Rolling Average Depth
Quick Reference
| Property | Value |
|---|---|
| Dimension | regime |
| Category | order_flow |
| Version | v1.0 |
| Output Column | avg_depth |
Rolling average of total order book depth 鈥?measures baseline liquidity
Formula
rolling_mean((best_bid_size + best_ask_size), window)
CDM Inputs
| Column | CDM Table | Description |
|---|---|---|
best_bid_size | cdm_lob_snapshot | Order book snapshot data 鈥?depth levels, bid/ask prices and sizes |
best_ask_size | cdm_lob_snapshot | Order book snapshot data 鈥?depth levels, bid/ask prices and sizes |
Parameters
| Parameter | Type | Default | Description |
|---|---|---|---|
window | integer | 300000 | Window for rolling average |
Output
Column: avg_depth
Rolling mean of total depth
Market Intuition & Trading Rationale
Rolling average depth measures the baseline liquidity level: rolling_mean(bid_size + ask_size, window). This is the smoothed, expected depth 鈥?what a trader should expect to find at the touch under normal conditions. Deviations from this baseline (sudden depth drops) are more informative than the absolute level. Use this as the "normal" reference; compare current depth against it to detect anomalies.
Usage Cases
- Depth anomaly detection: Current depth < 0.5 脳 rolling_average_depth 鈫?significant liquidity withdrawal. Investigate for stress or informed positioning.
- Execution sizing baseline: Use rolling_average_depth as the expected depth for order sizing. Size orders as a fraction of this baseline to avoid outsized impact.
- context: Used in
depth_imbalanceandliquidity_stresspacks 鈥?provides the baseline against which depth deviations are measured.
YAML Definition
name: rolling_average_depth
description: Rolling average of total order book depth 鈥?measures baseline liquidity
category: order_flow
dimension: regime
version: v0.9.0 (Beta)
required_inputs:
- best_bid_size
- best_ask_size
output_column: avg_depth
output_description: Rolling mean of total depth
tags:
- regime
- liquidity
- depth
parameters:
window:
type: integer
description: Window for rolling average
required: false
default: 300000
formula: rolling_mean((best_bid_size + best_ask_size), window)