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COIN DEPTH INDEX: the whole order book as one number

8 min · DYOR Education
FreeCOIN · Order book
Goal

Cover COIN DEPTH INDEX — the whole order book as one number from −100 to +100, three weighting methods and the fields comparing spot with futures.

COIN DEPTH INDEX on BTC/USDT: the whole order book as one line from −100 to +100
COIN DEPTH INDEX on BTC/USDT: the whole order book as one line from −100 to +100
What it shows

The whole order book in one number from −100 to +100 — that is the “Market index” field, the default. The other fields compare spot with futures.

How it's calculated:

  1. The order book is cut into shells — rings between neighboring depths: up to 1.5%, 1.5–3%, 3–5% … 30–60%.
  2. In each shell it computes (bid − ask) ÷ (bid + ask).
  3. The shells are averaged with weights.
  • +100 — bids only. −100 — asks only. 0 — equal.
  • Colored by sign.

Field. The index is calculated separately for spot and for futures. The field picks what to draw:

  • Market index — the index of one market, spot or futures per the “Market Type” field, from −100 to +100. The default.
  • Spot − futures — the difference of the indices, from −200 to +200. Plus — spot has more bids than futures.
  • |Spot − futures| — the same gap as an absolute value, from 0 to 200, without direction.
  • Alignment — the product of the indices on a −100…+100 scale. Plus — both markets look the same way, minus — they diverge.
  • Both markets — the average of the indices, from −100 to +100: the overall pressure across both markets.
  • Both markets + spot − futures — the average plus the divergence in one series, from −300 to +300.

For the comparison fields “Market Type” is ignored. On Coinbase, Hyperliquid and Deribit the field is hidden: they have one market. To compare a coin with the same asset on another exchange — the “Second Leg” in the Metrics Builder (the “Single metric” lesson).

up to 1.5%(bid − ask) ÷ (bid + ask) = +271.5–3%(bid − ask) ÷ (bid + ask) = -43–5%(bid − ask) ÷ (bid + ask) = +295–8%(bid − ask) ÷ (bid + ask) = -6… 30–60%(bid − ask) ÷ (bid + ask) = -2bidsasksweighted average → index from −100 to +100
A shell is a ring between neighboring depths. Each has its own skew; the index is their average.
What it's for

Answer with one number whose side is heavier across the whole book and by how much. The number is comparable between coins, so one condition suits them all. The “Weighting” setting picks what matters more: near money or far money.

For example.

  • The same order book. With EQUAL weighting the index is +40, with NEAR FOCUSED −10.
  • With equal weights the bids outweigh. With emphasis on the near shells — the asks.
  • So buyers' money sits far from price, and right next to it there are more sellers.
  • The condition “DEPTH INDEX > 30” reads the same on any coin.
Where to find it
Indicators›COIN›Order book›COIN DEPTH INDEX
Settings
FieldOptionsDefaultWhat it changes
MarketSPOT
Futures		SPOTWhose order book to count: the spot or the futures market.
SPOT or FUTURES in the pane legend.
- Want orders from people buying the coin itself — SPOT.
- Want orders from people trading with leverage — FUTURES.
On Coinbase, Hyperliquid and Deribit the switch does nothing: Coinbase is spot only, Hyperliquid and Deribit are futures only, the value is set by the exchange itself.
WeightingEQUAL
NEAR FOCUSED
BY VOLUME		EQUALThe weight of each shell.
EQUAL — all equal.
NEAR FOCUSED — nearer ones matter more, weight = 1 ÷ depth.
BY VOLUME — weight by the shell’s volume.
- Want every shell to be one vote, regardless of the money in it — EQUAL.
- Want the skew right next to the price — NEAR FOCUSED: it mostly counts the shell up to 1.5%, which weighs 40 times more than 30–60%.
Plus — more bids below price, minus — more asks above price.
- Want the skew by the money in the whole book — BY VOLUME.
FieldMarket index
Spot − futures
|Spot − futures|
Alignment
Both markets
Both markets + spot − futures		Market indexWhat to draw: the index of one market or a comparison of spot with futures.
For the comparison fields “Market Type” is ignored.
On Coinbase, Hyperliquid and Deribit there is no field: they have one market.
- Want the usual index — Market index.
- Want to see where spot and futures diverge — Spot − futures.
- Want one number for both markets — Both markets.
BTC pairsALL
USDT only		ALLWorks only on Binance and only for BTC.
ALL or USDT ONLY in the legend.
ALL — the sum of three pairs: BTCUSDT + BTCUSDC + BTCFDUSD.
USDT only — only the BTCUSDT pair.
For other Binance coins the data is always for the USDT pair; the parameter changes nothing.
Does nothing on Coinbase and Hyperliquid: Bitcoin has one pair there.
On Deribit too: the two BTC contracts are not added together.
- Want all of Binance's Bitcoin — ALL.
- Want to compare with a source that counts only BTCUSDT — USDT ONLY.
ExchangeChart
Binance
Coinbase
Hyperliquid
Deribit		ChartWhich exchange to take data from: Chart — the same one as the chart.
Binance — spot and futures, USDT pairs.
Coinbase — spot only, USD pairs.

Hyperliquid and Deribit — perpetual futures only, USDC pairs.
The list holds only exchanges where the coin trades.
Without a subscription there is no field.
- Want to compare one coin across exchanges — add the indicator several times and pick a different exchange in each.
In alerts

Metric COIN DEPTH INDEX. Condition fields:

ExchangeMarket TypeCoinBTC pairsTimeframeWeightingField

“BTC pairs” appears only when the coin is BTC.

TOTAL

TOTAL DEPTH INDEX — the same summed over the market. Fields: Exchange, Market Type, Total Type, Weighting, Field — the same six fields. In alerts — the TOTAL DEPTH INDEX indicator: Exchange, Timeframe, Market type, Total type, Weighting, Field. Also available as a source in the Metrics Builder.

Try it yourself
  1. Turn on COIN DEPTH INDEX. Switch “Weighting”: EQUAL → NEAR FOCUSED.
  2. Compare how the line changed.
What you should get. With NEAR FOCUSED the near shells weigh more and the line reacts more sharply to the book next to the price.
Takeaway

DEPTH INDEX cuts the book into shells between depths. In each it calculates (bid − ask) ÷ (bid + ask) and averages. +100 — only bids, −100 — only asks, 0 — equal. “Weighting” sets which shells matter more: all equal, the near ones or by volume. “Field” picks what to draw: the index of one market or a comparison of spot with futures — the difference, alignment, average.

Quick check

COIN DEPTH INDEX = +100 means…

Show answer

Correct answer: All shells hold only bids

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