Cumulative Depth
Category: Structure
Formula
CumD(x) = Σ D_k for k = 0 to x
CumS(x) = Σ S_k for k = 0 to x
Running sum of demand (or supply) USD liquidity from mid-price outward to level x.
Intuition
Cumulative depth is the running total of what stands between the current price and a target level. A single bucket might look thin, but the sum of all buckets between here and there tells you the real cost of moving price. It answers: how much capital is required to push the ratio from here to there? When the cumulative curve is steep near mid, the market is defended. When it is flat, there is little resistance.
What It Answers
How hard is it to move?
The total liquidity that must be consumed to move the ratio price by a given percentage from mid.
Visual Representation
- Panel: Depth chart (top-right) — cumulative curve overlay
- Display: Smooth curve overlaid on the bar depth chart, toggled via
showCumCurvein settings - Axis: Same horizontal axis as depth (percentage from mid); curve value = cumulative USD
Behavioral Interpretation
| Condition | Interpretation |
|---|---|
| IF cumulative curve steep near mid | THEN heavy near-mid liquidity — price movement requires large flow |
| IF cumulative curve flat near mid | THEN thin near-mid liquidity — small flow can move price significantly |
| IF demand cumulative >> supply cumulative at same distance | THEN asymmetric support — easier to move supply-side (up in ratio) |
| IF supply cumulative >> demand cumulative at same distance | THEN asymmetric resistance — harder to push ratio up |
Failure Modes
- Misleading totals: A large cumulative total far from mid does not protect the near-mid. Price moves happen at the near-mid first. Heavy depth at 2% away is irrelevant if the first 0.5% is empty.
- Dynamic replenishment: The cumulative curve is a snapshot. In fast markets, liquidity is pulled and re-placed constantly. The curve can change faster than the refresh rate in volatile conditions.
Interactions
With Depth: Depth shows per-bucket values. Cumulative depth integrates them. A thin single bucket inside a thick cumulative region is not a gap — it is noise. Cumulative smooths the bucket-level view.
With Displacement: Cumulative depth defines the cost of sustaining displacement. If displacement is +0.1% and cumulative supply ahead is thin, the displacement can grow cheaply. If cumulative supply is thick, maintaining the displacement requires sustained aggressive flow.
With Trade Flow: Cumulative depth divided by trade flow rate gives an approximate "time to breach" for a level — how long current flow intensity would take to consume the resting liquidity.