and offers and sizes next to them. It looks like an exchange order book. In spot forex, it rarely is.

What appears in that window is usually the broker's own view: the aggregated quotes it receives from its providers, or in some cases a simulated ladder built from the top-of-book price. The sizes are often indicative rather than firm. A quote showing 5 million at a price may disappear the moment someone tries to trade it.

There is no central book in spot forex. Every venue has its own, and no retail platform sees all of them. So the stack on screen is a slice of one broker's liquidity at one moment.

That does not make it useless. Changes in the displayed sizes carry information. Quotes thinning out on one side before a move is a common pattern. A level that keeps refilling after being hit suggests a patient participant.

Cautions worth keeping in mind:

- Displayed size is not guaranteed size
- Different brokers show different stacks for the same pair at the same instant
- Some platforms refresh the window more slowly than the price, so it can lag
- A ladder that never changes is probably synthetic

A useful test is to compare the depth window with the actual fill size on a series of small orders. If a displayed offer of 2 million only ever fills 0.5, the number is decoration.

The window works best as a rough gauge of liquidity conditions, thick or thin, rather than as a map of where orders sit.

A closing practical point: the depth window changes behaviour around news. Displayed sizes shrink in the minute before a release and sometimes vanish entirely, which is useful as an early warning even though the numbers themselves are unreliable. A trader who glances at the window before each entry gets a rough reading of how thick or thin the market is at that instant, and that reading costs nothing to collect.

How closely have the sizes shown in the depth window matched what fills actually did?

[Shadow Trader]

Some retail platforms offer a "depth of market" window that shows bids and offers at different levels with sizes. It looks like an order book, and it's tempting to read it like one for futures.

In spot forex, there's no central book. Each liquidity provider has its own, and the broker aggregates some of them, or none. The depth window may show real prices from several providers, or may show a simulated ladder generated from a single price. Sizes can be indicative only.

Even in the best case, what appears is a subset of the market, and orders shown at a level can disappear before an order reaches them. Spoofed-looking behavior (large sizes appearing and vanishing) may simply be liquidity providers refreshing quotes.

Strategies that rely on "seeing the wall" in that window can be seriously misled. The wall may be one provider's quote and nothing more.

Something more reliable is comparing the same instrument's currency futures on a regulated exchange, where the book is genuine and centralized, though it represents only a portion of total volume.

There's a further trap in how depth shows up. Some platforms aggregate sizes across providers at the same price and display a single big number. A visible "5 million at 1.0850" might be five separate one-million quotes from five providers, each with its own last-look policy. When an order of two million arrives, it may be split, with some pieces rejected.

The only dependable way to know the real depth is to test it. Send orders of gradually increasing size at a quiet moment and watch how the fill price changes. The point where the price starts to slip shows the practical depth, which is often far less than the display suggests.

Futures markets offer a useful comparison. Their depth at the best price is genuinely tradable, so comparing the two shows how much of the retail display is real.

Is there any depth display on a spot forex platform that survived real testing?