How much can you really trust the depth of market window?

[Shadow Trader]

Open the depth window on a retail platform and a neat stack of bids and offers appears. The question is what that stack actually represents.

In spot FX there is no single central book. Whatever shows up is usually the broker's own aggregation of a few liquidity sources, sometimes filtered, sometimes rounded into buckets, and sometimes just a simulated ladder built from the current spread and a made-up size curve. Some platforms only show the top level plus a handful of synthetic steps. Size at each level may be capped, so a displayed 1 million might be a display limit rather than a real resting amount.

So is anything in there useful? Possibly. One thing worth checking is whether the levels ever change independently of price. A real aggregated book shows sizes shrinking and refilling while the best bid sits still. A fake or static ladder tends to look the same tick after tick, or its sizes move only when price moves. Another check is whether the displayed depth ever disagrees with what fills actually do. If a market order sized at three times the visible top level gets filled at the best price with no slippage, the displayed depth is decorative.

There is also the question of whether the information even matters at scalping size. If the account trades a few lots, the exact structure of the book beyond the first level may never touch the fills.

A sensible test is to log the top three levels for an hour on a quiet pair and see how often sizes change without a price change. Zero changes is its own answer.

Has anyone compared the depth window on their broker against actual slippage on larger market orders?